| Description |
1 online resource (xxxi, 384 pages) : illustrations (some color) |
| Series |
Bocconi & Springer series, 2039-1471 |
|
Bocconi & Springer series. 2039-1471
|
| 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 |
| Summary |
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 |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Martingales (Mathematics)
|
|
Peafowl.
|
|
Martingales (Mathematics)
|
|
Peafowl
|
| Form |
Electronic book
|
| ISBN |
9788847019089 |
|
8847019087 |
|
