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After a detailed historical review they conclude that a realistic modelling of quadratic variations requires either the relaxation of independent increments or the relaxation of continuity of returns (or both). The paper focuses on pricing derivatives on quadratic variation by relaxing the continuity of returns, while retaining independent increments. The analysis is restricted to L\u00e9vy and Sato processes of returns. The following properties are studied: infinite activity, variation, complete monotonicity, self decomposability, and membership in the hierarchy of higher orders of decomposability for forward returns and realized variations. It is considered how one may reversely engineer a price process with a pre-specified skewness so that it is consistent with given quadratic variation properties. The Laplace transforms of quadratic variation are employed to price options on realized variance and volatility. 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