Peacocks and Associated Martingales, with Explicit Constructions

2011
ISBN: 978-88-470-1907-2
Verlag: Springer Milan

Buch, Englisch, 388 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 793 g

Reihe: Bocconi & Springer Series

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.

Zielgruppe

Research

Autoren/Hrsg.

Hirsch, Francis

Yor, Marc

Profeta, Christophe

Roynette, Bernard

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

Some Examples of Peacocks.- The Sheet Method.- The Time Reversal Method.- The Time Inversion Method.- The Sato Process Method.- The Stochastic Differential Equation Method.- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals.