東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁 到查詢結果 [ subject:"Quantitative Finance." ]

切換: 標籤 | MARC模式 | ISBD

Fourier-Malliavin volatility estimat...

Mancino, Maria Elvira.

FindBook

Google Book

Amazon

博客來

Fourier-Malliavin volatility estimation = theory and practice /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Fourier-Malliavin volatility estimation/ by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
其他題名:	theory and practice /
作者:	Mancino, Maria Elvira.
其他作者:	Recchioni, Maria Cristina.
出版者:	Cham :Springer International Publishing : : 2017.,
面頁冊數:	x, 138 p. :ill., digital ;24 cm.
內容註:	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.
Contained By:	Springer eBooks
標題:	Estimation theory. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-50969-3
ISBN:	9783319509693

Fourier-Malliavin volatility estimation = theory and practice /
Mancino, Maria Elvira.

Fourier-Malliavin volatility estimationtheory and practice /[electronic resource] :by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici. - Cham :Springer International Publishing :2017. - x, 138 p. :ill., digital ;24 cm. - SpringerBriefs in quantitative finance,2192-7006. - SpringerBriefs in quantitative finance..

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.

ISBN: 9783319509693

Standard No.: 10.1007/978-3-319-50969-3doiSubjects--Topical Terms:

565962
Estimation theory.

LC Class. No.: QA276.8

Dewey Class. No.: 519.544

Fourier-Malliavin volatility estimation = theory and practice /
LDR:01845nmm a2200337 a 4500 001 2092985
003 DE-He213
005 20170301163629.0
006 m d
007 cr nn 008maaau
008 171117s2017 gw s 0 eng d
020 $a 9783319509693 $q (electronic bk.)
020 $a 9783319509679 $q (paper)
024 7 $a 10.1007/978-3-319-50969-3 $2 doi
035 $a 978-3-319-50969-3
040 $a GP $c GP
041 0 $a eng
050 4 $a QA276.8
072 7 $a KF $2 bicssc
072 7 $a MAT003000 $2 bisacsh
072 7 $a BUS027000 $2 bisacsh
082 0 4 $a 519.544 $2 23
090 $a QA276.8 $b .M269 2017
100 1 $a Mancino, Maria Elvira. $3 3227433
245 1 0 $a Fourier-Malliavin volatility estimation $h [electronic resource] : $b theory and practice / $c by Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2017.
300 $a x, 138 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in quantitative finance, $x 2192-7006
505 0 $a 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.
520 $a 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.
650 0 $a Estimation theory. $3 565962
650 0 $a Fourier analysis. $3 532730
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 891103
650 2 4 $a Data Mining and Knowledge Discovery. $3 898250
700 1 $a Recchioni, Maria Cristina. $3 3227434
700 1 $a Sanfelici, Simona. $3 3227435
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a SpringerBriefs in quantitative finance. $3 2072008
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-50969-3
950 $a Mathematics and Statistics (Springer-11649)