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Fourier-Malliavin Volatility Estimation: Theory and Practice
Paperback
Series: Springerbriefs in Quantitative Finance
ISBN13: 9783319509679
Publisher: Springer
Published: Mar 8 2017
Pages: 138
Weight: 0.48
Height: 0.32 Width: 6.14 Depth: 9.21
Language: English
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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