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... This description may be from another edition of this product.

• Format: Hardcover
• Language: English
• ISBN: 8847019079
• ISBN13: 9788847019072
• Release Date: May 2011
• Publisher: Springer
• Length: 388 Pages
• Weight: 2.05 lbs.
• Dimensions: 1.0" x 6.2" x 9.3"