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Mancino / Recchioni / Sanfelici

Fourier-Malliavin Volatility Estimation

Theory and Practice

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eBook. PDF

eBook

2017

138 S. X, 138 p. 25 illus. in color..

In englischer Sprache

Springer International Publishing. ISBN 978-3-319-50969-3

Das Werk ist Teil der Reihe: SpringerBriefs in Quantitative Finance

Produktbeschreibung

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.