Fourier-Malliavin Volatility Estimation
Theory and Practice
(Sprache: Englisch)
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers...
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Klappentext zu „Fourier-Malliavin Volatility Estimation “
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.
Inhaltsverzeichnis zu „Fourier-Malliavin Volatility Estimation “
Introduction.- A First Glance at Fourier Method.- Estimation of Integrated Volatility.- Estimation of Instantaneous Volatility.- High Frequency Analysis: Market Microstructure Noise Issues.- Getting Inside the Latent Volatility.- Mathematical Essentials.- Codes for the Fourier Estimator.
Bibliographische Angaben
- Autoren: Maria Elvira Mancino , Maria Cristina Recchioni , Simona Sanfelici
- 2017, 1st ed. 2017, X, 138 Seiten, 138 farbige Abbildungen, Masse: 15,4 x 23,6 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3319509675
- ISBN-13: 9783319509679
- Erscheinungsdatum: 30.03.2017
Sprache:
Englisch
Pressezitat
"This is a very interesting book on Fourier-Malliavin volatility estimation. ... this is a easy-to-read and self-contained book for everyone interested in Fourier methods in volatility estimation." (Elisa Alòs, zbMath 1416.91005, 2019)Kommentar zu "Fourier-Malliavin Volatility Estimation"
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