A non-parametric calibration of the HJM geometry : an application of Ito calculus to financial statistics

• Paul Malliavin

• Maria Elvira Mancino

• Maria Cristina Recchioni

Bibliographic Information

Other Title

• Special Feature : Award of the 1st Gauss Prize to K. Ito

Journal

• Japanese journal of mathematics. 3rd series / The Mathematical Society of Japan

  Japanese journal of mathematics. 3rd series / The Mathematical Society of Japan 2 (1), 55-77, 2007

  Tokyo : Springer Japan

Keywords

• non-parametric estimation
• stochastic volatility
• Fourier analysis
• high frequency data
• HJM equation
• hypoellipticity
• Lie brackets
• finite dimensional realizations

Details

• CRID: 1521417755745340544
• NII Article ID: 10018920021
• NII Book ID: AA12130756
• DOI: 10.1007/s11537-007-0666-7
• ISSN: 18613624
• ISSN: 02892316
• NDL BIB ID: 025086684
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I025086684
• Web Site: http://link.springer.com/content/pdf/10.1007/s11537-007-0666-7.pdf
• Web Site: http://link.springer.com/article/10.1007/s11537-007-0666-7/fulltext.html
• Web Site: http://link.springer.com/content/pdf/10.1007/s11537-007-0666-7
• Text Lang: en
• NDL Source Classification:
  • ZM31(科学技術--数学)
• Data Source:
  • NDL
  • Crossref
  • CiNii Articles