Fourier-Malliavin volatility estimation : theory and practice / Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.

Author
Mancino, Maria Elvira [Browse]
Format
Book
Language
English
Published/​Created
  • Cham, Switzerland : Springer, [2017]
  • ©2017.
Description
x, 135 pages : illustrations ; 24 cm

Availability

Copies in the Library

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Firestone Library - Stacks QA276.8 .M37 2017 Browse related items Request

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    Summary note
    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. .
    Bibliographic references
    Includes bibliographical references and index.
    Contents
    • 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.
    ISBN
    • 3319509675
    • 9783319509679
    OCLC
    962895676
    Statement on language in description
    Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage. Read more...
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