Maria Elvira Mancino,
Maria Cristina Recchioni,
Simona Sanfelici
Springer International Publishing
e druk, 2017
9783319509679
Fourier-Malliavin Volatility Estimation
Theory and Practice
Specificaties
Paperback, blz.
|
Engels
Springer International Publishing |
e druk, 2017
ISBN13: 9783319509679
Rubricering
Onderdeel van serie
SpringerBriefs in Quantitative Finance
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9783319509679
Taal:Engels
Bindwijze:paperback
Uitgever:Springer International Publishing
Inhoudsopgave
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.