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This study investigates the price and trading volume effects of changes in the Nikkei 500. On average, prices increase (decrease) significantly for stocks added (deleted) with no significant post‐event reversals. Trading volume, on average, increases significantly for both stocks added and...
Based on the potential approach to interest rate modelling, we introduce a simple tractable model for the unified valuation of interest rate, currency and equity derivatives. Our model is able to accommodate the initial term structure of zero‐coupon bond prices, generate positive and bounded...
This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black. We first provide a brief and very selective review of their seminal work in contingent claims...
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