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Více informací o knize Peacocks and Associated Martingales, with Explicit Constructions

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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics

• Plný název: Peacocks and Associated Martingales, with Explicit Constructions
• Autor: Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 388
• EAN: 9788847019072
• ISBN: 8847019079
• ID: 01967026
• Nakladatelství: Springer Verlag
• Hmotnost: 793 g
• Rozměry: 235 × 155 × 28 mm
• Datum vydání: 24. May 2011

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