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Titlebook: Peacocks and Associated Martingales, with Explicit Constructions; Francis Hirsch,Christophe Profeta,Marc Yor Book 2011 Springer Milan 2011

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書(shū)目名稱Peacocks and Associated Martingales, with Explicit Constructions
編輯Francis Hirsch,Christophe Profeta,Marc Yor
視頻videohttp://file.papertrans.cn/743/742876/742876.mp4
概述First book on this topic.A remarkable range of probabilistic tools.Numerous exercises with hints.Includes supplementary material:
叢書(shū)名稱Bocconi & Springer Series
圖書(shū)封面Titlebook: Peacocks and Associated Martingales, with Explicit Constructions;  Francis Hirsch,Christophe Profeta,Marc Yor Book 2011 Springer Milan 2011
描述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.
出版日期Book 2011
關(guān)鍵詞Brownian motion; Convex order; Markov processes; Martingales; Peacocks; quantitative finance
版次1
doihttps://doi.org/10.1007/978-88-470-1908-9
isbn_softcover978-88-470-2519-6
isbn_ebook978-88-470-1908-9Series ISSN 2039-1471 Series E-ISSN 2039-148X
issn_series 2039-1471
copyrightSpringer Milan 2011
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