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 ...

Continuous Variable: can take on any value between two specified values. Obtained by measuring. Covariance: a measure of the direction of the linear relationship between two variables. Discrete ...

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 ...

We develop an efficient Monte Carlo method for the valuation of financial contracts on discretely realized variance.We work with a general stochastic volatility model that makes realized variance ...