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 3 739
Housing Market Microstructure 0 2 4 57 2 6 16 143
Informational Efficiency under Short Sale Constraints 0 0 4 14 1 2 11 32
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 0 3 15 1,903
Is there a bubble in LinkedIn's stock price? 0 0 3 54 3 3 11 177
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 2 6 719
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 2 3 4 321
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 295 0 1 4 1,777
Modeling Credit Risk with Partial Information 0 0 3 33 1 3 11 84
Modeling credit risk with partial information 0 0 2 5 1 2 6 18
Option pricing with random volatilities in complete markets 0 0 0 1 1 4 6 424
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 138 4 6 12 406
Specification Tests of Calibrated Option Pricing Models 1 2 12 39 1 5 27 92
The economic default time and the Arcsine law 0 0 2 31 1 1 10 96
Total Working Papers 1 4 33 1,304 17 42 142 6,931


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 3 39
A Critique of Revised Basel II 0 1 8 228 0 2 14 510
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 1 8 72 5 10 28 191
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 7 16 35 2,635
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 152 0 2 6 556
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 5 10 25
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 2 3 7 256
A characterization theorem for unique risk neutral probability measures 0 0 1 24 0 2 6 91
A comparison of the APT and CAPM a note 1 2 11 1,237 3 5 24 3,190
A generalized coherent risk measure: The firm's perspective 0 0 1 84 0 2 5 173
A leverage ratio rule for capital adequacy 1 4 15 128 4 15 50 371
A liquidity-based model for asset price bubbles 0 0 5 26 0 0 10 50
A simple robust model for Cat bond valuation 0 0 14 143 1 6 25 309
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 24 0 2 8 77
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 6 48 5 9 38 136
An autoregressive jump process for common stock returns 0 1 1 121 0 3 4 228
An improved test for statistical arbitrage 0 0 7 52 2 3 21 139
Approximate option valuation for arbitrary stochastic processes 1 6 19 861 1 9 33 1,303
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 2 4 11 190
Asset Price Bubbles 2 4 4 4 5 12 12 12
Bank runs and self-insured bank deposits 1 1 3 3 4 4 13 13
Bankruptcy Prediction with Industry Effects 0 0 1 1 1 5 8 8
Bayesian analysis of contingent claim model error 1 2 3 97 2 7 14 239
Beliefs and arbitrage pricing 0 0 0 14 0 1 3 36
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 88 0 2 8 219
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1 1 11 4,890 6 20 76 9,740
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 2 7 1 3 13 33
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 0 4 16 297
Computing present values: Capital budgeting done correctly 0 0 2 8 0 3 14 26
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 2 4 7 93
Convenience yields 0 0 4 20 0 2 9 68
Counterparty Risk and the Pricing of Defaultable Securities 0 1 2 174 1 2 12 458
Credit Risk Models 0 3 11 151 0 7 25 296
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 1 3 99 3 6 21 240
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 1 88 1 4 13 214
Delta, gamma and bucket hedging of interest rate derivatives 2 3 8 65 3 12 32 218
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 76 2 5 15 169
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 5 51 1 3 15 152
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 1 3 4 25
Distressed debt prices and recovery rate estimation 0 0 0 80 1 3 14 256
Downside Loss Aversion and Portfolio Management 1 1 4 17 1 1 5 58
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 17 2 4 7 61
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 1 4 7 97
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 4 7 1,783
FORWARD AND FUTURES PRICES WITH BUBBLES 0 1 2 112 1 3 5 229
Financial crises and economic growth 0 1 3 17 1 2 12 40
Foreign currency bubbles 0 0 2 23 0 1 10 72
Forward Rate Curve Smoothing 0 0 2 3 3 6 18 27
Forward contracts and futures contracts 0 1 7 457 0 3 23 1,059
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 3 5 0 2 11 25
Hedging contingent claims on semimartingales 0 0 0 176 0 2 3 673
Hedging derivatives with model error 0 1 1 8 0 2 7 30
Hedging in a HJM model 0 0 2 62 1 3 12 157
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 1 4 123 2 8 20 273
Housing prices and the optimal time-on-the-market decision 0 0 1 5 2 3 5 31
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 1 523 2 3 11 1,604
Information reduction via level crossings in a credit risk model 0 0 0 24 0 1 4 73
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 2 72 2 3 8 216
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 1 2 2
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 2 3 544
Large traders, hidden arbitrage, and complete markets 0 0 2 48 0 2 8 126
Liquidity risk and arbitrage pricing theory 0 0 0 40 1 2 4 168
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 2 2 34 2 8 12 101
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 3 9 253
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 4 13 214 1 11 27 454
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 5 45 1 1 13 119
Market Pricing of Deposit Insurance 0 0 3 69 0 3 15 157
Modeling loan commitments 1 6 9 145 2 8 23 273
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 1 1 46 1 3 7 84
On Model Testing in Financial Economics 0 0 0 16 1 2 3 38
Operational risk 0 1 5 140 0 2 12 316
Option Pricing and Implicit Volatilities 0 0 0 0 1 4 5 148
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 46 0 2 6 238
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 2 14 1,203 6 12 49 2,157
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 0 77 0 2 6 141
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 3 6 179 2 5 17 403
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 1 3 134 1 2 4 320
Pricing foreign currency options under stochastic interest rates 0 0 1 997 2 4 10 1,545
Primes and Scores: An Essay on Market Imperfections 1 3 3 100 3 7 11 598
Put Option Premiums and Coherent Risk Measures 1 1 2 46 1 1 8 115
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 1 4 79
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 11 103 0 7 28 306
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 1 2 6 56
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 9 179
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 1 2 5 203
Spanning and completeness in markets with contingent claims 0 0 1 159 0 1 7 261
Specification tests of calibrated option pricing models 0 1 3 3 2 10 27 27
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 1 2 2 2 4 8 13 13
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 2 11 1 2 17 55
Tax liens: a novel application of asset pricing theory 0 0 0 32 0 1 3 99
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 4 6 329 0 6 14 748
The Economics of Credit Default Swaps 1 2 4 26 4 7 19 79
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 1 6 6 2 4 20 20
The Liquidity Discount 0 1 1 209 2 5 11 718
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 1 2 5 136
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 102 4 8 17 465
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 2 4 7 23
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 1 3 5 57
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 1 6 785
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 2 3 422 0 4 19 1,171
The Term Structure of Interest Rates 5 9 40 197 17 31 106 547
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 2 436 0 4 8 773
The cost of operational risk loss insurance 0 0 0 26 0 0 2 71
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 0 1 42
The impact of quantitative easing on the US term structure of interest rates 1 3 11 29 2 9 37 87
The intersection of market and credit risk 2 3 4 605 4 13 28 1,034
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 3 47 1 2 9 131
The zero-lower bound on interest rates: Myth or reality? 1 4 10 24 3 7 20 48
Understanding the risk of leveraged ETFs 0 4 21 138 2 9 55 297
Total Journal Articles 31 102 400 18,454 165 506 1,619 46,599


Statistics updated 2016-06-03