Public Function CompoundPoisson_process(ByVal lambda, ByVal N, ByVal start, ByVal fin, ByVal r, ByVal sigma)
'Simulate a compound Poisson process with parameter lambda and a Brownian(r,sigma)

Dim stock(), vect() As Double
Dim i As Long
Dim dt As Double

ReDim stock(0 To N)
dt = (fin - start) / N

Poisson_proc = Poisson_process(lambda, N, start, fin)

y = Brownian_process(1, Poisson_proc(N), r, sigma)

For i = 0 To N
    stock(i) = 0
    
    For j = 1 To Poisson_proc(i)
        stock(i) = stock(i) + y(j)
    Next j
Next i
CompoundPoisson_process = stock
End Function