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Fourier-Malliavin Volatility Estimation : Theory and Practice / / by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici



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Autore: Mancino Maria Elvira Visualizza persona
Titolo: Fourier-Malliavin Volatility Estimation : Theory and Practice / / by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici Visualizza cluster
Pubblicazione: Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Edizione: 1st ed. 2017.
Descrizione fisica: 1 online resource (X, 138 p. 25 illus. in color.)
Disciplina: 519
Soggetto topico: Social sciences - Mathematics
Game theory
Data mining
Mathematics in Business, Economics and Finance
Game Theory
Data Mining and Knowledge Discovery
Persona (resp. second.): RecchioniMaria Cristina
SanfeliciSimona
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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.
Sommario/riassunto: 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. .
Titolo autorizzato: Fourier-Malliavin Volatility Estimation  Visualizza cluster
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910254312303321
Lo trovi qui: Univ. Federico II
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Serie: SpringerBriefs in Quantitative Finance, . 2192-7014