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Título: Peacocks And Associated Martingales, With Explicit Constructions | |
| Autor: Hirsch, F. , Profeta, C. , Roynette, B. , Yor, M. | Precio: $1767.30 | |
| Editorial: Springer Verlag | Año: 2011 | |
| Tema: Matematicas | Edición: 1ª | |
| Sinopsis | ISBN: 9788847019072 | |
| 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. |
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