Frequently Asked Questions In Quantitative Finance

244 Frequently Asked Questions In Quantitative Finance

Variance

1

3

π^2 b^2.

Laplace This distribution is unbounded below and above.

It has two parameters:a, location;b>0 scale. Its prob-

ability density function is given by

1

2 b

e−

|x−a|

b.

Errors in observations are usually either normal or

Laplace.

Mean

a.

Variance

2 b^2.

Laplace

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

-4 -3 -2 -1 0 1 2 3 4

a = 1

b = 3