About this book
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.
- DOI https://doi.org/10.1007/978-88-470-1908-9
- Copyright Information Springer Milan 2011
- Publisher Name Springer, Milano
- eBook Packages Mathematics and Statistics
- Print ISBN 978-88-470-1907-2
- Online ISBN 978-88-470-1908-9
- Series Print ISSN 2039-1471
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