Portada

PEACOCKS AND ASSOCIATED MARTINGALES, WITH EXPLICIT CONSTRUCT IBD

SPRINGER
07 / 2013
9788847025196
Inglés

Sinopsis

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.

PVP
136,70