In this article, we consider the problem of the minimal entropy martingale measure of a jump process influenced by jump times. The minimal entropy martingale measure of the price process is given out by the exponential martingale method, and the expression of the corresponding relative entropy...

We study moderate deviations for maximum likelihood estimators of parameters in generalized squared radial Ornstein-Uhlenbeck processes. The moderate deviation principles of the two parameters are established.