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 0 1 7 736
Housing Market Microstructure 0 2 4 53 0 2 6 127
Informational Efficiency under Short Sale Constraints 0 2 6 11 1 4 14 23
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 2 633 3 5 18 1,892
Is there a bubble in LinkedIn's stock price? 0 1 6 51 0 1 17 166
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 317
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 5 713
Model Error in Contingent Claim Models Dynamic Evaluation 0 1 1 294 0 1 9 1,773
Modeling Credit Risk with Partial Information 0 0 1 30 0 4 8 76
Modeling credit risk with partial information 0 0 3 3 0 2 11 14
Option pricing with random volatilities in complete markets 0 0 0 1 1 3 7 420
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 137 1 2 10 396
Specification Tests of Calibrated Option Pricing Models 1 2 8 29 2 3 29 68
The economic default time and the Arcsine law 1 2 2 30 2 4 8 89
Total Working Papers 2 10 35 1,275 10 33 151 6,810


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 0 1 3 37
A Critique of Revised Basel II 0 1 7 221 2 6 34 499
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 2 10 65 0 4 26 165
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 0 6 28 2,602
A Model of the Convenience Yields in On-the-Run Treasuries 1 1 3 152 1 2 5 552
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 1 1 16
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 2 2 251
A characterization theorem for unique risk neutral probability measures 1 1 2 24 1 1 3 86
A comparison of the APT and CAPM a note 0 2 14 1,226 0 7 41 3,169
A generalized coherent risk measure: The firm's perspective 0 1 1 83 0 1 1 168
A leverage ratio rule for capital adequacy 1 4 31 114 4 23 98 333
A liquidity-based model for asset price bubbles 1 2 4 22 1 3 6 42
A simple robust model for Cat bond valuation 0 7 14 135 0 7 24 290
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 2 23 0 4 7 72
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 2 14 43 1 6 37 102
An autoregressive jump process for common stock returns 0 0 1 120 0 0 2 224
An improved test for statistical arbitrage 1 2 14 46 1 6 28 122
Approximate option valuation for arbitrary stochastic processes 3 8 22 848 3 12 48 1,279
Arbitrage, Continuous Trading, and Margin Requirements 0 0 2 43 0 0 4 179
Bayesian analysis of contingent claim model error 0 2 7 94 1 5 16 228
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 1 3 86 0 2 29 212
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 3 12 29 4,886 10 36 115 9,686
Capital adequacy rules, catastrophic firm failure, and systemic risk 1 2 2 6 1 5 7 24
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 90 0 2 5 283
Computing present values: Capital budgeting done correctly 0 0 6 6 1 6 16 16
Consensus Beliefs Equilibrium and Market Efficiency 0 1 1 27 0 1 1 86
Convenience yields 0 1 3 17 1 3 13 62
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 172 0 3 8 448
Credit Risk Models 1 5 21 143 1 7 35 276
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 2 9 97 2 7 23 224
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 87 1 4 8 204
Delta, gamma and bucket hedging of interest rate derivatives 1 3 11 58 3 13 44 191
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 3 74 1 3 12 157
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 8 47 0 3 23 139
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 2 4 0 1 6 22
Distressed debt prices and recovery rate estimation 0 0 1 80 1 4 9 244
Downside Loss Aversion and Portfolio Management 0 1 2 13 0 1 5 53
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 1 1 17 0 2 3 56
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 0 1 5 90
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 2 470 0 0 8 1,776
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 9 110 0 1 13 225
Financial crises and economic growth 0 1 12 14 0 2 25 29
Foreign currency bubbles 0 0 0 21 0 0 7 62
Forward Rate Curve Smoothing 0 0 1 1 0 0 9 9
Forward contracts and futures contracts 1 1 11 451 2 5 37 1,040
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 2 4 4 2 7 20 20
Hedging contingent claims on semimartingales 0 0 0 176 0 1 1 671
Hedging derivatives with model error 0 0 0 7 0 1 4 24
Hedging in a HJM model 0 0 5 60 0 4 11 148
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 3 119 1 4 13 255
Housing prices and the optimal time-on-the-market decision 0 0 0 4 0 2 5 26
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 2 522 0 1 4 1,594
Information reduction via level crossings in a credit risk model 0 0 2 24 0 1 3 70
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 1 4 71 1 1 8 209
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 0 2 541
Large traders, hidden arbitrage, and complete markets 0 0 3 46 0 1 7 119
Liquidity risk and arbitrage pricing theory 0 0 1 40 1 1 12 165
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 1 1 32 0 2 6 90
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 3 7 8 247
Market Manipulation, Bubbles, Corners, and Short Squeezes 4 5 7 205 4 10 32 434
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 2 40 1 2 9 107
Market Pricing of Deposit Insurance 0 0 0 66 1 2 4 144
Modeling loan commitments 0 3 6 138 0 7 13 254
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 5 45 0 1 8 78
On Model Testing in Financial Economics 0 0 0 16 0 1 1 36
Operational risk 0 4 10 138 0 6 20 308
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 3 143
Preferences, Continuity, and the Arbitrage Pricing Theory 1 1 1 46 1 2 2 234
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 5 19 1,192 4 14 53 2,118
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 2 77 0 1 9 136
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 2 16 174 1 4 28 389
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 4 131 0 0 18 316
Pricing foreign currency options under stochastic interest rates 0 0 0 996 0 4 5 1,538
Primes and Scores: An Essay on Market Imperfections 0 1 3 97 0 1 10 587
Put Option Premiums and Coherent Risk Measures 0 1 2 45 0 3 5 110
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 0 9 75
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 1 92 0 4 18 281
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 12 1 2 9 52
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 2 2 3 172
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 1 4 199
Spanning and completeness in markets with contingent claims 0 0 6 158 0 0 14 254
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 1 6 10 0 2 28 40
Tax liens: a novel application of asset pricing theory 0 0 0 32 0 2 3 97
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 6 323 0 5 20 737
The Economics of Credit Default Swaps 0 1 7 22 0 3 14 61
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 0 1 1 1 1
The Liquidity Discount 0 1 1 208 1 2 4 708
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 37 0 0 3 131
The Relationship between Yield, Risk and Return of Corporate Bonds 0 2 2 102 1 10 34 454
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 1 1 17
The Second Fundamental Theorem of Asset Pricing 0 0 1 12 0 0 9 52
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 3 9 782
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 6 420 3 6 25 1,158
The Term Structure of Interest Rates 5 11 27 165 9 28 92 459
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 2 434 1 2 13 766
The cost of operational risk loss insurance 0 0 0 26 0 1 5 70
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 0 0 41
The impact of quantitative easing on the US term structure of interest rates 1 5 21 21 4 14 60 60
The intersection of market and credit risk 0 1 8 601 1 7 27 1,011
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 3 5 46 0 4 8 125
The zero-lower bound on interest rates: Myth or reality? 0 3 7 14 0 3 12 28
Understanding the risk of leveraged ETFs 5 7 24 122 10 21 46 258
Total Journal Articles 37 131 521 18,132 93 424 1,675 45,263


Statistics updated 2015-08-01