Bocconi & Springer Series

Peacocks and Associated Martingales, with Explicit Constructions

Authors: Hirsch, F., Profeta, C., Roynette, B., Yor, M.

  • First book on this topic
  • Features a remarkable range of probabilistic tools
  • Includes numerous exercises with hints
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eBook $109.00
price for USA (gross)
  • ISBN 978-88-470-1908-9
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Hardcover $139.00
price for USA
  • ISBN 978-88-470-1907-2
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  • Online orders shipping within 2-3 days.
Softcover $139.00
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  • ISBN 978-88-470-2519-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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About this book

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.

Reviews

From the reviews:

“The authors provide several characterizations of the peacock property, and then continue to provide many different examples of peacocks. … For researchers, the book is a great opportunity to get introduced to this relatively new and fascinating branch of probability theory. For practitioners who want to create models for empirically given marginals (given, e.g., via option prices), the monograph should be a very valuable reference.” (Nicolas Perkowski, Zentralblatt MATH, Vol. 1227, 2012)


Table of contents (8 chapters)

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-88-470-1908-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for USA
  • ISBN 978-88-470-1907-2
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
Softcover $139.00
price for USA
  • ISBN 978-88-470-2519-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Peacocks and Associated Martingales, with Explicit Constructions
Authors
Series Title
Bocconi & Springer Series
Copyright
2011
Publisher
Springer-Verlag Mailand
Copyright Holder
Springer Milan
eBook ISBN
978-88-470-1908-9
DOI
10.1007/978-88-470-1908-9
Hardcover ISBN
978-88-470-1907-2
Softcover ISBN
978-88-470-2519-6
Series ISSN
2039-1471
Edition Number
1
Number of Pages
XXXII, 388
Topics