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Fourier-Malliavin Volatility Estimation : Theory and Practice / by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
Springer Nature - Springer Mathematics and Statistics eBooks 2017 English International Available online
View online- Format:
- Book
- Author/Creator:
- Mancino, Maria Elvira., Author.
- Recchioni, Maria Cristina., Author.
- Sanfelici, Simona., Author.
- Series:
- SpringerBriefs in Quantitative Finance, 2192-7014
- Language:
- English
- Subjects (All):
- Social sciences--Mathematics.
- Social sciences.
- Game theory.
- Data mining.
- Mathematics in Business, Economics and Finance.
- Game Theory.
- Data Mining and Knowledge Discovery.
- Local Subjects:
- Mathematics in Business, Economics and Finance.
- Game Theory.
- Data Mining and Knowledge Discovery.
- Physical Description:
- 1 online resource (X, 138 p. 25 illus. in color.)
- Edition:
- 1st ed. 2017.
- Place of Publication:
- Cham : Springer International Publishing : Imprint: Springer, 2017.
- Summary:
- 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. .
- 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.
- Notes:
- Includes bibliographical references and index.
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