Peacocks and Associated Martingales, with Explicit Constructions
Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor (auth.)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.
Категории:
Година:
2011
Издание:
1
Издателство:
Springer-Verlag Mailand
Език:
english
Страници:
388
ISBN 10:
8847019079
ISBN 13:
9788847019072
Серия:
B&SS — Bocconi & Springer Series
Файл:
PDF, 2.14 MB
IPFS:
,
english, 2011
Изтеглянето на тази книга не е възможно поради жалба от притежателя на авторските права