Peacocks and Associated Martingales, with Explicit Constructions - Bocconi and Springer Series (Paperback)
  • Peacocks and Associated Martingales, with Explicit Constructions - Bocconi and Springer Series (Paperback)

Peacocks and Associated Martingales, with Explicit Constructions - Bocconi and Springer Series (Paperback)

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£89.50
Paperback Published: 15/07/2013
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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.

Publisher: Springer Verlag
ISBN: 9788847025196

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