Librería Bonilla. Desde 1950

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	Autor:	Precio: $1767.30
	Editorial:	Año: 2011
	Tema:	Edición: 1ª
	Sinopsis	ISBN: 9788847019072
	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.

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