Peacocks and Associated Martingales, with Explicit Constructions
Format: Paperback
ISBN13: 9788847025196
Paperback|9788847025196
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Overview
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.
| ISBN-13 | 9788847025196 |
|---|---|
| ISBN-10 | 8847025192 |
| Weight | 1.33 Pounds |
| Dimensions | 6.10 x 0.99 x 9.25 In |
| List Price | $109.99 |
| Edition | 1st Edition |
| Format | Paperback |
|---|---|
| Language | English |
| Pages | xxxii, 388 pages |
| Publisher | Springer |
| Published On | 2013-07-15 |
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Alibris
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Print on demand Trade paperback (US). Glued binding. 388 p. Contains: Unspecified, Tables, black & ...
Free delivery by: 03 Apr 2026