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Peacocks and Associated Martingales, with Explicit Constructions

Produktform: Buch / Einband - flex.(Paperback)

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.weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Sprache(n): Englisch

ISBN: 978-88-470-2519-6 / 978-8847025196 / 9788847025196

Verlag: Springer Italia

Erscheinungsdatum: 15.07.2013

Seiten: 388

Auflage: 1

Autor(en): Marc Yor, Christophe Profeta, Bernard Roynette, Francis Hirsch

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