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 1 4 739
Housing Market Microstructure 0 2 6 57 2 5 16 141
Informational Efficiency under Short Sale Constraints 0 0 5 14 1 4 12 31
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 2 8 16 1,903
Is there a bubble in LinkedIn's stock price? 0 1 4 54 0 3 9 174
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 2 3 7 719
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 2 319
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 2 295 0 2 5 1,777
Modeling Credit Risk with Partial Information 0 0 3 33 2 2 11 83
Modeling credit risk with partial information 0 0 2 5 1 1 5 17
Option pricing with random volatilities in complete markets 0 0 0 1 2 3 6 423
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 138 2 2 8 402
Specification Tests of Calibrated Option Pricing Models 1 2 11 38 4 8 26 91
The economic default time and the Arcsine law 0 0 3 31 0 2 10 95
Total Working Papers 1 5 38 1,303 20 45 137 6,914


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 17 510
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 3 9 72 3 9 25 186
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 4 9 32 2,628
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 152 1 2 6 556
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 4 5 10 25
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 1 5 254
A characterization theorem for unique risk neutral probability measures 0 0 1 24 2 3 6 91
A comparison of the APT and CAPM a note 1 3 12 1,236 1 5 25 3,187
A generalized coherent risk measure: The firm's perspective 0 0 2 84 2 2 6 173
A leverage ratio rule for capital adequacy 2 3 17 127 5 11 57 367
A liquidity-based model for asset price bubbles 0 0 6 26 0 0 11 50
A simple robust model for Cat bond valuation 0 2 15 143 3 7 25 308
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 24 1 2 9 77
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 1 7 48 1 7 35 131
An autoregressive jump process for common stock returns 1 1 1 121 3 3 4 228
An improved test for statistical arbitrage 0 1 8 52 0 2 21 137
Approximate option valuation for arbitrary stochastic processes 4 6 20 860 5 9 35 1,302
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 1 4 9 188
Asset Price Bubbles 1 2 2 2 3 7 7 7
Bank runs and self-insured bank deposits 0 0 2 2 0 1 9 9
Bankruptcy Prediction with Industry Effects 0 1 1 1 3 6 7 7
Bayesian analysis of contingent claim model error 0 1 4 96 4 5 14 237
Beliefs and arbitrage pricing 0 0 0 14 1 1 3 36
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 3 88 1 2 9 219
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 0 15 4,889 8 19 84 9,734
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 3 7 0 2 13 32
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 3 5 16 297
Computing present values: Capital budgeting done correctly 0 0 2 8 2 3 16 26
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 27 2 3 6 91
Convenience yields 0 1 4 20 1 3 9 68
Counterparty Risk and the Pricing of Defaultable Securities 1 1 2 174 1 1 12 457
Credit Risk Models 2 4 13 151 4 8 27 296
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 3 98 3 3 20 237
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 1 88 0 4 13 213
Delta, gamma and bucket hedging of interest rate derivatives 0 1 8 63 5 10 37 215
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 3 76 3 4 13 167
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 5 51 1 2 15 151
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 2 2 3 24
Distressed debt prices and recovery rate estimation 0 0 0 80 1 2 15 255
Downside Loss Aversion and Portfolio Management 0 0 4 16 0 0 5 57
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 17 1 3 5 59
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 2 3 7 96
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 3 5 7 1,783
FORWARD AND FUTURES PRICES WITH BUBBLES 1 2 2 112 1 3 4 228
Financial crises and economic growth 0 1 4 17 0 2 12 39
Foreign currency bubbles 0 0 2 23 1 2 10 72
Forward Rate Curve Smoothing 0 1 2 3 0 4 15 24
Forward contracts and futures contracts 1 2 7 457 3 5 24 1,059
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 3 5 2 2 12 25
Hedging contingent claims on semimartingales 0 0 0 176 2 2 3 673
Hedging derivatives with model error 1 1 1 8 2 2 7 30
Hedging in a HJM model 0 0 2 62 2 3 12 156
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 3 122 1 8 20 271
Housing prices and the optimal time-on-the-market decision 0 0 1 5 1 1 5 29
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 1 1 9 1,602
Information reduction via level crossings in a credit risk model 0 0 0 24 1 1 4 73
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 1 2 72 1 2 6 214
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 1 2 2 2
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 1 2 3 544
Large traders, hidden arbitrage, and complete markets 0 0 2 48 2 2 8 126
Liquidity risk and arbitrage pricing theory 0 0 0 40 1 1 3 167
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 2 3 34 2 7 11 99
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 3 11 251
Market Manipulation, Bubbles, Corners, and Short Squeezes 3 3 13 213 7 10 29 453
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 5 45 0 0 13 118
Market Pricing of Deposit Insurance 0 1 3 69 2 6 15 157
Modeling loan commitments 3 5 9 144 4 7 24 271
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 1 1 46 1 2 6 83
On Model Testing in Financial Economics 0 0 0 16 1 1 2 37
Operational risk 1 2 6 140 1 3 14 316
Option Pricing and Implicit Volatilities 0 0 0 0 3 3 4 147
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 46 2 2 6 238
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 1 15 1,202 4 9 47 2,151
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 0 77 2 2 6 141
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 3 6 178 1 5 16 401
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 2 133 1 1 3 319
Pricing foreign currency options under stochastic interest rates 0 0 1 997 1 2 9 1,543
Primes and Scores: An Essay on Market Imperfections 0 2 3 99 2 5 9 595
Put Option Premiums and Coherent Risk Measures 0 0 1 45 0 0 7 114
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 1 2 4 79
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 4 11 103 4 10 29 306
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 1 1 5 55
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 2 9 179
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 1 1 4 202
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 6 16 25 25
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 1 1 1 2 5 9 9
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 2 11 0 2 16 54
Tax liens: a novel application of asset pricing theory 0 0 0 32 1 1 4 99
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 1 4 6 329 2 7 16 748
The Economics of Credit Default Swaps 1 1 4 25 2 3 17 75
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 1 1 6 6 2 3 18 18
The Liquidity Discount 1 1 2 209 3 5 10 716
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 1 4 135
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 102 3 5 17 461
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 2 2 5 21
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 2 2 4 56
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 2 6 785
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 2 3 422 2 6 19 1,171
The Term Structure of Interest Rates 1 7 38 192 6 25 99 530
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 2 436 3 5 9 773
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 2 12 28 3 9 39 85
The intersection of market and credit risk 1 1 3 603 7 9 26 1,030
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 4 47 1 1 9 130
The zero-lower bound on interest rates: Myth or reality? 1 5 12 23 1 7 20 45
Understanding the risk of leveraged ETFs 2 6 23 138 4 10 58 295
Total Journal Articles 36 100 422 18,423 209 443 1,595 46,434


Statistics updated 2016-05-03