| Peacocks and Associated Martingales, with Explicit Constructions 2011 Edition Contributor(s): Hirsch, Francis (Author), Profeta, Christophe (Author), Roynette, Bernard (Author) |
|
 |
ISBN: 8847025192 ISBN-13: 9788847025196 Publisher: Springer OUR PRICE: $104.49 Product Type: Paperback - Other Formats Published: July 2013 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Applied - Business & Economics | Finance - General |
| Dewey: 519.236 |
| Series: Bocconi & Springer |
| Physical Information: 0.93" H x 6.18" W x 9.19" (1.33 lbs) 388 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. |