Category Archives: Study Notes

Kurtosis

Leotokurtic: kurtosis>3 Mesokurtic: kurtosis=3 Platyk: kurtosis<3 From wiki: http://en.wikipedia.org/wiki/Kurtosis D: Laplace distribution, also known as the double exponential distribution, red curve (two straight lines in the log-scale plot), excess kurtosis = 3 S: hyperbolic secant distribution, orange curve, excess kurtosis = 2 L: logistic distribution, green … Continue reading

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Covariance matrix

The covariance matrix of random variables is an matrix that . The correlation matrix is the covariance matrix of standardized random variables . For any random variable , we have , where . So the covariance matrix is positive-semidefinite, since … Continue reading

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The forth business day of the month

What is the probability that the forth business day of the month is Thursday?(forget about the holidays on weekdays) This is like asking what is the probability that the first day of the month is Sat, Sun, or Monday. So … Continue reading

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On Black-Scholes Equation, Black-Scholes Formula and Binary Option Price

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