Coverart for item
The Resource Peacocks and associated martingales, with explicit constructions, Francis Hirsch [and others]

Peacocks and associated martingales, with explicit constructions, Francis Hirsch [and others]

Label
Peacocks and associated martingales, with explicit constructions
Title
Peacocks and associated martingales, with explicit constructions
Statement of responsibility
Francis Hirsch [and others]
Creator
Subject
Language
eng
Summary
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
Member of
Cataloging source
E7B
http://library.link/vocab/creatorName
Hirsch, F
Dewey number
519.2/36
Illustrations
illustrations
Index
index present
LC call number
QA274.5
LC item number
.H57 2011eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Bocconi & Springer series,
http://library.link/vocab/subjectName
  • Martingales (Mathematics)
  • Peafowl
  • Martingales (Mathematics)
  • Peafowl
Label
Peacocks and associated martingales, with explicit constructions, Francis Hirsch [and others]
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
754717464
Dimensions
unknown
Extent
1 online resource (xxxi, 384 pages)
Form of item
online
Isbn
9788847019089
Lccn
2011920258
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-88-470-1908-9
Other physical details
illustrations (some color).
Specific material designation
remote
System control number
(OCoLC)754717464
Label
Peacocks and associated martingales, with explicit constructions, Francis Hirsch [and others]
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
754717464
Dimensions
unknown
Extent
1 online resource (xxxi, 384 pages)
Form of item
online
Isbn
9788847019089
Lccn
2011920258
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-88-470-1908-9
Other physical details
illustrations (some color).
Specific material designation
remote
System control number
(OCoLC)754717464

Library Locations

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      38.944491 -92.326012
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