Peacocks and associated martingales, with explicit constructions
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Bibliographic Information
Peacocks and associated martingales, with explicit constructions
（Bocconi & Springer series / (series editors) Sandro Salsa ... [et al.], 3）
Springer : Bocconi University Press, c2011
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Includes bibliographical references and index
Description and Table of Contents
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 eight chapters, with about a hundred of exercises.
Table of Contents
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.
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