Multifractal Volatility: Theory, Forecasting, and Pricing

Calvet, Laurent E. Fisher, Adlai J.

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Éditeur
Academic Press Inc
Pages
272
Parution
octobre 2008
Format
Cartonné
Langue
Anglais
Dimensions
229 × 152 × 23 cm
EAN
9780121500139
  • Résumé

Offers a technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a treatment of the use of multifractal techniques in finance. This book aims to popularize the approach by presenting these developments to a wider audience.
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