The  Fourier volatility estimation method was introduced by P. Malliavin and M.E. Mancino in 2002. Since then, the scientific literature on the theoretical properties and the applications of the Fourier method has grown, as several papers have been published in peer-reviewed international journals that cover topics not only in mathematical finance, high-frequency econometrics, and econophysics, but also in natural and medical sciences.

This website aims to collect all the scientific work about the Fourier volatility estimation method and provide updates on new papers and events, such as workshops and seminars. 

Contributors: Maria Elvira Mancino (University of Florence),  Imma Curato (Chemnitz University),  Tommaso Mariotti (University of Turin), Maria Cristina Recchioni (Polytechnic University of Marche), Simona Sanfelici (University of Parma), Giacomo Toscano (University of Florence).

Queries: giacomo(dot)toscano(at)unifi(dot)it