Mesher for a exponential jump process with high mean reversion rate and low jump intensity $$ \begin{array}{rcl} dY_t &=& -\beta Y_{t-}dt + J_tdN_t \ \omega(J)&=&\frac{1}{\eta_u}e^{-\frac{1}{\eta_u}J} \end{array} $$
References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf
Mesher for a exponential jump process with high mean reversion rate and low jump intensity $$ \begin{array}{rcl} dY_t &=& -\beta Y_{t-}dt + J_tdN_t \ \omega(J)&=&\frac{1}{\eta_u}e^{-\frac{1}{\eta_u}J} \end{array} $$
References: B. Hambly, S. Howison, T. Kluge, Modelling spikes and pricing swing options in electricity markets, http://people.maths.ox.ac.uk/hambly/PDF/Papers/elec.pdf