Fourier-Malliavin Volatility Estimation

Theory and Practice

AvMaria Elvira Mancino,Maria Cristina Recchioni

Häftad, Engelska, 2017

Del i serien SpringerBriefs in Quantitative Finance

639 kr

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2017-03-08
Mått:155 x 235 x undefined mm
Format:Häftad
Språk:Engelska
Serie:SpringerBriefs in Quantitative Finance
Antal sidor:138
Förlag:Springer International Publishing AG
ISBN:9783319509679

Utforska kategorier

Optimering inom Naturvetenskap och teknik
Databaser inom Data och IT

Recensioner i media

“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)

Innehållsförteckning

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.