Peacocks and Associated Martingales, with Explicit Constructions Hardback
by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
Part of the Bocconi & Springer Series series
Hardback
Description
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.
Information
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Item not Available
- Format:Hardback
- Pages:388 pages, 2 Tables, black and white; XXXII, 388 p.
- Publisher:Springer Verlag
- Publication Date:24/05/2011
- Category:
- ISBN:9788847019072
Other Formats
- PDF from £76.08
Information
-
Item not Available
- Format:Hardback
- Pages:388 pages, 2 Tables, black and white; XXXII, 388 p.
- Publisher:Springer Verlag
- Publication Date:24/05/2011
- Category:
- ISBN:9788847019072
