Fourier-Malliavin Volatility Estimation: Theory and Practice: SpringerBriefs in Quantitative Finance
Autor Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelicien Limba Engleză Paperback – 8 mar 2017
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Specificații
ISBN-13: 9783319509679
ISBN-10: 3319509675
Pagini: 135
Ilustrații: X, 138 p. 25 illus. in color.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.22 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Seria SpringerBriefs in Quantitative Finance
Locul publicării:Cham, Switzerland
ISBN-10: 3319509675
Pagini: 135
Ilustrații: X, 138 p. 25 illus. in color.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.22 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Seria SpringerBriefs in Quantitative Finance
Locul publicării:Cham, Switzerland
Cuprins
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.
Recenzii
“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)
Caracteristici
User-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation and its possible extensions Provides details to efficiently implement the proposed estimators in real cases Includes codes for reproducing numerical results Includes supplementary material: sn.pub/extras