Authors:
- First book on this topic
- A remarkable range of probabilistic tools
- Numerous exercises with hints
- Includes supplementary material: sn.pub/extras
Part of the book series: Bocconi & Springer Series (BS)
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Table of contents (8 chapters)
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Front Matter
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Back Matter
About this book
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)
Authors and Affiliations
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Laboratoire d’Analyse et Probabilités, Université d’Évry-Val d’Essonne, France
Francis Hirsch
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Institut Élie Cartan, Université Henri Poincaré, Nancy
Christophe Profeta, Bernard Roynette
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Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Paris
Marc Yor
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Institut Universitaire de France, France
Marc Yor
Bibliographic Information
Book Title: Peacocks and Associated Martingales, with Explicit Constructions
Authors: Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
Series Title: Bocconi & Springer Series
DOI: https://doi.org/10.1007/978-88-470-1908-9
Publisher: Springer Milano
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Milan 2011
Hardcover ISBN: 978-88-470-1907-2Published: 24 May 2011
Softcover ISBN: 978-88-470-2519-6Published: 15 July 2013
eBook ISBN: 978-88-470-1908-9Published: 24 May 2011
Series ISSN: 2039-1471
Series E-ISSN: 2039-148X
Edition Number: 1
Number of Pages: XXXII, 388
Topics: Probability Theory and Stochastic Processes, Quantitative Finance