Multiple choice exams are frequently used as an efficient and objective instrument to evaluate knowledge. Nevertheless, they are more vulnerable to answer-copying than tests based on open questions. Several statistical tests (known as indices) have been proposed to detect cheating but to the...

We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced...

This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. The test is applied to credit derivatives markets using strategies combining Credit Default Swaps and Asset Swaps. Using four...

This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. The test is applied to credit derivatives markets using strategies combining Credit Default Swaps (CDS) and Asset Swaps....

This paper proposes an affine-based approach which jointly captures the nominal interest rate, the real interest rate, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year-on-year inflation-indexed swaps, inflation-indexed...

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world in...

The probability distribution of log-returns of financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time series on futures. Then, we show that the...

The probability distribution of log-returns for financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time series on futures. We show that the t-distribution...