Fourier-Malliavin Volatility Estimation Theory and Practice /

• Main Authors: Mancino, Maria Elvira (Author), Recchioni, Maria Cristina (Author), Sanfelici, Simona (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• 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.
• Physical Description: X, 138 p. 25 illus. in color. online resource.
• ISBN: 9783319509693
• ISSN: 2192-7006

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. .