Peacocks and Associated Martingales, with Explicit Constructions [electronic resource] / by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor.

By:

Hirsch, Francis [author.]

Contributor(s):

Series: B&SS — Bocconi & Springer SeriesPublisher: Milano : Springer Milan, 2011Description: XXXII, 388 p. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9788847019089

Subject(s):

Genre/Form:

Electronic books.

Additional physical formats: Printed edition:: No titleDDC classification:

519.2 23

LOC classification:

QA273.A1-274.9
QA274-274.9

Online resources:

Click here to access online

Contents:

Some Examples of Peacocks -- The Sheet Method -- The Time Reversal Method -- The Time Inversion Method -- The Sato Process Method -- The Stochastic Differential Equation Method -- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals.

In: Springer eBooksSummary: 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.

Item type:

eBooks

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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.