Barndorff-Nielsen O.E., Shiryaev A.N. Change of time and change of measure

Singapore: World Scientific, 2015. — 345 p.Random Change of Time
Integral Representations and Change of Time in Stochastic Integrals
Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis
Stochastic Exponential and Stochastic Logarithm. Cumulant Processes
Processes with Independent Increments. Levy Processes
Change of Measure. General Facts
Change of Measure in Models Based on Levy Processes
Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes
Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case
Martingale Measures in the Stochastic Theory of Arbitrage
Change of Measure in Option Pricing
Conditionally Brownian and Levy Processes. Stochastic Volatility Models
A Wider View. Ambit Processes and Fields, and Volatility/Intermittency