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The book delves into the mathematical concepts of peacocks and martingales, emphasizing their significance in finance. It employs diverse techniques, including time inversion and Skorokhod embeddings, to analyze these phenomena, providing a comprehensive exploration of their applications and implications within mathematical finance.
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Peacocks and Associated Martingales, with Explicit Constructions, Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
- Language
- Released
- 2011
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- (Hardcover)
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