{"product_id":"9788847019072","title":"Peacocks and Associated Martingales, with Explicit Constructions","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.\nIn 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.\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003ePublication Year: \u003c\/strong\u003e2011\u003cbr\u003e\u003cstrong\u003eImprint: \u003c\/strong\u003eSpringer Milan\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003eFormat: H\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003eWeight (Gram): 793\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003cbr\u003e\u003cstrong\u003e\u003c\/strong\u003e\u003c\/p\u003e","brand":"Francis Hirsch","offers":[{"title":"Default Title","offer_id":41263673802930,"sku":"9788847019072","price":187.19,"currency_code":"SGD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0502\/5382\/4178\/products\/8847019079.01_SCLZZZZZZZ.jpg?v=1635984800","url":"https:\/\/readabook.store\/products\/9788847019072","provider":"READABOOK BY ALKEM","version":"1.0","type":"link"}