Isbn: 9788847025196 - peacocks and associated martingales, with explicit constructions (bocconi & springer series) (4 Ergebnisse)

Zustand: New. In English.

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.…

Paperback. Zustand: Brand New. 2011 edition. 450 pages. 9.13x6.22x0.94 inches. In Stock.

Taschenbuch. Zustand: Neu. Peacocks and Associated Martingales, with Explicit Constructions | Francis Hirsch (u. a.) | Taschenbuch | Bocconi & Springer Series | xxxii | Englisch | 2013 | Springer | EAN 9788847025196 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.…