Peacocks and associated martingales, with explicit constructions

Resource Information

The work Peacocks and associated martingales, with explicit constructions represents a distinct intellectual or artistic creation found in University of Missouri Libraries. This resource is a combination of several types including: Work, Language Material, Books.

Label

Peacocks and associated martingales, with explicit constructions

Statement of responsibility

Francis Hirsch [and others]

Creator

• Hirsch, F

Subject

• Martingales (Mathematics)
• Martingales (Mathematics)
• Peafowl
• Peafowl

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

• Bocconi & Springer series

Cataloging source

E7B

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,