| 000 -LEADER |
|---|
| fixed length control field |
02479nam a22004695i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20140310151500.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
|---|
| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
110723s2011 it | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9788847019089 |
|
978-88-470-1908-9 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA273.A1-274.9 |
|
|---|
| Classification number |
QA274-274.9 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519.2 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Milano : |
| -- |
Springer Milan, |
| -- |
2011. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hirsch, Francis. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Peacocks and Associated Martingales, with Explicit Constructions |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXXII, 388 p. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
B&SS — Bocconi & Springer Series, |
| International Standard Serial Number |
2039-1471 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Some 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 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Distribution (Probability theory). |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Profeta, Christophe. |
| Relator term |
author. |
|
|---|
| Personal name |
Roynette, Bernard. |
| Relator term |
author. |
|
|---|
| Personal name |
Yor, Marc. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9788847019072 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-88-470-1908-9 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
