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Peacocks and Associated Martingales, with Explicit Constructions
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.
House documents
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A Peacock on the Roof
Prince the peacock creates an awkward predicament for his owner when he flies away and lands on the roof of a strange house, whose occupants do not know he is there.
Peacock and Vine
This ravishing book opens a window onto the lives, designs, and passions of two charismatic artists. Born a generation apart, they were seeming opposites: Mariano Fortuny, a Spanish aristocrat thrilled by the sun-baked cultures of Crete and Knossos; William Morris, a British craftsman, in thrall to the myths of the North. Yet through their revolutionary inventions and textiles, both men inspired a new variety of art, as vibrant today as when it was first conceived. Acclaimed writer A.S. Byatt traces their genius right to the source. The Palazzo Pesaro Orfei in Venice is a warren of dark spaces leading to a workshop where Fortuny created his designs for pleated silks and shining velvets. Here...
The Sportsman
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