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About Peacocks and Associated Martingales, with Explicit Constructions
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.
Detailed Information
| Author: | Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor (auth.) |
|---|---|
| Publication Year: | 2011 |
| ISBN: | 9788847019089 |
| Pages: | 418 |
| Language: | English |
| File Size: | 2.41 |
| Format: | |
| Price: | FREE |
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