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...
Κύριοι συγγραφείς: | , , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Cham :
Springer International Publishing : Imprint: Springer,
2017.
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Σειρά: | SpringerBriefs in Quantitative Finance,
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.