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Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

Hardcover

Series: Bocconi & Springer, Book 3

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 8847019079
ISBN13: 9788847019072
Publisher: Springer
Published: May 24 2011
Pages: 388
Weight: 2.05
Height: 1.00 Width: 6.20 Depth: 9.30
Language: English
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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