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.

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...