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 2 4 18 729
Housing Market Microstructure 0 0 2 49 0 1 10 121
Informational Efficiency under Short Sale Constraints 1 3 5 5 2 4 9 9
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 631 1 5 26 1,874
Is there a bubble in LinkedIn's stock price? 0 3 10 45 1 6 29 149
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 708
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 315
Model Error in Contingent Claim Models Dynamic Evaluation 1 1 2 293 2 7 13 1,764
Modeling Credit Risk with Partial Information 0 1 3 29 0 2 7 68
Modeling credit risk with partial information 0 0 0 0 0 3 3 3
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 11 413
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 4 135 1 2 21 386
Specification Tests of Calibrated Option Pricing Models 1 2 11 21 3 5 31 39
The economic default time and the Arcsine law 0 0 0 28 0 0 2 81
Total Working Papers 3 10 38 1,240 12 39 184 6,659


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 0 34
A Critique of Revised Basel II 0 0 21 214 1 3 61 465
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 2 5 16 55 4 11 50 139
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 1 4 32 2,574
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 2 149 0 1 13 547
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 0 0 0 22 0 0 1 83
A comparison of the APT and CAPM a note 1 2 25 1,212 5 6 63 3,128
A generalized coherent risk measure: The firm's perspective 0 1 1 82 0 1 4 167
A leverage ratio rule for capital adequacy 1 7 53 83 1 21 161 235
A liquidity-based model for asset price bubbles 0 0 7 18 0 1 17 36
A simple robust model for Cat bond valuation 2 4 16 121 5 10 40 266
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 4 21 0 1 9 65
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 7 29 29 5 23 65 65
An autoregressive jump process for common stock returns 0 1 1 119 1 2 6 222
An improved test for statistical arbitrage 1 1 9 32 2 6 31 94
Approximate option valuation for arbitrary stochastic processes 2 9 27 826 4 14 56 1,231
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 41 0 2 7 175
Bayesian analysis of contingent claim model error 1 2 4 87 2 4 16 212
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 0 1 5 83 2 5 15 183
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 6 38 4,857 5 20 144 9,571
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 4 4 0 0 17 17
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 3 89 1 2 11 278
Consensus Beliefs Equilibrium and Market Efficiency 0 1 1 26 1 2 2 85
Convenience yields 0 0 1 14 0 8 20 49
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 0 3 9 440
Credit Risk Models 1 7 16 122 5 13 35 241
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 4 11 88 2 26 62 201
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 5 86 0 3 15 196
Delta, gamma and bucket hedging of interest rate derivatives 2 2 13 47 4 10 55 147
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 5 71 0 2 17 145
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 10 39 1 6 41 116
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 2 2 0 0 14 16
Distressed debt prices and recovery rate estimation 1 3 8 79 1 8 30 235
Downside Loss Aversion and Portfolio Management 0 1 2 11 0 1 20 48
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 0 1 3 53
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 2 3 45 1 5 8 85
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 2 468 0 2 12 1,768
FORWARD AND FUTURES PRICES WITH BUBBLES 1 1 9 101 3 3 28 212
Financial crises and economic growth 0 2 2 2 1 4 4 4
Foreign currency bubbles 0 1 2 21 0 1 10 55
Forward contracts and futures contracts 1 2 14 440 5 11 45 1,003
Hedging contingent claims on semimartingales 0 0 1 176 0 0 2 670
Hedging derivatives with model error 0 2 3 7 0 2 7 20
Hedging in a HJM model 0 0 1 55 0 6 13 137
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 6 11 116 2 9 18 242
Housing prices and the optimal time-on-the-market decision 0 0 2 4 0 1 10 21
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 1 2 5 520 1 2 12 1,590
Information reduction via level crossings in a credit risk model 0 1 3 22 0 2 6 67
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 1 67 0 1 2 201
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 2 216 1 1 8 539
Large traders, hidden arbitrage, and complete markets 0 0 0 43 1 1 4 112
Liquidity risk and arbitrage pricing theory 1 1 6 39 1 5 19 153
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 4 31 0 0 12 84
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 4 16 239
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 3 12 198 3 10 46 402
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 3 38 1 3 10 98
Market Pricing of Deposit Insurance 0 0 7 66 0 0 13 140
Modeling loan commitments 1 3 11 132 2 7 27 241
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 2 2 40 0 2 2 70
On Model Testing in Financial Economics 0 0 1 16 0 0 3 35
Operational risk 0 0 2 128 1 4 16 288
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 3 140
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 45 0 1 3 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 6 22 1,173 4 28 73 2,065
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 1 6 75 0 1 14 127
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 4 13 158 3 9 44 361
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 2 11 127 2 8 28 298
Pricing foreign currency options under stochastic interest rates 0 0 1 996 0 0 6 1,533
Primes and Scores: An Essay on Market Imperfections 0 0 4 94 0 3 15 577
Put Option Premiums and Coherent Risk Measures 0 0 0 43 0 2 5 105
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 1 1 6 1 4 29 66
Reduced-form valuation of callable corporate bonds: Theory and evidence 2 3 12 91 4 10 39 263
Restructuring risk in credit default swaps: An empirical analysis 1 1 2 11 2 3 11 43
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 4 169
Risky coupon bonds as a portfolio of zero-coupon bonds 1 3 7 69 3 6 15 195
Spanning and completeness in markets with contingent claims 2 5 16 152 2 5 21 240
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 4 4 0 0 12 12
Tax liens: a novel application of asset pricing theory 0 0 1 32 1 1 8 94
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 12 317 1 7 38 717
The Economics of Credit Default Swaps 0 0 7 15 1 3 28 47
The Liquidity Discount 0 0 3 207 5 7 17 704
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 36 0 1 3 128
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 3 100 0 14 52 420
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 0 2 12 43
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 4 12 773
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 5 414 3 8 23 1,133
The Term Structure of Interest Rates 5 14 40 138 16 44 121 367
The arbitrage-free valuation and hedging of demand deposits and credit card loans 2 2 7 432 3 8 30 753
The cost of operational risk loss insurance 0 0 1 26 0 1 9 65
The error learning hypothesis: The evidence reexamined 1 1 1 8 1 1 3 41
The intersection of market and credit risk 0 0 2 593 0 4 12 984
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 1 1 1 41 2 3 10 117
The zero-lower bound on interest rates: Myth or reality? 0 1 7 7 0 2 16 16
Understanding the risk of leveraged ETFs 0 2 22 98 2 13 54 212
Total Journal Articles 41 145 664 17,611 133 509 2,274 43,588


Statistics updated 2014-08-03