Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions
Author :
Publisher : Springer Science & Business Media
Total Pages : 412
Release :
ISBN-10 : 9788847019089
ISBN-13 : 8847019087
Rating : 4/5 (087 Downloads)

Book Synopsis Peacocks and Associated Martingales, with Explicit Constructions by : Francis Hirsch

Download or read book Peacocks and Associated Martingales, with Explicit Constructions written by Francis Hirsch and published by Springer Science & Business Media. This book was released on 2011-05-24 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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