Frequently Asked Questions In Quantitative Finance

242 Frequently Asked Questions In Quantitative Finance

Mean

a.

Variance

a^3

b

.

Gamma Bounded below, unbounded above. It has three

parameters:a, location;b>0 scale;c>0 shape. Its

probability density function is given by

1

b(c)

(

x−a

b

)c− 1

e

a−x

b, x≥a,

where(·) is the Gamma function. Whenc=1thisis

the exponential distribution and whena=0andb= 2

this is the chi-square distribution with 2cdegrees of

freedom.

Gamma

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

00.511.522.533.54

a = 0

b = 0.5

c = 2