Erschienen: 15.07.2013 Abbildung von Hirsch / Profeta / Roynette | Peacocks and Associated Martingales, with Explicit Constructions | 2013

Hirsch / Profeta / Roynette

Peacocks and Associated Martingales, with Explicit Constructions

lieferbar ca. 10 Tage als Sonderdruck ohne Rückgaberecht

ca. 128,39 €

inkl. Mwst.

2013. Buch. xxxii, 388 S. 2 s/w-Tabelle, Bibliographien. Softcover

Springer. ISBN 9788847025196

Format (B x L): 15,5 x 23,5 cm

Gewicht: 640 g

In englischer Sprache

Das Werk ist Teil der Reihe: Bocconi & Springer Series

Produktbeschreibung

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.

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