Fourier-Malliavin volatility estimation : theory and practice
著者
書誌事項
Fourier-Malliavin volatility estimation : theory and practice
（SpringerBriefs in quantitative finance）
Springer, c2017
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注記
Includes bibliographical references (p. 123-131) and index
内容説明・目次
内容説明
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.
目次
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.
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