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Paperback Peacocks and Associated Martingales, with Explicit Constructions Book
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ISBN: 8847025192

ISBN13: 9788847025196

Peacocks and Associated Martingales, with Explicit Constructions

by , , , et al.
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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...

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Business Business & Investing Math Mathematics Science & Math

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