Springer
Peacocks and Associated Martingales, with Explicit Constructions
Product Code:
9788847019072
ISBN13:
9788847019072
Condition:
New
$118.37
Peacocks and Associated Martingales, with Explicit Constructions
$118.37
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.
| Author: Francis Hirsch |
| Publisher: Springer |
| Publication Date: May 24, 2011 |
| Number of Pages: 388 pages |
| Binding: Hardback or Cased Book |
| ISBN-10: 8847019079 |
| ISBN-13: 9788847019072 |
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