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 3 16 732
Housing Market Microstructure 0 0 1 49 0 1 6 122
Informational Efficiency under Short Sale Constraints 1 2 7 7 3 6 15 15
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 1 2 3 633 2 7 24 1,881
Is there a bubble in LinkedIn's stock price? 0 1 9 46 2 4 28 153
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 3 709
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 1 315
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 2 293 0 2 14 1,766
Modeling Credit Risk with Partial Information 0 1 4 30 1 3 8 71
Modeling credit risk with partial information 0 1 1 1 2 5 8 8
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 10 413
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 1 1 2 136 1 2 18 388
Specification Tests of Calibrated Option Pricing Models 2 4 11 25 4 6 24 45
The economic default time and the Arcsine law 0 0 0 28 0 0 1 81
Total Working Papers 5 12 40 1,252 17 40 176 6,699


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 2 2 36
A Critique of Revised Basel II 1 3 18 217 4 6 51 471
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 5 19 60 2 9 47 148
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 4 8 31 2,582
A Model of the Convenience Yields in On-the-Run Treasuries 0 1 3 150 0 1 11 548
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 1 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 1 1 23 0 1 1 84
A comparison of the APT and CAPM a note 1 1 20 1,213 4 4 48 3,132
A generalized coherent risk measure: The firm's perspective 0 0 1 82 0 0 4 167
A leverage ratio rule for capital adequacy 2 5 41 88 8 18 128 253
A liquidity-based model for asset price bubbles 0 2 7 20 0 2 13 38
A simple robust model for Cat bond valuation 0 1 11 122 0 4 34 270
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 1 4 22 1 1 6 66
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 2 31 31 2 14 79 79
An autoregressive jump process for common stock returns 0 0 1 119 0 1 6 223
An improved test for statistical arbitrage 2 4 7 36 3 8 26 102
Approximate option valuation for arbitrary stochastic processes 0 4 25 830 2 14 56 1,245
Arbitrage, Continuous Trading, and Margin Requirements 0 1 1 42 0 1 7 176
Bayesian analysis of contingent claim model error 0 1 5 88 1 3 17 215
Beliefs and arbitrage pricing 0 0 0 14 0 0 0 33
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 3 83 0 2 14 185
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 0 23 4,857 6 16 117 9,587
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 4 4 0 1 15 18
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 89 1 1 9 279
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 0 2 85
Convenience yields 0 1 2 15 0 6 25 55
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 1 1 7 441
Credit Risk Models 3 7 19 129 4 12 38 253
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 2 9 90 1 5 56 206
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 4 86 1 3 13 199
Delta, gamma and bucket hedging of interest rate derivatives 1 5 15 52 3 9 47 156
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 4 72 2 5 18 150
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 8 40 1 3 33 119
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 1 2 1 2 10 18
Distressed debt prices and recovery rate estimation 0 0 6 79 0 1 27 236
Downside Loss Aversion and Portfolio Management 0 0 2 11 0 0 16 48
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 0 1 4 54
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 2 45 1 1 7 86
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 1 2 4 470 2 4 14 1,772
FORWARD AND FUTURES PRICES WITH BUBBLES 3 4 8 105 4 5 19 217
Financial crises and economic growth 0 3 5 5 3 10 14 14
Foreign currency bubbles 0 0 2 21 0 3 10 58
Forward contracts and futures contracts 1 4 12 444 8 19 54 1,022
Hedging contingent claims on semimartingales 0 0 1 176 0 0 2 670
Hedging derivatives with model error 0 0 3 7 0 2 7 22
Hedging in a HJM model 2 3 4 58 2 3 14 140
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 8 117 1 3 15 245
Housing prices and the optimal time-on-the-market decision 0 0 2 4 0 1 10 22
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 1 5 521 0 1 9 1,591
Information reduction via level crossings in a credit risk model 1 2 4 24 1 2 7 69
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 2 68 1 4 6 205
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 2 216 0 0 5 539
Large traders, hidden arbitrage, and complete markets 0 2 2 45 0 3 6 115
Liquidity risk and arbitrage pricing theory 0 0 6 39 6 6 24 159
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 31 0 2 11 86
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 1 14 240
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 10 198 3 10 45 412
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 1 38 1 2 9 100
Market Pricing of Deposit Insurance 0 0 5 66 0 1 8 141
Modeling loan commitments 0 2 13 134 0 3 23 244
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 1 3 5 43 1 3 5 73
On Model Testing in Financial Economics 0 0 1 16 0 0 2 35
Operational risk 1 2 4 130 1 3 15 291
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 3 141
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 45 0 0 2 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 4 7 24 1,180 7 13 70 2,078
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 1 6 76 2 5 17 132
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 4 5 16 163 4 5 43 366
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 2 11 129 2 9 31 307
Pricing foreign currency options under stochastic interest rates 0 0 1 996 0 0 3 1,533
Primes and Scores: An Essay on Market Imperfections 1 1 3 95 1 4 12 581
Put Option Premiums and Coherent Risk Measures 0 0 0 43 0 0 5 105
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 1 6 1 4 22 70
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 10 91 2 3 35 266
Restructuring risk in credit default swaps: An empirical analysis 1 1 2 12 1 2 9 45
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 3 169
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 5 69 0 1 12 196
Spanning and completeness in markets with contingent claims 0 1 17 153 2 5 24 245
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 3 7 7 1 7 19 19
Tax liens: a novel application of asset pricing theory 0 0 1 32 0 0 8 94
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 2 3 10 320 5 6 34 723
The Economics of Credit Default Swaps 0 1 8 16 0 3 20 50
The Liquidity Discount 0 0 3 207 0 2 19 706
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 36 0 0 3 128
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 100 5 10 56 430
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 1 6 17 49
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 1 7 774
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 1 414 1 4 18 1,137
The Term Structure of Interest Rates 3 7 40 145 11 29 130 396
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 1 7 433 2 5 28 758
The cost of operational risk loss insurance 0 0 1 26 0 1 9 66
The error learning hypothesis: The evidence reexamined 0 0 1 8 0 0 2 41
The intersection of market and credit risk 1 2 3 595 2 8 15 992
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 41 0 0 10 117
The zero-lower bound on interest rates: Myth or reality? 2 3 10 10 2 5 21 21
Understanding the risk of leveraged ETFs 2 6 21 104 3 9 47 221
Total Journal Articles 43 123 626 17,734 142 405 2,134 43,993


Statistics updated 2014-11-03