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 5 744
Housing Market Microstructure 0 1 2 59 1 2 7 150
Informational Efficiency under Short Sale Constraints 0 0 2 16 0 1 4 36
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 0 1 11 1,914
Is there a bubble in LinkedIn's stock price? 0 0 1 55 0 2 12 189
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 3 5 724
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 323
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 0 5 1,782
Modeling Credit Risk with Partial Information 0 0 0 33 0 0 2 86
Modeling credit risk with partial information 0 0 0 5 0 0 5 23
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 11 435
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 140 0 0 4 410
Specification Tests of Calibrated Option Pricing Models 0 2 4 43 2 4 16 108
The economic default time and the Arcsine law 0 0 0 31 0 1 8 104
Total Working Papers 0 3 11 1,315 4 16 97 7,028


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 0 4 43
A Critique of Revised Basel II 0 0 1 229 0 0 4 514
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 4 14 50 2,685
A Model of the Convenience Yields in On-the-Run Treasuries 1 1 1 153 1 1 7 563
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 13 38
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 3 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 0 0 7 98
A comparison of the APT and CAPM a note 0 0 7 1,244 0 2 24 3,214
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 0 3 176
A leverage ratio rule for capital adequacy 1 4 13 141 5 13 42 413
A liquidity-based model for asset price bubbles 0 0 0 26 0 0 2 52
A simple robust model for Cat bond valuation 2 5 14 157 3 7 22 331
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 0 0 4 81
An autoregressive jump process for common stock returns 0 1 3 124 0 1 8 236
An improved test for statistical arbitrage 3 6 16 68 5 12 34 173
Approximate option valuation for arbitrary stochastic processes 2 5 22 883 9 17 66 1,369
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 44 0 0 4 194
Asset Price Bubbles 0 5 19 23 2 12 41 53
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 1 1 1 1 2 2 2 2
Bank runs and self-insured bank deposits 0 0 1 4 0 2 10 23
Bankruptcy Prediction with Industry Effects 0 1 3 4 0 1 11 19
Bayesian analysis of contingent claim model error 1 1 1 98 1 1 8 247
Beliefs and arbitrage pricing 0 0 0 14 0 0 2 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 90 0 2 13 232
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 2 8 4,898 5 30 86 9,826
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 1 8 2 2 9 42
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 2 2 2 92 2 2 8 305
Computing present values: Capital budgeting done correctly 0 0 2 10 0 0 8 34
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 0 4 97
Convenience yields 0 0 5 25 0 0 9 77
Counterparty Risk and the Pricing of Defaultable Securities 1 1 3 177 7 12 30 488
Credit Risk Models 1 5 19 170 4 17 45 341
Credit Risk Models with Incomplete Information 0 0 0 0 0 1 1 1
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 2 8 107 1 3 19 259
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 1 2 90 3 7 13 227
Delta, gamma and bucket hedging of interest rate derivatives 0 0 4 69 0 3 20 238
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 3 79 1 2 14 183
Designing catastrophic bonds for catastrophic risks in agriculture 0 0 1 1 4 4 9 9
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 1 52 1 2 17 169
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 1 4 29
Distressed debt prices and recovery rate estimation 0 1 2 82 0 1 9 265
Downside Loss Aversion and Portfolio Management 0 0 3 20 1 4 16 74
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 1 4 65
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 46 0 0 7 104
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 0 11 1,794
Financial crises and economic growth 0 0 5 22 0 2 13 53
Foreign currency bubbles 0 0 0 23 0 0 4 76
Forward Rate Curve Smoothing 0 0 0 3 2 2 9 36
Forward contracts and futures contracts 0 2 9 466 1 6 22 1,081
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 1 6 1 2 9 34
Hedging contingent claims on semimartingales 0 0 0 176 0 1 6 679
Hedging derivatives with model error 0 0 1 9 0 4 6 36
Hedging in a HJM model 0 0 2 64 0 1 11 168
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 0 123 3 5 15 288
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 2 8 39
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 1 1 1 524 2 2 5 1,609
Information reduction via level crossings in a credit risk model 0 0 0 24 0 1 4 77
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 73 0 0 4 220
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 0 4 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 2 2 4 548
Large traders, hidden arbitrage, and complete markets 0 0 1 49 0 0 5 131
