Bocconi & Springer Series

Hirsch, Francis; Profeta, Christophe; Roynette, Bernard; Yor, Marc

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.

Details

Published by: Springer

Publication Date: 2011-05-24

Format: Hardcover

ISBN-13: 9788847019072

DOI: 10.1007/978-88-470-1908-9

Dimensions: 235cm x155cm

Pages: 388