Abstract In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. In an asset allocation framework with stochastic (co)variances, we consider the possibility to invest also in variance swaps, that are assets which span the volatility as well as the co-volatility risks. We provide explicit solutions for the portfolio optimization prob...

Non-additive interaction between genetic variants, or epistasis, is a possible explanation for the gap between heritability of complex traits and the variation explained by identified genetic loci. Interactions give rise to genotype dependent variance, and therefore the identification of variance quantitative trait loci can be an intermediate step to discover both epistasis and gene by environm...

Importance Sampling is a variance reduction technique possessing the potential of zero-variance estimators in its optimal case. It has been successfully applied in a variety of settings ranging from Monte Carlo methods for static models to simulations of complex dynamical systems governed by stochastic processes. We demonstrate the applicability of Importance Sampling to the simulation of coupl...

Wavelets have recently been a subject of great interest in geophysics, mathematics and signal processing. The discrete wavelet transform can be used to decompose a time series with respect to a set of basis functions, each one of which is associated with a particular scale. The properties of a time series at different scales can then be summarized by the wavelet variance, which decomposes the v...