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Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Emilio Barucci

    (Dipartimento di Matematica, Politecnico di Milano, Italy)

  • Paul Malliavin

    (10 rue Saint Louis en l'Isle, 75004 Paris, France)

  • Maria Elvira Mancino

    (DIMAD, Università di Firenze, Italy)

Abstract

No abstract received.

Suggested Citation

  • Emilio Barucci & Paul Malliavin & Maria Elvira Mancino, 2006. "Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 1, pages 1-34, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812774637_0001
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    Cited by:

    1. Curato, Imma Valentina & Mancino, Maria Elvira & Recchioni, Maria Cristina, 2018. "Spot volatility estimation using the Laplace transform," Econometrics and Statistics, Elsevier, vol. 6(C), pages 22-43.

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