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Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

by Bernard RoynetteMarc Yor Christophe Profeta and others
Paperback
Publication Date: 15/07/2013
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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.
ISBN:
9788847025196
9788847025196
Category:
Probability & statistics
Format:
Paperback
Publication Date:
15-07-2013
Language:
English
Publisher:
Springer Verlag
Country of origin:
Italy
Pages:
388
Dimensions (mm):
235x155x24mm
Weight:
0.64kg

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