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Peacocks and Associated Martingales, with Explicit Constructions
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...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Milano :
Springer Milan : Imprint: Springer,
2011.
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| Edición: | 1st ed. 2011. |
| Colección: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
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| Temas: | |
| Acceso en línea: | Texto Completo |
| Sumario: | 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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| Descripción Física: | XXXII, 388 p. online resource. |
| ISBN: | 9788847019089 |
| ISSN: | 2039-148X |