| Peacocks and Associated Martingales, with Explicit Constructions Contributor(s): Hirsch, Francis (Author), Profeta, Christophe (Author), Roynette, Bernard (Author) |
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ISBN: 8847019079 ISBN-13: 9788847019072 Publisher: Springer OUR PRICE: $104.49 Product Type: Hardcover - Other Formats Published: May 2011 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Applied - Business & Economics | Finance - General |
| Dewey: 519.236 |
| Series: Bocconi & Springer |
| Physical Information: 1" H x 6.2" W x 9.3" (2.05 lbs) 384 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |