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searching for Quadratic variation 7 found (139 total)

Russo–Vallois integral (948 words) [view diff] exact match in snippet view article find links to article

[ X ] := [ X , X ] {\displaystyle [X]:=[X,X]\,} is equal to the quadratic variation process. Also for the Russo-Vallois Integral an Ito formula holds:
Rama Cont (1,610 words) [view diff] exact match in snippet view article find links to article
Rama (2017). "Pathwise integration with respect to paths of finite quadratic variation". Journal de Mathématiques Pures et Appliquées. 107 (6): 737–757
Realized variance (642 words) [view diff] exact match in snippet view article find links to article
RV}}} . Under ideal circumstances the RV consistently estimates the quadratic variation of the price process that the returns are computed from. Ole E. Barndorff-Nielsen
Itô's lemma (3,744 words) [view diff] exact match in snippet view article find links to article
dt2 and dt dBt terms to zero, substituting dt for dB2 (due to the quadratic variation of a Wiener process), and collecting the dt and dB terms, we obtain
Human impact on the nitrogen cycle (4,111 words) [view diff] case mismatch in snippet view article find links to article
1890/0012-9658(1997)078[0081:CIRLAG]2.0.CO;2. Wilson, S. D.; Tilman, D. (2002). "Quadratic Variation in Old-Field Species Richness Along Gradients of Disturbance and
Option on realized variance (1,805 words) [view diff] exact match in snippet view article find links to article
also be defined through continuous sampling, which resulted in the quadratic variation of the underlying price. That is, if we suppose that σ ( t ) {\displaystyle
Option on realized volatility (2,001 words) [view diff] exact match in snippet view article find links to article
converges in probability to the squared root of the underlying asset quadratic variation i.e. lim n → ∞ R V d = 1 T ∫ 0 T σ ( s ) d s =: R V c {\displaystyle