Mathematics, Stochastic Modelling, Quantitative Finance, Finance, Probability.
Quantitative finance by Maria C. Mariani Quadratic variation is a measure of the accumulated magnitude of the small fluctuations (increments) in a stochastic process. For a stochastic process 𝑊𝑡, the quadratic variation over an interval [0,𝑇] is defined as: where 0=𝑡0<𝑡1<⋯<𝑡𝑛=𝑇 is a partition of