Peacocks and Associated Martingales, with Explicit Constructions
Häftad, Engelska, 2013
Av Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
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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.
Produktinformation
- Utgivningsdatum2013-07-15
- Mått155 x 235 x 23 mm
- Vikt633 g
- SpråkEngelska
- SerieBocconi & Springer Series
- Antal sidor388
- Upplaga2011
- FörlagSpringer Verlag
- EAN9788847025196
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