JSTOR Daily

Signal Variance and Its Application to Continuous Measurements of e.e.g. Activity

Proceedings of the Royal Society of London. Series B, Biological Sciences, Vol. 161, No. 984, A Discussion on the Development of Habitats in the Post-Glacial (Jan. 12, 1965), pp. 421-437 (17 pages) ...
JSTOR Daily

The Variance of Left-Truncated Continuous Nonnegative Distributions

Let X be a continuous nonnegative random variable with finite first and second moments and a continuous pdf that is positive on the interior of its support. A nonzero limiting density at the origin ...
Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Investopedia

What Is Variance in Statistics? Definition, Formula, and Example

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Investopedia

Understanding Portfolio Variance: Key Concepts and Calculation Formula

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Risk

Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models

We introduce fast and unbiased methods for Monte Carlo valuation of lookback, swing, and barrier options under variance gamma models. For the valuation of lookback and swing options, a procedure to ...