Peacocks and Associated Martingales, with Explicit Constructions

• Main Authors: Hirsch, Francis (Author), Profeta, Christophe (Author), Roynette, Bernard (Author), Yor, Marc (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Milano : Springer Milan, 2011.
• Series: B&SS — Bocconi & Springer Series,
• Subjects: 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...