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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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Bibliographic Details
Main Authors: Mancino, Maria Elvira
Corporate Authors: SpringerLink Online service
Group Author: Recchioni, Maria Cristina; Sanfelici, Simona
Published: Springer International Publishing : Imprint: Springer,
Publisher Address: Cham :
Publication Dates: 2017.
Literature type: eBook
Language: English
Series: SpringerBriefs in Quantitative Finance,
Subjects:
Mathematics
Data mining
Game theory
Economics, Mathematical
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences
Data Mining and Knowledge Discovery
Online Access: http://dx.doi.org/10.1007/978-3-319-50969-3
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. .
Carrier Form: 1 online resource (X, 138 pages) : illustrations.
ISBN: 9783319509693
Index Number: HB135
CLC: O224
Contents: 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.

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