Add to ORKGWe generalize the paper of Hofmann, Platen and Schweizer [HPS92] to jump-diffusion models. First we introduce securities which are replicable in a self-financing way. Then we characterize market risks which are in a special way 'orthogonal' to these securities. Moreover we prove, that every general arbitrage-free security has a unique decomposition into a self-financing replicable security and such a market risk. Then we discuss the martingale measures for our jump-diffusion model. In particular we examine the minimal equivalent martingale measure and show that in our model the minimal martingale measure is characterized by preserving the market risk processes under a change of measure. But we state also that unlike in the continuous case i...