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- Author: Francis Hirsch
- Publisher: Springer
- Year: 2011
- Pages: 384
- ISBN-10: 8847019079
- ISBN-13: 9788847019072
- Format: 15.8 x 23.6 x 2.5 cm, kieti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
Peacocks and Associated Martingales, with Explicit Constructions (e-book) (used book) | bookbook.eu
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Description
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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- Author: Francis Hirsch
- Publisher: Springer
- Year: 2011
- Pages: 384
- ISBN-10: 8847019079
- ISBN-13: 9788847019072
- Format: 15.8 x 23.6 x 2.5 cm, kieti viršeliai
- Language: English English
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.
Reviews