(DOWNLOAD) "Peacocks and Associated Martingales, with Explicit Constructions" by Francis Hirsch, Christophe Profeta, Bernard Roynette & Marc Yor # eBook PDF Kindle ePub Free
eBook details
- Title: Peacocks and Associated Martingales, with Explicit Constructions
- Author : Francis Hirsch, Christophe Profeta, Bernard Roynette & Marc Yor
- Release Date : January 24, 2011
- Genre: Mathematics,Books,Science & Nature,
- Pages : * pages
- Size : 16324 KB
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.
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