Fourier-Malliavin Volatility Estimation
Theory and Practice
Buch in deiner Nähe kaufen
Beschreibung
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.
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
Autor*in
Maria Elvira Mancino
Themen in »Fourier-Malliavin Volatility Estimation«
Fourier Analysis Convolution Multivariate Volatility Non-parametric Estimation High Frequency Data Microstructure Noise Volatility of Volatility Leverage quantitative finance
Stimmen zu »Fourier-Malliavin Volatility Estimation«
“This is a very interesting book on Fourier-Malliavin volatility estimation. … this is a easy-to-read and self-contained book for everyone interested in Fourier methods in volatility estimation.” (Elisa Alòs, zbMath 1416.91005, 2019)
()