Introduction
This page provides supplementary materials for the book "Nonparametric Finance".
See the table of contents and the introduction.
Bibitem
@book{statfina,
title = {Nonparametric Finance},
author = {Klemel\"a, J.},
year = {2018},
publisher = {Wiley},
address = {New York},
}
Links
See the product page of Wiley.
Reproducing the Results
Chapter 7. Volatility Prediction
Volatility prediction is covered in home page of "Volatility prediction using kernel regression" and home page of "Nonparametric volatility prediction"
Covariance prediction is covered in home page of "Covariance prediction using kernel regression".
Chapter 17. Quadratic and Local Quadratic Hedging
Nonparametric estimation in quadratic hedging is covered in home page of "Nonparametric estimation in quadratic hedging".