Fourier-Malliavin volatility estimation [[electronic resource] ] : theory and practice / / by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici

• Autore: Mancino Maria Elvira
• 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: Economics, Mathematical ; Game theory; Data mining; Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; 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
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910254312303321
• Lo trovi qui: Univ. Federico II
• Serie: SpringerBriefs in Quantitative Finance, . 2192-7006