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Peacocks and Associated Martingales, with Explicit Constructions
Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc
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Description for Peacocks and Associated Martingales, with Explicit Constructions
Hardback. 'Peacocks' and their associated mathematical phenomena, 'martingales', play a key role in the mathematics of finance. This monograph uses a variety of methods from time inversion to Skorokhod embeddings in its exploration of peacocks and martingales. Series: Bocconi and Springer Series. Num Pages: 420 pages, 2 black & white tables, biography. BIC Classification: PBT; PBW. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 25. Weight in Grams: 930.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2011
Publisher
Springer Verlag Italy
Number of pages
420
Condition
New
Series
Bocconi and Springer Series
Number of Pages
388
Place of Publication
Milan, Italy
ISBN
9788847019072
SKU
V9788847019072
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Peacocks and Associated Martingales, with Explicit Constructions
From the reviews: “The authors provide several characterizations of the peacock property, and then continue to provide many different examples of peacocks. … For researchers, the book is a great opportunity to get introduced to this relatively new and fascinating branch of probability theory. For practitioners who want to create models for empirically given marginals (given, e.g., via option ... Read more