Peacocks and Associated Martingales, with Explicit Constructions (Hardcover, 2011 Ed.)

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:	May 2011
First published:	2011
Authors:	Francis Hirsch • Christophe Profeta • Bernard Roynette • Marc Yor
Dimensions:	235 x 155 x 25mm (L x W x T)
Format:	Hardcover
Pages:	388
Edition:	2011 Ed.
ISBN-13:	978-88-470-1907-2
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Applied mathematics > General
LSN:	88-470-1907-9
Barcode:	9788847019072

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