TY - BOOK ID - 56714623 TI - Peacocks and Associated Martingales, with Explicit Constructions AU - Hirsch, Francis AU - Profeta, Christophe AU - Roynette, Bernard AU - Yor, Marc AU - SpringerLink (Online service) PY - 2011 SN - 9788847019089 PB - Milano Springer Milan DB - UniCat KW - Quantitative methods (economics) KW - Operational research. Game theory KW - Financial analysis KW - stochastische analyse KW - financiële analyse KW - kansrekening UR - https://www.unicat.be/uniCat?func=search&query=sysid:56714623 AB - 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. ER -