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 2 6 743
Housing Market Microstructure 0 0 3 58 3 5 15 150
Informational Efficiency under Short Sale Constraints 1 2 3 16 2 3 10 35
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 4 6 19 1,913
Is there a bubble in LinkedIn's stock price? 0 0 2 55 1 2 16 186
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 6 323
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 2 5 721
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 1 1 6 1,781
Modeling Credit Risk with Partial Information 0 0 0 33 1 2 5 86
Modeling credit risk with partial information 0 0 0 5 3 3 7 23
Option pricing with random volatilities in complete markets 0 0 0 1 3 5 15 435
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 1 2 140 1 2 10 410
Specification Tests of Calibrated Option Pricing Models 0 0 4 40 2 3 18 99
The economic default time and the Arcsine law 0 0 0 31 1 2 10 103
Total Working Papers 1 3 14 1,311 25 39 148 7,008


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 3 4 43
A Critique of Revised Basel II 0 0 2 229 1 2 5 513
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 1 10 77 2 5 31 205
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 4 11 49 2,665
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 1 4 8 562
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 1 3 18 38
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 2 7 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 1 2 9 97
A comparison of the APT and CAPM a note 2 3 12 1,243 4 10 30 3,209
A generalized coherent risk measure: The firm's perspective 0 0 0 84 1 2 5 176
A leverage ratio rule for capital adequacy 1 3 12 134 3 9 38 389
A liquidity-based model for asset price bubbles 0 0 0 26 1 1 4 52
A simple robust model for Cat bond valuation 1 6 10 151 3 8 22 322
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 1 2 6 81
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 1 3 50 5 10 33 154
An autoregressive jump process for common stock returns 0 1 3 123 1 3 8 233
An improved test for statistical arbitrage 3 6 12 61 7 13 27 159
Approximate option valuation for arbitrary stochastic processes 1 1 21 875 6 11 50 1,343
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 1 2 8 192
Asset Price Bubbles 1 6 16 16 2 12 38 38
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 1 1 1 2 4 7 7
Bank runs and self-insured bank deposits 0 0 3 3 1 3 13 19
Bankruptcy Prediction with Industry Effects 0 1 3 3 2 7 16 17
Bayesian analysis of contingent claim model error 0 0 3 97 3 6 15 246
Beliefs and arbitrage pricing 0 0 0 14 1 1 3 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 90 2 4 12 229
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 0 4 4,893 7 26 78 9,791
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 7 2 5 9 38
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 1 4 10 302
Computing present values: Capital budgeting done correctly 0 2 2 10 1 4 10 33
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 1 1 8 96
Convenience yields 0 3 6 25 2 6 12 77
Counterparty Risk and the Pricing of Defaultable Securities 0 0 4 176 1 8 18 473
Credit Risk Models 0 2 12 159 1 5 29 315
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 2 4 102 3 7 22 254
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 2 89 2 2 10 219
Delta, gamma and bucket hedging of interest rate derivatives 1 2 8 69 2 5 28 232
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 3 78 1 4 17 180
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 51 1 4 15 164
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 1 2 6 28
Distressed debt prices and recovery rate estimation 0 0 0 80 2 3 8 260
Downside Loss Aversion and Portfolio Management 0 1 5 20 1 5 11 67
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 1 1 7 63
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 46 1 3 10 103
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 1 2 16 1,794
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 2 112 2 3 9 234
Financial crises and economic growth 0 1 5 21 3 6 13 50
Foreign currency bubbles 0 0 0 23 1 2 5 75
Forward Rate Curve Smoothing 0 0 1 3 1 2 14 33
Forward contracts and futures contracts 1 2 8 463 3 5 18 1,072
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 1 1 1 6 2 3 9 32
Hedging contingent claims on semimartingales 0 0 0 176 1 2 7 678
Hedging derivatives with model error 0 0 2 9 1 1 4 32
Hedging in a HJM model 0 1 2 64 1 3 14 167
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 123 1 4 17 279
Housing prices and the optimal time-on-the-market decision 0 0 0 5 1 3 9 37
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 0 523 2 2 6 1,607
Information reduction via level crossings in a credit risk model 0 0 0 24 1 2 4 76
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 2 73 1 2 8 220
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 1 1 6 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 1 1 4 546
Large traders, hidden arbitrage, and complete markets 0 0 1 49 1 1 9 131
Liquidity risk and arbitrage pricing theory 0 1 3 43 1 3 10 176
