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Fourier-Malliavin Volatility Estimation: Theory and Practice: SpringerBriefs in Quantitative Finance

Autor Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
en Limba Engleză Paperback – 8 mar 2017
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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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

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