|
Books > Science & Mathematics > Mathematics > Applied mathematics
|
Buy Now
Peacocks and Associated Martingales, with Explicit Constructions (Hardcover, 2011 Ed.)
Loot Price: R2,855
Discovery Miles 28 550
|
|
|
Peacocks and Associated Martingales, with Explicit Constructions (Hardcover, 2011 Ed.)
Series: Bocconi & Springer Series
Expected to ship within 10 - 15 working days
|
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
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.
Welcome to Loot.co.za!
Sign in / Register |Wishlists & Gift Vouchers |Help | Advanced search
