Detailansicht
Peacocks and Associated Martingales, with Explicit Constructions
eBook - Bocconi & Springer Series
Roynette, Bernard/Yor, Marc/Hirsch, Francis et al
ISBN/EAN: 9788847019089
Umbreit-Nr.: 1812081
Sprache:
Englisch
Umfang: 388 S., 3.29 MB
Format in cm:
Einband:
Keine Angabe
Erschienen am 24.05.2011
Auflage: 1/2011
E-Book
Format: PDF
DRM: Digitales Wasserzeichen
- 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
- <p>Peacocks and their associated mathematical phenomena, martingales, play a key role in the mathematics of finance. This monograph uses a variety of methods from time inversion to Skorokhod embeddings in its exploration of peacocks and martingales.</p>