Samhälle & debatt
Peacocks and Associated Martingales, with Explicit Constructions
Francis Hirsch • Christophe Profeta • Bernard Roynette • Marc Yor
Inbunden
1469:-
Uppskattad leveranstid 10-16 arbetsdagar
Fri frakt för medlemmar vid köp för minst 249:-
Andra format:
- Pocket/Paperback 1469:-
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.
- Format: Inbunden
- ISBN: 9788847019072
- Språk: Engelska
- Antal sidor: 388
- Utgivningsdatum: 2011-05-24
- Förlag: Springer Verlag