Frequently Asked Questions In Quantitative Finance

246 Frequently Asked Questions In Quantitative Finance

Beta

0

0.2

0.4

0.6

0.8

1

1.2

1 1.2 1.4 1.6 1.8 2 2.2 2.4 2.6 2.8 3

a = 1

b = 3

c = 2

d = 4

where(·) is the Gamma function. This distribution is

rarely used in finance.

Mean

ad+bc

c+d

.

Variance

cd(b−a)^2

(c+d+1)(c+d)^2

.

Exponential Bounded below, unbounded above. It has

two parameters:a, location;b>0 scale. Its probability

density function is given by

1

b

e

a−x

b x≥a.

This distribution is rarely used in finance.