Peacocks and Associated Martingales, with Explicit Constructions
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...
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| Autori principali: | , , , |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Milano :
Springer Milan
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2011. |
| Serie: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
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| Soggetti: | |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 09 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Peacocks and associated martingales, with explicit constructions, Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor, 2011, Milan, Springer, Bocconi University Press, 1 vol. (XXXI-384 p.), Bocconi & Springer series, 978-88-470-1907-2 • Peacocks and Associated Martingales, with Explicit Constructions, Texte imprimé, 9788847019096 |
| Riassunto: | 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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| Descrizione del documento: | Description d'après consultation du 09 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografia: | Bibliographie. Index |
| ISBN: | 9788847019089 |
| ISSN: | 2039-148X |
| Accesso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |