Fourier-Malliavin Volatility Estimation : Theory and Practice / Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici |
Autore | Mancino, Maria Elvira |
Pubbl/distr/stampa | Cham, : Springer, 2017 |
Descrizione fisica | X, 135 p. : ill. ; 24 cm |
Altri autori (Persone) |
Recchioni, Maria Cristina
Sanfelici, Simona |
Soggetto topico |
42B05 - Fourier series and coefficients in several variables [MSC 2020]
62H12 - Estimation in multivariate analysis [MSC 2020] 42A38 - Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type [MSC 2020] 62P20 - Applications of statistics to economics [MSC 2020] 62G05 - Nonparametric estimation [MSC 2020] 62P05 - Applications of statistics to actuarial sciences and financial mathematics [MSC 2020] 62F12 - Asymptotic properties of parametric estimators [MSC 2020] |
Soggetto non controllato |
Convolution
Fourier analysis High-frequency data Leverage Microstructure Noise Multivariate Volatility Non-parametric estimation Science as a business Volatility of Volatility |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0123445 |
Mancino, Maria Elvira | ||
Cham, : Springer, 2017 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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Leveraged exchange-traded funds : price dynamics and options valuation / Tim Leung, Marco Santoli |
Autore | Leung, Tim |
Pubbl/distr/stampa | Cham, : Springer, 2016 |
Descrizione fisica | X, 97 p. : ill. ; 24 cm |
Altri autori (Persone) | Santoli, Marco |
Soggetto topico |
91G70 - Statistical methods; risk measures [MSC 2020]
91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] 91G10 - Portfolio theory [MSC 2020] 62F30 - Parametric inference under constraints [MSC 2020] |
Soggetto non controllato |
Exchange-traded funds
Implied volatility Leverage Leveraged portfolios Option pricing Quantitative Finance Risk horizon Tracking errors Trading strategies |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0114926 |
Leung, Tim | ||
Cham, : Springer, 2016 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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