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...
Kaydedildi:
| Asıl Yazarlar: | , , , |
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| Materyal Türü: | Livre numérique |
| Dil: | Anglais |
| Baskı/Yayın Bilgisi: |
Milano :
Springer Milan
[20..].
Cham : Springer Nature |
| Edisyon: | 1st ed. 2011. |
| Seri Bilgileri: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
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| Konular: | |
| Online Erişim: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Not: |
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 |
İçindekiler:
- Some Examples of Peacocks
- The Sheet Method
- The Time Reversal Method
- The Time Inversion Method
- The Sato Process Method
- The Stochastic Differential Equation Method
- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals.