Wednesday, 07 November 2018, 14:00 at CMS, MR14 – Compound Poisson processes (CPPs) are the textbook example of pure jump stochastic processes, and they approximate arbitrarily well much richer classes of processes such as Lévy processes. They are characterised by the so-called Lévy jump distribution, N, driving the frequency at which jumps (randomly) occur and their (random) sizes. Hence, …