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 |
