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Peacocks and Associated Martingales, with Explicit Constructions
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Peacocks and Associated Martingales, with Explicit Constructions
Francis Hirsch | Christophe Profeta | Bernard Roynette | Marc Yor
Mathematics / Probability & Statistics / General
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.
| Publication Date: | 15 July 2013 |
| Publisher: | Springer Milan |
| Imprint: | Springer |
| ISBN-13: | 9788847025196 |
| Format: | Paperback / softback |
| Page Count: | 388 |