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| 008 | 150903s2011 it | o |||| 0|eng d | ||
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_a9788847019089 _99788847019089 |
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_a10.1007/9788847019089 _2doi |
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_a201509030648 _bVLOAD _c201405070400 _dVLOAD _y201402211218 _zstaff |
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| 050 | 4 | _aQA273.A1-274.9 | |
| 100 | 1 |
_aHirsch, Francis. _eautor _9351632 |
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_aPeacocks and Associated Martingales, with Explicit Constructions / _cby Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor. |
| 264 | 1 |
_aMilano : _bSpringer Milan, _c2011. |
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| 300 |
_axxxii, 388 páginas _brecurso en línea. |
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_atexto _btxt _2rdacontent |
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_acomputadora _bc _2rdamedia |
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_arecurso en línea _bcr _2rdacarrier |
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_aarchivo de texto _bPDF _2rda |
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_aB&SS — Bocconi & Springer Series, _x2039-1471 |
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| 500 | _aSpringer eBooks | ||
| 505 | 0 | _aSome Examples of Peacocks -- The Sheet Method -- The Time Reversal Method -- The Time Inversion Method -- The Sato Process Method -- The Stochastic Differential Equation Method -- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals. | |
| 520 | _aWe 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. | ||
| 590 | _aPara consulta fuera de la UANL se requiere clave de acceso remoto. | ||
| 700 | 1 |
_aProfeta, Christophe. _eautor _9351633 |
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| 700 | 1 |
_aRoynette, Bernard. _eautor _9336204 |
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| 700 | 1 |
_aYor, Marc. _eautor _9323319 |
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| 710 | 2 |
_aSpringerLink (Servicio en línea) _9299170 |
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| 776 | 0 | 8 |
_iEdición impresa: _z9788847019072 |
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_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-88-470-1908-9 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL) |
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