Multifractal volatility : theory, forecasting, and pricing / by Laurent E. Calvet, Adlai J. Fisher.

Title
Multifractal volatility : theory, forecasting, and pricing / by Laurent E. Calvet, Adlai J. Fisher.
Author
Calvet, Laurent E.
Publication
Burlington, MA ; London : Academic Press, c2008.

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Details

Additional Authors
Fisher, Adlai.
Description
xiii, 258 p. : ill.; 24 cm.
Series Statement
Academic Press advanced finance series
Uniform Title
Academic Press advanced finance series.
Subjects
Bibliography (note)
  • Includes bibliographical references (p. [229]-250) and index.
Contents
1. Introduction -- I. Discrete Time -- 2. Background: Discrete-Time Volatility Modeling -- 3. The Markov-Switching Multifractal (MSM) in Discrete Time -- 4. Multivariate MSM -- II. Continuous Time -- 5. Background: Continuous-Time Volatility Modeling -- 6. Multifractal Diffusions Through Time Deformation and the MMAR -- 7. Continuous-Time MSM -- 8. Power Variation -- III. Equilibrium Pricing -- 9. Multifrequency News and Stock Returns -- 10. Multifrequency Jump-Diffusions -- 11. Conclusion -- A. Appendices.
ISBN
  • 9780121500139 (hbk.)
  • 0121500136 (hbk.)
Owning Institutions
Columbia University Libraries