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Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

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Peacocks and Associated Martingales, with Explicit Constructions

Francis Hirsch | Christophe Profeta | Bernard Roynette | Marc Yor

Mathematics / Probability & Statistics / General

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.

Publication Date: 15 July 2013
Publisher: Springer Milan
Imprint: Springer
ISBN-13: 9788847025196
Format: Paperback / softback
Page Count: 388

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