ABSTRACT
This chapter studies jump models of a price evolution. A martingale in continuous time can be written as a sum of a diffusion martingale and a pure jump martingale. Therefore a jump evolution is the second way of describing dynamics of the price. Since real markets quote and trade only at discrete levels and at discrete times, it may not be obvious if the true underlying price process is continuous or if it has jumps, as long as the jump sizes are relatively small and frequent.
