Access Statistics for Robert Jarrow

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Integrated Approach to Hedging and Pricing Eurodollar Derivatives 0 0 0 1 1 3 16 730
Housing Market Microstructure 0 0 1 49 0 1 6 122
Informational Efficiency under Short Sale Constraints 0 2 6 6 1 5 12 12
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 1 1 2 632 2 6 29 1,879
Is there a bubble in LinkedIn's stock price? 0 1 10 46 0 3 28 151
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 3 709
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 315
Model Error in Contingent Claim Models Dynamic Evaluation 0 1 2 293 0 4 15 1,766
Modeling Credit Risk with Partial Information 0 1 4 30 1 2 8 70
Modeling credit risk with partial information 0 1 1 1 1 3 6 6
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 10 413
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 135 0 2 20 387
Specification Tests of Calibrated Option Pricing Models 0 3 11 23 0 5 28 41
The economic default time and the Arcsine law 0 0 0 28 0 0 2 81
Total Working Papers 1 10 39 1,247 6 35 185 6,682


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Characterization of Complete Security Markets On A Brownian Filtration 0 0 0 12 2 2 2 36
A Critique of Revised Basel II 1 2 18 216 1 3 51 467
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 3 7 20 60 5 11 47 146
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 3 5 30 2,578
A Model of the Convenience Yields in On-the-Run Treasuries 0 1 3 150 0 1 12 548
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 15
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 4 249
A characterization theorem for unique risk neutral probability measures 1 1 1 23 1 1 2 84
A comparison of the APT and CAPM a note 0 1 21 1,212 0 5 53 3,128
A generalized coherent risk measure: The firm's perspective 0 0 1 82 0 0 4 167
A leverage ratio rule for capital adequacy 2 4 43 86 8 11 140 245
A liquidity-based model for asset price bubbles 1 2 8 20 1 2 16 38
A simple robust model for Cat bond valuation 0 3 14 122 3 9 39 270
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 4 21 0 0 6 65
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 2 3 31 31 8 17 77 77
An autoregressive jump process for common stock returns 0 0 1 119 1 2 7 223
An improved test for statistical arbitrage 1 3 7 34 2 7 25 99
Approximate option valuation for arbitrary stochastic processes 2 6 26 830 4 16 57 1,243
Arbitrage, Continuous Trading, and Margin Requirements 1 1 1 42 1 1 8 176
Bayesian analysis of contingent claim model error 0 2 5 88 1 4 17 214
Beliefs and arbitrage pricing 0 0 0 14 0 0 0 33
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 3 83 1 4 14 185
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 0 29 4,857 3 15 125 9,581
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 4 4 0 1 18 18
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 2 89 0 1 10 278
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 1 2 85
Convenience yields 0 1 2 15 4 6 26 55
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 0 0 8 440
Credit Risk Models 1 5 16 126 3 13 36 249
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 3 10 90 2 6 59 205
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 4 86 2 2 14 198
Delta, gamma and bucket hedging of interest rate derivatives 1 6 15 51 2 10 49 153
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 4 72 3 3 16 148
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 1 10 40 2 3 40 118
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 1 2 0 1 11 17
Distressed debt prices and recovery rate estimation 0 1 6 79 1 2 28 236
Downside Loss Aversion and Portfolio Management 0 0 2 11 0 0 18 48
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 0 1 4 54
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 3 45 0 1 7 85
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 1 1 3 469 2 2 14 1,770
FORWARD AND FUTURES PRICES WITH BUBBLES 1 2 7 102 1 4 21 213
Financial crises and economic growth 2 3 5 5 4 8 11 11
Foreign currency bubbles 0 0 2 21 2 3 11 58
Forward contracts and futures contracts 2 4 14 443 7 16 52 1,014
Hedging contingent claims on semimartingales 0 0 1 176 0 0 2 670
Hedging derivatives with model error 0 0 3 7 1 2 9 22
Hedging in a HJM model 1 1 2 56 1 1 13 138
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 2 8 117 2 4 15 244
Housing prices and the optimal time-on-the-market decision 0 0 2 4 1 1 11 22
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 2 5 521 0 2 10 1,591
Information reduction via level crossings in a credit risk model 0 1 4 23 0 1 7 68
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 1 2 68 3 3 5 204
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 2 216 0 1 6 539
Large traders, hidden arbitrage, and complete markets 0 2 2 45 1 4 7 115
Liquidity risk and arbitrage pricing theory 0 1 6 39 0 1 18 153
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 31 2 2 11 86
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 1 15 240
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 11 198 3 10 45 409
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 2 38 0 2 9 99
Market Pricing of Deposit Insurance 0 0 6 66 1 1 11 141
Modeling loan commitments 1 3 13 134 2 5 27 244
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 1 2 4 42 1 2 4 72
On Model Testing in Financial Economics 0 0 1 16 0 0 2 35
Operational risk 1 1 3 129 2 3 15 290
Option Pricing and Implicit Volatilities 0 0 0 0 1 1 3 141
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 45 0 0 2 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 3 23 1,176 3 10 71 2,071
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 1 6 76 3 3 16 130
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 2 13 159 1 4 42 362
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 2 11 128 2 9 30 305
Pricing foreign currency options under stochastic interest rates 0 0 1 996 0 0 3 1,533
Primes and Scores: An Essay on Market Imperfections 0 0 4 94 3 3 14 580
Put Option Premiums and Coherent Risk Measures 0 0 0 43 0 0 5 105
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 1 6 1 4 24 69
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 2 10 91 1 5 35 264
Restructuring risk in credit default swaps: An empirical analysis 0 1 2 11 1 3 10 44
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 3 169
Risky coupon bonds as a portfolio of zero-coupon bonds 0 1 6 69 0 4 13 196
Spanning and completeness in markets with contingent claims 0 3 17 153 0 5 23 243
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 2 3 7 7 5 6 18 18
Tax liens: a novel application of asset pricing theory 0 0 1 32 0 1 8 94
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 1 1 10 318 1 2 33 718
The Economics of Credit Default Swaps 1 1 8 16 2 4 23 50
The Liquidity Discount 0 0 3 207 0 7 19 706
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 36 0 0 3 128
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 100 5 5 53 425
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 2 16
The Second Fundamental Theorem of Asset Pricing 0 0 0 11 4 5 17 48
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 2 10 774
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 4 414 2 6 23 1,136
The Term Structure of Interest Rates 1 9 40 142 13 34 128 385
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 2 6 432 1 6 27 756
The cost of operational risk loss insurance 0 0 1 26 1 1 10 66
The error learning hypothesis: The evidence reexamined 0 1 1 8 0 1 3 41
The intersection of market and credit risk 0 1 2 594 2 6 14 990
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 1 1 41 0 2 10 117
The zero-lower bound on interest rates: Myth or reality? 1 1 8 8 2 3 19 19
Understanding the risk of leveraged ETFs 3 4 20 102 4 8 47 218
Total Journal Articles 43 121 638 17,691 160 396 2,196 43,851


Statistics updated 2014-10-03