Peacocks And Associated Martingales, With Explicit Constructions - Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
Springer London, Limited (2011)
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Business & Economics / Finance, Mathematics / Probability & Statistics / General

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'S They are developed in eight chapters, with about a hundred of exercises.

Product Details
No. of Pages 430
Height x Width 240 mm