Peacocks and associated martingales, with explicit constructions
F. Hirsch · 2011
Where to buy
Amazon’s price changes daily, so the most accurate place to see it is there, at the moment you buy.
View on AmazonThis is an affiliate link: if you buy through it, the site earns a small commission at no extra cost to you, which helps us bring quality content and maintain the site. As an Amazon Associate we earn from qualifying purchases.
About the book
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 details
- Year
- 2011
- Language
- English
- Series
- B&SS -- Bocconi & Springer series -- 3
- Publisher
- Bocconi University Press
- Editions
- 1
- Pages
- 384
- ISBN
- 9788847019072
Data source: Wikidata
More by F. Hirsch
