Peacocks and associated martingales, with xplicit constructions [E-book] / Francis Hirsch ... [et al.]
Language: eng.Country: Italy, Italian Republic.Publication: Milano : Springer Milan, 2011Description: XXXII, 388 p.ISBN: 978-88-470-1908-9.Series: B&SS — Bocconi & Springer SeriesSubject - Topical Name: 21435Online Resources:Click here to access onlineItem type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | |
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E-Books | Biblioteca NOVA FCT Online | Não Ficção | QA276.5.SPR FCT 82894 (Browse shelf(Opens below)) | 1 | Available |
Colocação: Online
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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