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Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

Paperback

Series: Bocconi & Springer

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 8847025192
ISBN13: 9788847025196
Publisher: Springer
Published: Jul 15 2013
Pages: 388
Weight: 1.33
Height: 0.93 Width: 6.18 Depth: 9.19
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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