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＜電子ブック＞
Fourier-Malliavin Volatility Estimation : Theory and Practice / by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
(SpringerBriefs in Quantitative Finance. ISSN:21927014)

版	1st ed. 2017.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2017
大きさ	X, 138 p. 25 illus. in color : online resource
著者標目	*Mancino, Maria Elvira author Recchioni, Maria Cristina author Sanfelici, Simona author SpringerLink (Online service)
件　名	LCSH:Social sciences—Mathematics LCSH:Game theory LCSH:Data mining FREE:Mathematics in Business, Economics and Finance FREE:Game Theory FREE:Data Mining and Knowledge Discovery
一般注記	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 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. HTTP:URL=https://doi.org/10.1007/978-3-319-50969-3

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