Fourier-Malliavin Volatility Estimation Theory and Practice

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 t...

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Main Authors: Mancino, Maria Elvira, Recchioni, Maria Cristina (Author), Sanfelici, Simona (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2017, 2017
Edition:1st ed. 2017
Series:SpringerBriefs in Quantitative Finance
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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.
Physical Description:X, 138 p. 25 illus. in color online resource
ISBN:9783319509693