Peacocks and Associated Martingales, with Explicit Constructions

Released on by Francis Hirsch
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  • Peacocks and Associated Martingales, with Explicit Constructions Book Detail

  • Author : Francis Hirsch
  • Release Date : 2011-05-24
  • Publisher : Springer Science & Business Media
  • Genre : Mathematics
  • Pages : 412
  • ISBN 13 : 8847019087
  • File Size : 74,74 MB
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Peacocks and Associated Martingales, with Explicit Constructions by Francis Hirsch PDF Summary

Book Description: 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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