Fourier-Malliavin Volatility Estimation
Theory and Practice
Nonfiction, Science & Nature, Mathematics, Game Theory, Applied, Business & Finance
| Author: | Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici | ISBN: | 9783319509693 |
| Publisher: | Springer International Publishing | Publication: | March 1, 2017 |
| Imprint: | Springer | Language: | English |
| Author: | Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici |
| ISBN: | 9783319509693 |
| Publisher: | Springer International Publishing |
| Publication: | March 1, 2017 |
| Imprint: | Springer |
| Language: | English |
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.
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.
