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...
| Main Authors: | , , , |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Milano :
Springer Milan,
2011.
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| Series: | B&SS — Bocconi & Springer Series,
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| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
| 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. |
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| Physical Description: | XXXII, 388 p. online resource. |
| ISBN: | 9788847019089 |
| ISSN: | 2039-1471 |
