We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between 2006 and 2008. For the majority of stocks, jumps do not...

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones Industrial Average index from 1897 to 2011, and we use the false discovery rate (FDR) as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more...

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules and di- versies...

We present explicit formulae allowing us to price compound and exchange options in the framework of the affine term structure model. The various proposed options deal with discount bonds, coupon bonds and yields. A probabilistic approach is adopted in order to find closed-form pricing formulae....

We analyze the joint convergence of sequenes of discounted stock prices and Radon-Nycodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general...