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|a 9788847019089
|9 978-88-470-1908-9
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|a 10.1007/978-88-470-1908-9
|2 doi
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|a QA273.A1-274.9
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|a QA274-274.9
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|a 519.2
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|a Hirsch, Francis.
|e author.
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|a Peacocks and Associated Martingales, with Explicit Constructions
|h [electronic resource] /
|c by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor.
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|a Milano :
|b Springer Milan,
|c 2011.
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|a XXXII, 388 p.
|b online resource.
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|a text
|b txt
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|a computer
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|a online resource
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|a text file
|b PDF
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|a B&SS — Bocconi & Springer Series,
|x 2039-1471
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|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.
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|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.
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|a Mathematics.
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|a Economics, Mathematical.
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| 650 |
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|a Probabilities.
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1 |
4 |
|a Mathematics.
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| 650 |
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|a Probability Theory and Stochastic Processes.
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| 650 |
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|a Quantitative Finance.
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| 700 |
1 |
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|a Profeta, Christophe.
|e author.
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| 700 |
1 |
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|a Roynette, Bernard.
|e author.
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| 700 |
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|a Yor, Marc.
|e author.
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| 710 |
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9788847019072
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|a B&SS — Bocconi & Springer Series,
|x 2039-1471
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| 856 |
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|u http://dx.doi.org/10.1007/978-88-470-1908-9
|z Full Text via HEAL-Link
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| 912 |
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|a ZDB-2-SMA
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
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