Peacocks and Associated Martingales, with Explicit Constructions (Hardcover)
Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
- 出版商: Springer
- 出版日期: 2011-05-24
- 售價: $5,420
- 貴賓價: 9.5 折 $5,149
- 語言: 英文
- 頁數: 388
- 裝訂: Hardcover
- ISBN: 8847019079
- ISBN-13: 9788847019072
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商品描述
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.