Frequently Asked Questions In Quantitative Finance

240 Frequently Asked Questions In Quantitative Finance

Commonly used to describe the distribution of wealth,

this is the classical power-law distribution.

Mean

ab

b− 1

.

Variance

a^2 b

(b−2)(b−1)^2

.

Note that thenth moment only exists ifb>n.

Uniform Bounded below and above. It has two location

parameters,aandb. Its probability density function is

given by

1

b−a

, a<x<b.

Uniform

0

4

0.2

0.4

0.6

0.8

1

1.2

00.511.522.533.5

a = 1

b = 2