Fourier-Malliavin Volatility Estimation Theory and Practice
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. Reader
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Maria Elvira Mancino Maria Cristina Recchioni Simona Sanfelici
Fourier-Malliavin Volatility Estimation Theory and Practice 123
SpringerBriefs in Quantitative Finance Series editors Peter Bank, Berlin, Germany Pauline Barrieu, London, UK Lorenzo Bergomi, Paris, France Rama Cont, London, UK Jakˇsa Cvitanic, Pasadena, CA, USA Matheus R. Grasselli, Toronto, Canada Steven Kou, Singapore, Singapore Mike Ludkowski, Santa Barbara, CA, USA Vladimir Piterbarg, London, UK Nizar Touzi, Palaiseau Cedex, France
More information about this series at http://www.springer.com/series/8784
Maria Elvira Mancino • Maria Cristina Recchioni Simona Sanfelici
Fourier-Malliavin Volatility Estimation Theory and Practice
123
Maria Elvira Mancino Department of Economics and Management University of Firenze Firenze, Italy
Maria Cristina Recchioni Department of Management University Politecnica delle Marche Ancona, Italy
Simona Sanfelici Department of Economics University of Parma Parma, Italy
ISSN 2192-7006 ISSN 2192-7014 (electronic) SpringerBriefs in Quantitative Finance ISBN 978-3-319-50967-9 ISBN 978-3-319-50969-3 (eBook) DOI 10.1007/978-3-319-50969-3 Library of Congress Control Number: 2016963594 Mathematics Subject Classification (2010): 42A38, 42B05, 62G05, 62F12, 62H12, 62P05, 62P20, 91G70 © The Author(s) 2017 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
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Preface
The concept of volatility refers to any phenomenon presenting features of instability, unpredictability, and a likeliness to change frequently, often without apparent or cogent reason; in a word, a phenomenon that exhibits random variations. Therefore, it is an essential
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