On the range of options prices. - Ernst Eberlein; Jean Jacod (Finance Stochastics, 1997)

Local martingales and the fundamental asset pricing theorems in the discrete-time case. - Jean Jacod; Albert N. Shiryaev (Finance Stochastics, 1998)

Interacting Particle Filtering With Discrete Observations. - Pierre Moral; Jean Jacod (Sequential Monte Carlo Methods in Practice, 2001)

Lévy term structure models: No-arbitrage and completeness. - Ernst Eberlein; Jean Jacod; Sebastian Raible (Finance Stochastics, 2005)

Risk-neutral compatibility with option prices. - Jean Jacod; Philip Protter (Finance Stochastics, 2010)

Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data. - Jean Jacod; Claudia Klüppelberg; Gernot Müller (J. Appl. Probab., 2012)

On the minimal number of driving Lévy motions in a multivariate price model. - Jean Jacod; Mark Podolskij (J. Appl. Probab., 2018)