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Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series

2011

Paperback (15 Jul 2013)

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Publisher's Synopsis

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.

Book information

ISBN: 9788847025196
Publisher: Springer Milan
Imprint: Springer
Pub date:
Edition: 2011
Language: English
Number of pages: 388
Weight: 640g
Height: 235mm
Width: 155mm
Spine width: 24mm