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Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3)

Francis Hirsch

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Description: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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3). To get started finding Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3), you are right to find our website which has a comprehensive collection of manuals listed.
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ISBN: 8847019087

Description: 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3). To get started finding Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3)

Peacocks and Associated Martingales, with Explicit Constructions (Bocconi & Springer Series Book 3)

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