Titlebook: Stochastic Finance; A. N. Shiryaev,M. R. Grossinho,M. L. Esquível Conference proceedings 2006 Springer-Verlag US 2006 Asset pricing.Extrem

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https://doi.org/10.1007/0-387-28359-5Asset pricing; Extreme values; Martingale; Mathematical finance; Portfolios; SAS; Semimartingale; Stochasti

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Multipower Variation and Stochastic VolatilityIn this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.

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978-1-4419-3932-6Springer-Verlag US 2006

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