The book by Cont and Tankov (2004) is an excellent introduction to jump processes in finance. The attached document lists some potential typos/inconsistencies in the notation of the 2004 printing that are neither included in the errata published under http://www.cmap.polytechnique.fr/~rama/Jumps/ nor in an updated PDF version of some of the book chapters.
Attachments
References
Cont, Rama and Peter Tankov (2004) Financial Modelling with Jump Processes: Chapman & Hall