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

Japanese Journal of Mathematics

Volumn 2, Issue 1, 2007, Pages 55-77

  Malliavin, Paul ^a   Mancino, Maria Elvira ^b   Recchioni, Maria Cristina ^c  

^a Dipartimento di Matematica per le Decisioni ^*  (France)

^b Dipartimento di Matematica per le Decisioni   (Italy)

^c UNIVERSITÀ POLITECNICA DELLE MARCHE   (Italy)

Author keywords

Finite dimensional realizations; Fourier analysis; High frequency data; HJ Mequation; Hypo ellipticity; Lie brackets; Non parametric estimation; Stochastic volatility

Indexed keywords

EID: 34047189192     PISSN: 02892316     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11537-007-0666-7     Document Type: Article

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