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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
Available Online
Springer Nature - Springer Mathematics and Statistics eBooks 2017 English International
SpringerLink Books Mathematics and Statistics
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Call Number
Status
Location Service
Notes
Firestone Library - Stacks
QA276.8 .M37 2017
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Details
Subject(s)
Estimation theory
[Browse]
Fourier analysis
[Browse]
Author
Recchioni, Maria Cristina
[Browse]
Sanfelici, Simona
[Browse]
Series
SpringerBriefs in quantitative finance
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SpringerBriefs in quantitative finance, 2192-7006
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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.
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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.
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Fourier-Malliavin Volatility Estimation [electronic resource] : Theory and Practice / by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
id
99125135202006421