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Peacocks and Associated Martingales, with Explicit Constructions
Bocconi & Springer Series
Hirsch, Francis/Profeta, Christophe/Roynette, Bernard et al
ISBN/EAN: 9788847025196
Umbreit-Nr.: 4981146
Sprache:
Englisch
Umfang: xxxii, 388 S.
Format in cm:
Einband:
kartoniertes Buch
Erschienen am 15.07.2013
Auflage: 1/2013
- Zusatztext
- 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.
- Kurztext
- 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.