Peacocks and associated martingales, with explicit constructions

Peacocks and associated martingales, with explicit constructions

by F. Hirsch

Book 3 of B&SS -- Bocconi & Springer series --

Join Readfeed freeFind clubs reading this
Rate this book:

Browse books you can read free on Readfeed

No club is reading this yet — be the first to start one

Start a club free
About
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.

Discuss Peacocks and associated martingales, with explicit constructions with other readers

Join or start a book club for Peacocks and associated martingales, with explicit constructions on Readfeed. Live chat, shared reading progress, and AI discussion questions — free to get started.

Sign up freeBrowse book clubs

Frequently asked questions

How do I join a book club for Peacocks and associated martingales, with explicit constructions?

Sign up free on Readfeed, then browse public clubs or start your own club with Peacocks and associated martingales, with explicit constructions as the current read. Invite friends with a share link and discuss together with live chat and AI discussion questions.

Can I discuss Peacocks and associated martingales, with explicit constructions with other readers online?

Yes. Readfeed book clubs let you chat live, share progress, and join discussions about Peacocks and associated martingales, with explicit constructions with readers worldwide — whether your club is virtual, in-person, or hybrid.

Is Readfeed free?

Yes. Creating an account and joining book clubs is free. Sign up to find readers who love the same books and start discussing today.