Peacocks and Associated Martingales, with Explicit Constructions

by Marc Yor, Francis Hirsch, Bernard Roynette, et al.

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 8847025192
• ISBN13: 9788847025196
• Release Date: July 2013
• Publisher: Springer
• Length: 388 Pages
• Weight: 1.33 lbs.
• Dimensions: 0.9" x 6.2" x 9.2"