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 35 1 2 16 108
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 3 12 259
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 3 10 219 3 7 27 469
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 1 46 2 5 11 129
Market Pricing of Deposit Insurance 1 1 2 70 2 2 9 160
Modeling loan commitments 0 0 8 147 4 5 17 281
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 1 46 1 1 7 87
On Model Testing in Financial Economics 0 0 0 16 1 2 8 44
Operational risk 0 0 3 141 1 2 10 323
Option Pricing and Implicit Volatilities 0 0 0 0 1 3 8 152
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 1 2 4 240
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 6 14 1,214 8 21 58 2,199
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 2 79 1 3 10 149
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 8 183 1 5 17 413
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 2 4 137 2 4 7 325
Pricing foreign currency options under stochastic interest rates 0 0 1 998 1 2 10 1,551
Primes and Scores: An Essay on Market Imperfections 0 0 3 100 2 4 14 604
Put Option Premiums and Coherent Risk Measures 0 0 2 47 1 2 6 120
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 1 3 9 86
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 4 103 2 5 19 315
Relative asset price bubbles 1 2 2 2 7 13 22 22
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 13 1 1 5 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 1 6 183
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 1 1 7 208
Spanning and completeness in markets with contingent claims 0 0 1 160 1 1 3 263
Specification tests of calibrated option pricing models 0 0 1 3 2 4 30 38
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 3 3 2 2 20 23
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 1 2 13 3 5 13 64
Tax liens: a novel application of asset pricing theory 0 0 0 32 1 4 6 104
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 11 336 5 12 36 777
The Economics of Credit Default Swaps 0 0 4 27 1 2 17 87
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 4 8 1 3 14 26
The Liquidity Discount 0 0 1 209 2 2 10 720
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 1 3 6 140
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 103 1 8 22 477
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 1 7 26
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 3 4 9 62
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 5 7 790
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 2 422 1 1 8 1,173
The Term Structure of Interest Rates 1 6 29 212 10 28 107 603
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 2 437 6 11 21 789
The cost of operational risk loss insurance 0 0 1 27 2 4 6 77
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 2 2 44
The impact of quantitative easing on the US term structure of interest rates 1 3 9 34 5 12 29 104
The intersection of market and credit risk 0 2 9 611 1 5 34 1,054
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 47 2 4 10 138
The zero-lower bound on interest rates: Myth or reality? 0 0 11 27 2 3 28 64
Understanding the risk of leveraged ETFs 3 4 14 146 4 17 44 327
Total Journal Articles 22 82 368 18,667 223 525 1,764 47,682


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 0 0 1 3 3 3
The Economic Foundations of Risk Management:Theory, Practice, and Applications 2 2 2 2 5 5 5 5
Total Books 2 2 2 2 6 8 8 8


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Markov Model for the Term Structure of Credit Risk Spreads 1 1 1 1 3 5 5 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 2 3 3 3
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 1 1 1 1 2 4 4 4
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 0 3 3 3 3
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 1 2 2 2
Bankruptcy Prediction with Industry Effects 0 0 0 0 2 2 2 2
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 0 2 4 4 4
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 0 2 2 2 2
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 3 3 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 1 2 2 2
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 1 1 1 4 6 6 6
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 1 1 1 1
Liquidity risk and arbitrage pricing theory 0 0 0 0 3 3 3 3
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 2 5 5 5
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 0 0 2 3 3 3
Market Pricing of Deposit Insurance 1 1 1 1 3 3 3 3
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 0 1 2 2 2
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 1 1 1 1 5 5 5
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 2 3 3 3
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 4 8 8 8
Pricing foreign currency options under stochastic interest rates 1 1 1 1 4 4 4 4
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 0 1 2 2 2
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 1 2 2 2
Total Chapters 5 6 6 6 50 77 77 77


Statistics updated 2017-01-03