A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics

DOI10.1007/s11537-007-0666-7zbMath1171.35025OpenAlexW2003434757MaRDI QIDQ1000328

Maria Elvira Mancino, Paul Malliavin, Maria Cristina Recchioni

Publication date: 6 February 2009

Published in: Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11537-007-0666-7

zbMATH Keywords

stochastic volatilityLie bracketshigh frequency datafinite dimensional realizations

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Fourier series and coefficients in several variables (42B05) Hypoelliptic equations (35H10)

Related Items (5)

A Fourier transform method for nonparametric estimation of multivariate volatility ⋮ Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis ⋮ Limit theorems in the Fourier transform method for the estimation of multivariate volatility ⋮ COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA ⋮ Confidence interval for correlation estimator between latent processes

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