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Peacocks and Associated Martingales, with Explicit Constructions

Francis Hirsch
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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.
      Format: Hardback CONTRIBUTORS: Francis Hirsch EAN: 9788847019072 COUNTRY: Italy PAGES: WEIGHT: 793 g HEIGHT: 235 cm
      PUBLISHED BY: Springer Verlag DATE PUBLISHED: 2011-05-24 CITY: GENRE: MATHEMATICS / Applied, MATHEMATICS / Probability & Statistics / General WIDTH: 155 cm SPINE:

      Book Themes:

      Economics, Finance, Business and Management, Probability and statistics, Applied mathematics, Stochastics

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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.
      Format: Hardback CONTRIBUTORS: Francis Hirsch EAN: 9788847019072 COUNTRY: Italy PAGES: WEIGHT: 793 g HEIGHT: 235 cm
      PUBLISHED BY: Springer Verlag DATE PUBLISHED: 2011-05-24 CITY: GENRE: MATHEMATICS / Applied, MATHEMATICS / Probability & Statistics / General WIDTH: 155 cm SPINE:

      Book Themes:

      Economics, Finance, Business and Management, Probability and statistics, Applied mathematics, Stochastics

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