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Peacocks and Associated Martingales, with Explicit Constructions (Paperback, 2011 ed.) Loot Price: R2,687
Discovery Miles 26 870
Repayment Terms: R252 pm x 12*
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Peacocks and Associated Martingales, with Explicit Constructions (Paperback, 2011 ed.): Francis Hirsch, Christophe Profeta,...

Peacocks and Associated Martingales, with Explicit Constructions (Paperback, 2011 ed.)

Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor

Series: Bocconi & Springer Series

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Loot Price R2,687 Discovery Miles 26 870 | Repayment Terms: R252 pm x 12*

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We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.

General

Imprint: Springer-Verlag
Country of origin: Italy
Series: Bocconi & Springer Series
Release date: September 2013
First published: 2011
Authors: Francis Hirsch • Christophe Profeta • Bernard Roynette • Marc Yor
Dimensions: 235 x 155 x 24mm (L x W x T)
Format: Paperback
Pages: 388
Edition: 2011 ed.
ISBN-13: 978-88-470-2519-6
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > General
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LSN: 88-470-2519-2
Barcode: 9788847025196

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