Last semester I attended a course about stochastic calculus. There we constructed the stochastic integral with respect to continuous semimartingales. We restrict ourselves to the continuous case. However there is a general theory about semimartingales, which I want to study. I'm interested in mathematical Finance, where we often study not continuous processes. This semester I attend a course, where use some result from the general theory without really knowing the basis, which is not satisfyingly (at least for me). Therefore I want to study this general theory in a more rigorous way. My question is therefore, which books are recommended to study this theory. Of course the most famous book is Doob-Meyer. I found also the book "General semimartingale theory and stochastic calculus" by Sheng-Wu He, Chia-kang Wang, Jia-An Yan". Does someone know this book and could recommend it? I worked through the first pages and really like the style. I also worked through some pages of Doob-Meyer, but it seems for me to comprehensive to start with. It would be really appreciated if someone could share his or her experience. I am thankful for any advice.
cheers
math