The Fourier-Malliavin volatility (FMVol) Matlab^ library

DOI10.1016/J.MATCOM.2024.07.003MaRDI QIDQ6993023zbMATH OpenFDO

Authors Simona Sanfelici, Giacomo Toscano

Publication date 25 April 2025

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.MATCOM.2024.07.003

zbMATH Keywords

Fourier analysisleveragenonparametric estimationquarticityvolatilityvolatility of volatility

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Fourier transform method for nonparametric estimation of multivariate volatility
• An Algorithm for the Machine Calculation of Complex Fourier Series
• Asymptotic results for the Fourier estimator of the integrated quarticity
• Bias-optimal vol-of-vol estimation: the role of window overlapping
• Climate time series analysis. Classical statistical and bootstrap methods
• Estimation of quarticity with high-frequency data
• Estimation of the stochastic leverage effect using the Fourier transform method
• Fourier analysis of time series. An introduction.
• Fourier series method for measurement of multivariate volatilities
• Fourier-Malliavin Volatility Estimation
• High-frequency volatility of volatility estimation free from spot volatility estimates
• scientific article; zbMATH DE number 803197 (Why is no real title available?)
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Malliavin-Mancino estimators implemented with nonuniform fast Fourier transforms
• Nonparametric modeling of longitudinal covariance structure in functional mapping of quantitative trait loci
• Rate-efficient asymptotic normality for the Fourier estimator of the leverage process
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes

Cited in

(2)

• An empirical analysis of spot and forward interest rates in seven European countries via principal component analysis and the Malliavin-Mancino method
• Spot beta estimation with asynchronous noisy prices

This page was built for publication: The Fourier-Malliavin volatility (FMVol) Matlab\(^{\circledR}\) library

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6993023)