Advertisement

© 2017

Fourier-Malliavin Volatility Estimation

Theory and Practice

Benefits

  • User-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation and its possible extensions

  • Provides details to efficiently implement the proposed estimators in real cases

  • Includes codes for reproducing numerical results

Book

Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-x
  2. Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
    Pages 1-4
  3. Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
    Pages 5-11
  4. Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
    Pages 13-30
  5. Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
    Pages 31-47
  6. Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
    Pages 49-74
  7. Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
    Pages 75-99
  8. Back Matter
    Pages 101-135

About this book

Introduction

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. 

Keywords

Fourier Analysis Convolution Multivariate Volatility Non-parametric Estimation High Frequency Data Microstructure Noise Volatility of Volatility Leverage

Authors and affiliations

  1. 1.Department of Economics and ManagementUniversity of FirenzeFirenzeItaly
  2. 2.Department of ManagementUniversity Politecnica delle MarcheAnconaItaly
  3. 3.Department of EconomicsUniversity of ParmaParmaItaly

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

“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)