Estimating the Hurst Parameter From Short Term Volatility Swaps: A Malliavin Calculus Approach

Finance and Stochastics - Germany
doi 10.1007/s00780-019-00384-5
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Science and Business Media LLC

Related search

Weak Approximations. A Malliavin Calculus Approach

SSRN Electronic Journal
1999English

Stochastics Calculus: Malliavin Calculus in a Simplest Way

IOSR Journal of Mathematics
2013English

An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach

Asia-Pacific Financial Markets
Finance
2016English

A Novel Approach to the Estimation of the Hurst Parameter in Self-Similar Traffic

English

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

SSRN Electronic Journal
2002English

Short Term Predicting Volatility Service Jordanian Sector

2019English

Universal Malliavin Calculus in Fock and Lévy-Itô Spaces

Communications on Stochastic Analysis
StatisticsProbability
2009English

A Note on Wavelet-Based Estimator of the Hurst Parameter

Entropy
Electronic EngineeringInformation SystemsMathematical PhysicsElectricalAstronomyPhysics
2020English

Estimating Probability Densities From Short Samples: A Parametric Maximum Likelihood Approach

Physical Review E
1998English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy