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SpringerBriefs in Quantitative Finance

Fourier-Malliavin Volatility Estimation

Theory and Practice

Authors: Mancino, Maria Elvira, Recchioni, Maria Cristina, Sanfelici, Simona

  • User-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation and its possible extensionsProvides details to efficiently implement the proposed estimators in real cases
  • Includes codes for reproducing numerical results
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eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-50969-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-3-319-50967-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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. 

Table of contents (6 chapters)

  • Introduction

    Mancino, Maria Elvira (et al.)

    Pages 1-4

  • A First Glance at Fourier Method

    Mancino, Maria Elvira (et al.)

    Pages 5-11

  • Estimation of Integrated Volatility

    Mancino, Maria Elvira (et al.)

    Pages 13-30

  • Estimation of Instantaneous Volatility

    Mancino, Maria Elvira (et al.)

    Pages 31-47

  • High Frequency Analysis: Market Microstructure Noise Issues

    Mancino, Maria Elvira (et al.)

    Pages 49-74

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-50969-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-3-319-50967-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Fourier-Malliavin Volatility Estimation
Book Subtitle
Theory and Practice
Authors
Series Title
SpringerBriefs in Quantitative Finance
Copyright
2017
Publisher
Springer International Publishing
Copyright Holder
The Author(s)
eBook ISBN
978-3-319-50969-3
DOI
10.1007/978-3-319-50969-3
Softcover ISBN
978-3-319-50967-9
Series ISSN
2192-7006
Edition Number
1
Number of Pages
X, 138
Number of Illustrations and Tables
25 illustrations in colour
Topics