Shortcuts
Top of page (Alt+0)
Page content (Alt+9)
Page menu (Alt+8)
Your browser does not support javascript, some WebOpac functionallity will not be available.
.
Default
.
PageMenu
-
Main Menu
-
Simple Search
.
Advanced Search
.
Journal Search
.
Refine Search Results
.
Preferences
.
Search Menu
Simple Search
.
Advanced Search
.
New Items Search
.
Journal Search
.
Refine Search Results
.
Bottom Menu
Help
Italian
.
English
.
German
.
New Item Menu
New Items Search
.
New Items List
.
Links
SISSA Library
.
ICTP library
.
Italian National web catalog (SBN)
.
Trieste University web catalog
.
Udine University web catalog
.
© LIBERO v6.4.1sp220816
Page content
You are here
:
Catalogue Display
Catalogue Display
Peacocks and Associated Martingales, with Explicit Constructions
.
Bookmark this Record
Catalogue Record 28418
.
.
Author info on Wikipedia
.
.
LibraryThing
.
.
Google Books
.
.
Amazon Books
.
Catalogue Information
Catalogue Record 28418
.
Reviews
Catalogue Record 28418
.
British Library
Resolver for RSN-28418
Google Scholar
Resolver for RSN-28418
WorldCat
Resolver for RSN-28418
Catalogo Nazionale SBN
Resolver for RSN-28418
GoogleBooks
Resolver for RSN-28418
ICTP Library
Resolver for RSN-28418
.
Share Link
Jump to link
Catalogue Information
Field name
Details
Dewey Class
519.2
Title
Peacocks and Associated Martingales, with Explicit Constructions ([Ebook]) / by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor.
Author
Hirsch, Francis
Added Personal Name
Profeta, Christophe
Roynette, Bernard
Yor, Marc
Other name(s)
SpringerLink (Online service)
Publication
Milano : Springer Milan , 2011.
Physical Details
XXXII, 388 pages : online resource.
Series
B&SS -- Bocconi & Springer Series
2039-1471
ISBN
9788847019089
Summary Note
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.:
Contents note
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.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
http://dx.doi.org/10.1007/978-88-470-1908-9
Links to Related Works
Subject References:
Distribution (Probability theory)
.
Finance
.
Mathematics
.
Probability theory and stochastic processes
.
Quantitative Finance
.
Authors:
author
.
Hirsch, Francis
.
Profeta, Christophe
.
Roynette, Bernard
.
Yor, Marc
.
Corporate Authors:
SpringerLink (Online service)
.
Series:
B&SS -- Bocconi & Springer Series
.
Classification:
519.2
.
519.2 (DDC 22)
.
.
ISBD Display
Catalogue Record 28418
.
Tag Display
Catalogue Record 28418
.
Related Works
Catalogue Record 28418
.
Marc XML
Catalogue Record 28418
.
Add Title to Basket
Catalogue Record 28418
.
Catalogue Information 28418
Beginning of record
.
Catalogue Information 28418
Top of page
.
Download Title
Catalogue Record 28418
Export
This Record
As
Labelled Format
Bibliographic Format
ISBD Format
MARC Format
MARC Binary Format
MARCXML Format
User-Defined Format:
Title
Author
Series
Publication Details
Subject
To
File
Email
Reviews
This item has not been rated.
Add a Review and/or Rating
28418
1
28418
-
2
28418
-
3
28418
-
4
28418
-
5
28418
-
Quick Search
Search for