{"product_id":"peacocks-and-associated-martingales-with-explicit-constructions-von-francis-hirsch-christophe-profeta-bernard-roynette-marc-yor","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.\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9788847019072\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9788847025196\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Hardcover - 9788847019072","offer_id":12170850566237,"sku":"9788847019072","price":106.99,"currency_code":"EUR","in_stock":true},{"title":"Softcover - 9788847025196","offer_id":39449731498077,"sku":"9788847025196","price":106.99,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/462f376d-0868-4b2a-9a99-4ea04b2db68f.jpg?v=1772176023","url":"https:\/\/shop.autorenwelt.de\/en\/products\/peacocks-and-associated-martingales-with-explicit-constructions-von-francis-hirsch-christophe-profeta-bernard-roynette-marc-yor","provider":"Autorenwelt Shop","version":"1.0","type":"link"}