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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Hirsch, Francis (Autor), Profeta, Christophe (Autor), Roynette, Bernard (Autor), Yor, Marc (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Milano : Springer Milan : Imprint: Springer, 2011.
Edición:1st ed. 2011.
Colección:Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
Temas:
Probabilities.
Social sciences-Mathematics.
Probability Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo

MARC

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245 1 0 |a Peacocks and Associated Martingales, with Explicit Constructions  |h [electronic resource] /  |c by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor. 
250 |a 1st ed. 2011. 
264 1 |a Milano :  |b Springer Milan :  |b Imprint: Springer,  |c 2011. 
300 |a XXXII, 388 p.  |b online resource. 
336 |a text  |b txt  |2 rdacontent 
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490 1 |a Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,  |x 2039-148X 
505 0 |a 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. 
520 |a 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. 
650 0 |a Probabilities. 
650 0 |a Social sciences-Mathematics. 
650 1 4 |a Probability Theory. 
650 2 4 |a Mathematics in Business, Economics and Finance. 
700 1 |a Profeta, Christophe.  |e author.  |4 aut  |4 http://id.loc.gov/vocabulary/relators/aut 
700 1 |a Roynette, Bernard.  |e author.  |4 aut  |4 http://id.loc.gov/vocabulary/relators/aut 
700 1 |a Yor, Marc.  |e author.  |4 aut  |4 http://id.loc.gov/vocabulary/relators/aut 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer Nature eBook 
776 0 8 |i Printed edition:  |z 9788847019072 
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830 0 |a Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,  |x 2039-148X 
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950 |a Mathematics and Statistics (SpringerNature-11649) 
950 |a Mathematics and Statistics (R0) (SpringerNature-43713) 

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