Fourier-Malliavin volatility estimation : theory and practice

• 作者： Mancino, Maria Elvira, author.
• 其他作者：
  • Recchioni, Maria Cristina, author.
  • Sanfelici, Simona, author.
  • SpringerLink (Online service)
• 其他題名：
  • SpringerBriefs in quantitative finance.
• 出版： Cham : Springer International Publishing :Imprint: Springer
• 叢書名： SpringerBriefs in quantitative finance,
• 主題： Estimation theory. , Fourier analysis. , Mathematics. , Quantitative Finance. , Game Theory, Economics, Social and Behav. Sciences. , Data Mining and Knowledge Discovery.
• ISBN： 9783319509693 (electronic bk.) 、 9783319509679 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: 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.
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• 摘要註: 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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