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

Emilio Barucci, Paul Malliavin and Maria Elvira Mancino
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Emilio Barucci: Dipartimento di Matematica, Politecnico di Milano, Italy
Paul Malliavin: 10 rue Saint Louis en l'Isle, 75004 Paris, France

Chapter 1 in Stochastic Processes and Applications to Mathematical Finance, 2006, pp 1-34 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractNo abstract received.

Keywords: Stochastic Processes; Mathematical Finance; Malliavin Calculus; Martingale Representation; Chaos Expansion; Levy Processes; Stable Processes; Stochastic Differential Equations; Stochastic Control (search for similar items in EconPapers)
Date: 2006
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