JSTOR Daily

The Discrete Mohr and Noll Inequality with Applications to Variance Bounds

In this paper, we provide Poincaré-type upper and lower variance bounds for a function g(X) of a discrete integer-valued random variable (r.v.) X, in terms of the (forward) differences of g up to some ...
Risk

Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance

We analyze the effect of discrete sampling on the valuation of options on the realized variance in the Heston stochastic volatility model. It has been known for some time that, although quadratic ...
JSTOR Daily

AN OPTIMAL VARIANCE ESTIMATE IN STOCHASTIC HOMOGENIZATION OF DISCRETE ELLIPTIC EQUATIONS

This is a preview. Log in through your library . The purpose of The Annals of Probability is to publish contributions to the theory of probability and statistics and their applications. The emphasis ...
Risk

Variance–optimal hedging for discrete-time processes with independent increments: application to electricity markets

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of ...
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 ...