Exact solvability of stochastic differential equations driven by finite activity levy processes

mathematics, analytical solutions; asset pricing model; closed form solutions; compound poisson process; discretization scheme; integrating factor; integrating factor methods; interest rate models; levy process; linearizability; linearized equations; numerical approximations; stochastic differential equations; linearization; monte carlo methods; poisson distribution; random processes; stochastic systems; differential equations; levy processes; linearization; stochastic differential equations; stochastic integrating factors