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Peacocks and Associated Martingales, with Explicit Constructions
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...
| Autores principales: | , , , |
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| Lenguaje: | eng |
| Publicado: |
Springer
2011
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| Materias: | |
| Acceso en línea: | https://dx.doi.org/10.1007/978-88-470-1908-9 http://cds.cern.ch/record/1414241 |