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

DOI10.1007/s11537-007-0666-7zbMath1171.35025OpenAlexW2003434757MaRDI QIDQ1000328

Maria Elvira Mancino, Paul Malliavin, Maria Cristina Recchioni

Publication date: 6 February 2009

Published in: Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11537-007-0666-7

zbMATH Keywords

stochastic volatilityLie bracketshigh frequency datafinite dimensional realizations

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Fourier series and coefficients in several variables (42B05) Hypoelliptic equations (35H10)

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