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Bocconi & Springer #03: Peacocks and Associated Martingales, with Explicit Constructions

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Bocconi & Springer #03: Peacocks and Associated Martingales, with Explicit Constructions Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

'Peacocks' and their associated mathematical phenomena, 'martingales', play a key role in the mathematics of finance. This monograph uses a variety of methods from time inversion to Skorokhod embeddings in its exploration of peacocks and martingales.

Table of Contents

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.

Product Details

ISBN:
9788847019072
Author:
Hirsch, Francis
Publisher:
Springer
Author:
Roynette, Bernard
Author:
Yor, Marc
Author:
Profeta, Christophe
Location:
Milano
Subject:
Statistics
Subject:
Brownian Motion
Subject:
Convex order
Subject:
Markov processes
Subject:
Martingales.
Subject:
Peacocks
Subject:
Probability Theory and Stochastic Processes
Subject:
Quantitative Finance
Subject:
Quantitative Finance First book on this topic. A remarkable range of probabilistic tools. Numerous exercises with hints.
Subject:
Mathematics | Probability and Statistics
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Finance
Copyright:
Edition Description:
2011
Series:
Bocconi & Springer Series
Series Volume:
2
Publication Date:
20110426
Binding:
HARDCOVER
Language:
English
Pages:
450
Dimensions:
235 x 155 mm

Related Subjects

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Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics
Travel » General

Bocconi & Springer #03: Peacocks and Associated Martingales, with Explicit Constructions Used Hardcover
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Product details 450 pages Springer - English 9788847019072 Reviews:
"Synopsis" by , 'Peacocks' and their associated mathematical phenomena, 'martingales', play a key role in the mathematics of finance. This monograph uses a variety of methods from time inversion to Skorokhod embeddings in its exploration of peacocks and martingales.
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