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Consider the variation of \\(X\\),  \\[  X^{(1)}_t = X_t , \\;X^{(2)}_t = [X,X]_t , \\;X^{(n)}_t = \\sum_{0<s\\leq t} (\\Delta X_s)^n , \\;n\\geq 3  \\]   and the iterated integrals of \\(X\\)   \\[ P^{(0)}_t =1, \\;P^{(1)}_t = X_t, \\;P^{(n)}_t =\\int_0^t P^{(n-1)}_{s-} dX_s. \\]   The authors deduce that \\(P^{(n)}_t\\) is a polynomial in \\(X^{(1)}_t ,\\dots, X^{(n)}_t\\) and denote it by \\(P_n(x_1,\\dots,x_n)\\).  In this paper the authors study the probabilistic properties of, and relationship between \\(P_n(x_1,\\dots,x_n)\\) and the Teugels polynomial \\(p^{\\sigma}_n(x), \\;n\\geq 1\\). Their three main results are interesting in themselves. First they prove that for a general semimartingale \\(X\\) the Doleans exponential \\({\\mathcal E}(uX_t)\\) is analytic in a certain neighborhood of the origin and that the iterated integrals are the Taylor coefficients.  The second result is related to the Kailath-Segall polynomials that are expressible as polynomials of a fixed set of variables. It is known that the Brownian motion and the compensated Poisson process are the unique L\u00e9vy processes such that the Kailath-Segall polynomials can be written as polynomials in \\(x\\) and \\(t\\). So, a natural question is how to characterize the L\u00e9vy processes with a similar property for a finite number of variables. The key of their proof is that only the application of linear functions to a L\u00e9vy process gives rise to another L\u00e9vy process.   The third result is that it is possible to give a sequence of simple L\u00e9vy processes \\(\\{X_k\\}\\) that converges in the Skorohod topology to \\(X\\) so that, under the appropriate hypothesis, all variations and iterated integrals of \\(X_k\\) converge to the variations and iterated integrals of \\(X\\) 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