Peacocks and Associated Martingales, with Explicit Constructions

• Κύριοι συγγραφείς: Hirsch, Francis (Συγγραφέας), Profeta, Christophe (Συγγραφέας), Roynette, Bernard (Συγγραφέας), Yor, Marc (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Milano : Springer Milan, 2011.
• Σειρά: B&SS — Bocconi & Springer Series,
• Θέματα: Mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.

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...

Πίνακας περιεχομένων:

• 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.