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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 embeddingsâ¦ 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) .

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Peacocks and Associated Martingales, with Explicit Constructions

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