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...

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Detalles Bibliográficos
Autores principales: Hirsch, Francis, Profeta, Christophe, Roynette, Bernard, Yor, Marc
Lenguaje:eng
Publicado: Springer 2011
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/978-88-470-1908-9
http://cds.cern.ch/record/1414241
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author Hirsch, Francis
Profeta, Christophe
Roynette, Bernard
Yor, Marc
author_facet Hirsch, Francis
Profeta, Christophe
Roynette, Bernard
Yor, Marc
author_sort Hirsch, Francis
collection CERN
description 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 eigh
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language eng
publishDate 2011
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spelling cern-14142412021-04-22T00:40:18Zdoi:10.1007/978-88-470-1908-9http://cds.cern.ch/record/1414241engHirsch, FrancisProfeta, ChristopheRoynette, BernardYor, MarcPeacocks and Associated Martingales, with Explicit ConstructionsMathematical Physics and MathematicsWe 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 eighSpringeroai:cds.cern.ch:14142412011
spellingShingle Mathematical Physics and Mathematics
Hirsch, Francis
Profeta, Christophe
Roynette, Bernard
Yor, Marc
Peacocks and Associated Martingales, with Explicit Constructions
title Peacocks and Associated Martingales, with Explicit Constructions
title_full Peacocks and Associated Martingales, with Explicit Constructions
title_fullStr Peacocks and Associated Martingales, with Explicit Constructions
title_full_unstemmed Peacocks and Associated Martingales, with Explicit Constructions
title_short Peacocks and Associated Martingales, with Explicit Constructions
title_sort peacocks and associated martingales, with explicit constructions
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-88-470-1908-9
http://cds.cern.ch/record/1414241
work_keys_str_mv AT hirschfrancis peacocksandassociatedmartingaleswithexplicitconstructions
AT profetachristophe peacocksandassociatedmartingaleswithexplicitconstructions
AT roynettebernard peacocksandassociatedmartingaleswithexplicitconstructions
AT yormarc peacocksandassociatedmartingaleswithexplicitconstructions

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