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 5 21 725
Housing Market Microstructure 0 1 2 49 0 4 11 120
Informational Efficiency under Short Sale Constraints 0 2 2 2 0 2 2 2
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 1 1 631 2 8 27 1,868
Is there a bubble in LinkedIn's stock price? 0 2 7 42 6 13 26 142
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 3 708
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 2 292 1 2 11 1,755
Modeling Credit Risk with Partial Information 0 0 4 28 0 1 8 66
Modeling credit risk with partial information 0 0 0 0 0 0 0 0
Option pricing with random volatilities in complete markets 0 0 0 1 2 5 17 412
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 1 5 135 7 12 23 382
Specification Tests of Calibrated Option Pricing Models 1 2 18 18 2 4 33 33
The economic default time and the Arcsine law 0 0 0 28 0 1 8 81
Total Working Papers 1 10 41 1,229 22 58 192 6,609


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 1 12 0 0 1 34
A Critique of Revised Basel II 4 7 20 211 14 21 63 455
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 3 17 47 8 14 52 122
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 1 7 48 2,562
A Model of the Convenience Yields in On-the-Run Treasuries 1 2 2 149 4 5 21 546
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 5 15
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 2 247
A characterization theorem for unique risk neutral probability measures 0 0 1 22 0 0 3 83
A comparison of the APT and CAPM a note 2 5 30 1,207 3 11 87 3,119
A generalized coherent risk measure: The firm's perspective 0 0 1 81 0 0 2 164
A leverage ratio rule for capital adequacy 3 13 59 71 12 41 168 190
A liquidity-based model for asset price bubbles 0 4 12 18 0 5 25 35
A simple robust model for Cat bond valuation 0 3 20 116 5 10 43 253
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 3 19 1 3 11 63
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 8 16 16 16 14 34 34 34
An autoregressive jump process for common stock returns 0 0 4 118 1 2 9 220
An improved test for statistical arbitrage 1 2 13 31 3 9 43 88
Approximate option valuation for arbitrary stochastic processes 2 6 28 814 4 13 63 1,210
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 41 1 1 5 172
Bayesian analysis of contingent claim model error 0 1 2 85 0 5 12 205
Beliefs and arbitrage pricing 0 0 1 14 0 0 1 33
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 1 2 8 82 2 5 27 177
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 6 46 4,849 12 44 189 9,544
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 1 3 3 2 4 12 12
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 3 88 0 2 15 274
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 25 0 0 0 83
Convenience yields 0 1 6 14 4 6 20 40
Counterparty Risk and the Pricing of Defaultable Securities 0 1 1 172 1 2 13 436
Credit Risk Models 1 5 21 115 3 9 39 225
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 2 3 13 84 8 15 46 172
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 2 5 85 1 4 19 192
Delta, gamma and bucket hedging of interest rate derivatives 1 2 18 42 3 13 70 133
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 2 2 5 70 4 8 17 142
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 6 21 38 1 10 51 104
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 1 1 0 4 13 13
Distressed debt prices and recovery rate estimation 0 2 5 76 6 10 29 225
Downside Loss Aversion and Portfolio Management 0 1 2 10 2 7 21 46
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 0 0 2 52
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 43 0 0 3 80
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 1 2 7 468 2 5 28 1,765
FORWARD AND FUTURES PRICES WITH BUBBLES 1 3 17 100 2 4 36 206
Foreign currency bubbles 0 0 1 19 2 3 12 53
Forward contracts and futures contracts 3 5 15 438 7 12 43 987
Hedging contingent claims on semimartingales 1 1 3 176 1 1 3 669
Hedging derivatives with model error 0 0 3 5 0 0 10 17
Hedging in a HJM model 0 0 3 54 2 2 13 130
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 7 109 1 2 15 232
Housing prices and the optimal time-on-the-market decision 0 1 3 4 1 2 11 17
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 1 1 3 517 2 3 13 1,585
Information reduction via level crossings in a credit risk model 0 0 2 21 0 0 4 64
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 66 1 1 3 200
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 1 2 216 0 2 11 538
Large traders, hidden arbitrage, and complete markets 0 0 0 43 0 0 3 110
Liquidity risk and arbitrage pricing theory 2 2 5 37 4 6 20 146
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 1 1 4 30 2 3 17 80
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 4 22 235
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 11 191 7 14 46 387
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 3 37 0 0 5 92
Market Pricing of Deposit Insurance 0 1 8 65 0 3 17 139
Modeling loan commitments 0 3 13 127 0 4 23 229
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 5 38 0 0 6 68
On Model Testing in Financial Economics 0 0 0 15 0 0 2 33
Operational risk 1 1 4 128 2 4 16 284
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 4 140
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 2 45 0 0 3 230
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 5 19 1,165 5 16 64 2,031
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 3 7 74 4 7 15 126
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 2 5 16 154 5 15 43 345
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 3 14 124 1 7 43 289
Pricing foreign currency options under stochastic interest rates 0 0 2 996 1 1 13 1,532
Primes and Scores: An Essay on Market Imperfections 1 2 4 94 2 4 20 574
Put Option Premiums and Coherent Risk Measures 0 0 0 43 0 0 1 100
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 2 5 3 8 31 58
Reduced-form valuation of callable corporate bonds: Theory and evidence 2 4 10 87 4 14 33 249
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 10 1 2 12 40
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 1 3 168
Risky coupon bonds as a portfolio of zero-coupon bonds 1 1 3 65 1 1 9 187
Spanning and completeness in markets with contingent claims 1 5 15 147 1 5 24 235
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 3 4 4 2 7 12 12
Tax liens: a novel application of asset pricing theory 0 0 3 32 1 1 11 92
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 1 3 14 316 4 9 45 705
The Economics of Credit Default Swaps 1 4 9 13 2 10 31 42
The Liquidity Discount 1 1 3 207 3 4 8 695
The Relationship between Arbitrage and First Order Stochastic Dominance 1 1 2 36 1 2 3 127
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 4 99 13 19 40 396
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 1 11 4 8 12 41
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 12 767
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 6 413 0 5 22 1,124
The Term Structure of Interest Rates 3 9 33 121 11 24 102 311
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 2 7 429 1 5 31 739
The cost of operational risk loss insurance 1 1 3 26 3 5 11 64
The error learning hypothesis: The evidence reexamined 0 0 0 7 1 1 2 40
The intersection of market and credit risk 1 1 6 593 2 3 24 980
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 40 2 2 7 113
The zero-lower bound on interest rates: Myth or reality? 1 4 5 5 1 10 13 13
Understanding the risk of leveraged ETFs 1 6 28 95 3 12 54 194
Total Journal Articles 67 184 732 17,403 241 607 2,423 42,841


Statistics updated 2014-04-04