Fourier-Malliavin Volatility Estimation - Mancino, Maria Elvira;Recchioni, Maria Cristina;Sanfelici, Simona
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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.

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Produktbeschreibung
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.
Rezensionen
"This is a very interesting book on Fourier-Malliavin volatility estimation. ... this is a easy-to-read and self-contained book for everyone interested in Fourier methods in volatility estimation." (Elisa Alòs, zbMath 1416.91005, 2019)