Peacocks and Associated Martingales, with Explicit Constructions

von Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor

388 Seiten, Hardcover

Kurzbeschreibung des Verlags

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.

• Reihe: Bocconi & Springer Series
• ISBN: 9788847019072
• Sprache: Englisch
• Erscheinungsdatum: 24.05.2011
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer Italia