The Resource Peacocks and Associated Martingales, with Explicit Constructions, by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)

Peacocks and Associated Martingales, with Explicit Constructions, by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)

Label
Peacocks and Associated Martingales, with Explicit Constructions
Title
Peacocks and Associated Martingales, with Explicit Constructions
Statement of responsibility
by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
Creator
Contributor
Author
Author
Subject
Language
  • eng
  • eng
Summary
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
Member of
Is Subseries of
http://library.link/vocab/creatorName
Hirsch, Francis
Dewey number
  • 519.236
  • 519.24
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
  • oOABQinBI7E
  • js-1HFJsHvA
  • h7w4ywoQmQU
  • g9cJKIerhgU
Language note
English
LC call number
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Profeta, Christophe.
  • Roynette, Bernard.
  • Yor, Marc.
Series statement
Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Finance
  • Probability Theory and Stochastic Processes
  • Quantitative Finance
Label
Peacocks and Associated Martingales, with Explicit Constructions, by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
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
Dimensions
unknown
Edition
1st ed. 2011.
Extent
1 online resource (411 p.)
Form of item
online
Isbn
9788847019089
Media category
computer
Media type code
  • c
Other control number
10.1007/978-88-470-1908-9
Specific material designation
remote
System control number
  • (CKB)2670000000100008
  • (EBL)769910
  • (OCoLC)753480204
  • (SSID)ssj0000508491
  • (PQKBManifestationID)11337838
  • (PQKBTitleCode)TC0000508491
  • (PQKBWorkID)10554768
  • (PQKB)10149102
  • (DE-He213)978-88-470-1908-9
  • (MiAaPQ)EBC769910
  • (EXLCZ)992670000000100008
Label
Peacocks and Associated Martingales, with Explicit Constructions, by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
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
Dimensions
unknown
Edition
1st ed. 2011.
Extent
1 online resource (411 p.)
Form of item
online
Isbn
9788847019089
Media category
computer
Media type code
  • c
Other control number
10.1007/978-88-470-1908-9
Specific material designation
remote
System control number
  • (CKB)2670000000100008
  • (EBL)769910
  • (OCoLC)753480204
  • (SSID)ssj0000508491
  • (PQKBManifestationID)11337838
  • (PQKBTitleCode)TC0000508491
  • (PQKBWorkID)10554768
  • (PQKB)10149102
  • (DE-He213)978-88-470-1908-9
  • (MiAaPQ)EBC769910
  • (EXLCZ)992670000000100008

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