Fourier-Malliavin Volatility Estimation: Theory and Practice

ISBN-13: 9783319509679 / Angielski / Miękka / 2017 / 138 str.

Maria Elvira Mancino; Maria Cristina Recchioni; Simona Sanfelici

Opis

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.

Recenzje

"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)

Spis treści

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.