Overview
- User-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation and its possible extensions
- Provides details to efficiently implement the proposed estimators in real cases
- Includes codes for reproducing numerical results
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Quantitative Finance (BRIEFFINANCE)
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Table of contents (6 chapters)
Keywords
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.
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Authors and Affiliations
Bibliographic Information
Book Title: Fourier-Malliavin Volatility Estimation
Book Subtitle: Theory and Practice
Authors: Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
Series Title: SpringerBriefs in Quantitative Finance
DOI: https://doi.org/10.1007/978-3-319-50969-3
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2017
Softcover ISBN: 978-3-319-50967-9Published: 08 March 2017
eBook ISBN: 978-3-319-50969-3Published: 01 March 2017
Series ISSN: 2192-7006
Series E-ISSN: 2192-7014
Edition Number: 1
Number of Pages: X, 138
Number of Illustrations: 25 illustrations in colour
Topics: Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences, Data Mining and Knowledge Discovery