Peacocks and Associated Martingales, with Explicit Constructions
by Hirsch, F.
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 …
Read More ↓Title Statements
- Full title :Peacocks and Associated Martingales, with Explicit Constructions / by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor.
Summary
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.
Read More ↓Edition Statements
- Publication Date:2011
Publication Statements
- Publisher(s):Springer Milan
- Place of Publication:Milano
- Language:eng
- Publication Date:2011
The Physical Object
- Description:1 recurs en línia (1 recurs en línia (XXXII, 388 pàgines)).
Edition Identifiers
- ISBN:9788847019089, 8847019087
- oclc:on1120677741
Table of Contents
Conté: Some Examples of Peacocks -- The Sheet Method -- The Time Reversal Method -- The Time Inversion Method -- The Sato Process Method -- The Stochastic Differential Equation Method -- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals
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