Fourier-Malliavin Volatility Estimation: Theory and Practice

by Maria Cristina Recchioni, Maria Elvira Mancino, Simona Sanfelici

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...

• Format: Paperback
• Language: English
• ISBN: 3319509675
• ISBN13: 9783319509679
• Release Date: March 2017
• Publisher: Springer
• Length: 138 Pages
• Weight: 0.48 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"