Liquidity risk and arbitrage pricing theory 0 0 3 43 1 3 12 180
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 35 1 2 8 109
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 2 8 261
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 6 220 5 9 26 480
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 1 1 2 47 2 2 12 131
Market Pricing of Deposit Insurance 0 0 1 70 0 1 4 161
Modeling loan commitments 0 0 2 147 0 1 9 282
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 0 46 0 0 3 87
On Model Testing in Financial Economics 0 0 0 16 0 0 7 45
Operational risk 0 2 3 143 1 5 12 328
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 6 154
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 1 1 3 241
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 4 18 1,221 22 31 79 2,236
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 1 6 83 0 1 17 158
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 6 185 1 2 14 417
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 4 138 2 10 18 338
Pricing foreign currency options under stochastic interest rates 1 2 3 1,000 1 5 12 1,557
Primes and Scores: An Essay on Market Imperfections 0 2 3 103 1 4 12 610
Put Option Premiums and Coherent Risk Measures 0 0 1 47 0 2 7 122
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 2 3 106 2 5 17 323
Relative asset price bubbles 1 3 7 7 2 4 30 30
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 13 0 0 3 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 5 184
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 1 6 209
Spanning and completeness in markets with contingent claims 0 0 3 162 1 1 5 266
Specification tests of calibrated option pricing models 0 0 0 3 1 2 12 39
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 1 3 5 0 2 13 26
Tax liens: a novel application of asset pricing theory 1 2 3 35 1 2 8 107
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 8 337 2 6 38 786
The Economics of Credit Default Swaps 2 3 4 30 3 7 17 96
The Liquidity Discount 0 0 0 209 0 0 3 721
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 1 5 141
The Relationship between Yield, Risk and Return of Corporate Bonds 0 1 3 105 0 1 14 479
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 3 26
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 0 1 6 63
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 2 3 8 793
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 2 2 424 1 3 5 1,176
The Term Structure of Interest Rates 1 4 20 217 8 21 83 630
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 2 3 439 4 14 38 811
The cost of operational risk loss insurance 0 0 1 27 0 0 6 77
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 2 4 46
The impact of quantitative easing on the US term structure of interest rates 1 2 7 36 2 5 25 112
The intersection of market and credit risk 2 6 14 619 7 19 46 1,080
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 48 0 0 9 140
The zero-lower bound on interest rates: Myth or reality? 0 1 6 30 0 1 22 70
Understanding the risk of leveraged ETFs 3 7 18 156 4 13 47 344
Total Journal Articles 36 100 357 18,556 152 406 1,603 47,492
7 registered items for which data could not be found


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 1 1 1 4 6 9 9
The Economic Foundations of Risk Management:Theory, Practice, and Applications 4 7 10 10 5 11 16 16
Total Books 4 8 11 11 9 17 25 25


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 4 4 2 4 12 12
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 1 1 3 3
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 3 3 6 6 3 6 13 13
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 1 1 2 6 6
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 0 0 1 1
Bankruptcy Prediction with Industry Effects 0 1 1 1 0 1 3 3
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 0 0 1 3 3
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 0 1 1 4 4
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 0 1 4 4
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 0 3 3
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 5 7 7 0 7 13 13
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 0 3 4 4
Liquidity risk and arbitrage pricing theory 0 0 0 0 0 0 2 2
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 0 0 5 5
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 3 3 0 1 5 5
Market Pricing of Deposit Insurance 0 0 1 1 0 0 2 2
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 1 1 0 0 6 6
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 1 2 2 1 6 12 12
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 0 1 4 4
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 0 2 10 10
Pricing foreign currency options under stochastic interest rates 0 0 1 1 0 1 3 3
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 2 2 2 0 2 6 6
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 7 8 10 10
Total Chapters 4 14 29 29 16 48 134 134


Statistics updated 2017-06-02