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

DOI10.1007/s11537-007-0666-7zbMath1171.35025MaRDI 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 volatility; Lie brackets; high frequency data; finite dimensional realizations

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

42B05: Fourier series and coefficients in several variables

35H10: Hypoelliptic equations