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Fourier-Malliavin volatility estimat...

Mancino, Maria Elvira.

Fourier-Malliavin volatility estimationtheory and practice /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Fourier-Malliavin volatility estimationby Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
其他題名:	theory and practice /
作者:	Mancino, Maria Elvira.
其他作者:	Recchioni, Maria Cristina.
出版者:	Cham :Springer International Publishing :2017.
面頁冊數:	x, 138 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Estimation theory.
電子資源:	http://dx.doi.org/10.1007/978-3-319-50969-3
ISBN:	9783319509693$q(electronic bk.)

Fourier-Malliavin volatility estimationtheory and practice /
Mancino, Maria Elvira.

Fourier-Malliavin volatility estimationtheory and practice /[electronic resource] :by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici. - Cham :Springer International Publishing :2017. - x, 138 p. :ill., digital ;24 cm. - SpringerBriefs in quantitative finance,2192-7006. - SpringerBriefs in quantitative finance..

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.

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.

ISBN: 9783319509693$q(electronic bk.)

Standard No.: 10.1007/978-3-319-50969-3doiSubjects--Topical Terms:

181864
Estimation theory.

LC Class. No.: QA276.8

Dewey Class. No.: 519.544

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