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This is an outline of the seminar contents.

The main reference for the seminar is Rama Cont and Tankov. Purely mathematical texts on the same subject are Protter and Jacod and Shiryaev. Texts being more devoted to finance are Shreve and Shiryaev.

Home reading
Rama Cont and Tankov : Chapter 1 and the introduction of each Chapter 2--15.

Protter : Chapter I, in particular section 4.