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...

Table of 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.