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 2 5 746
Housing Market Microstructure 0 0 1 59 1 1 6 151
Informational Efficiency under Short Sale Constraints 0 0 2 16 2 3 7 39
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 1 1 635 1 2 9 1,916
Is there a bubble in LinkedIn's stock price? 0 0 0 55 1 1 6 190
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 1 323
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 2 7 726
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 0 2 1,782
Modeling Credit Risk with Partial Information 0 0 0 33 0 0 2 86
Modeling credit risk with partial information 0 0 0 5 1 1 4 24
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 7 437
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 140 0 1 3 411
Specification Tests of Calibrated Option Pricing Models 0 0 3 43 0 2 14 110
The economic default time and the Arcsine law 0 0 0 31 0 0 4 105
Total Working Papers 0 1 8 1,316 6 16 77 7,046


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 43
A Critique of Revised Basel II 0 0 0 229 0 0 4 515
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 1 1 1 0 4 4 4
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 7 42 2,696
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 153 0 1 6 564
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 1 4 39
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 2 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 0 0 3 98
A comparison of the APT and CAPM a note 0 0 4 1,244 0 2 17 3,216
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 0 3 177
A leverage ratio rule for capital adequacy 0 1 11 142 1 5 38 418
A liquidity-based model for asset price bubbles 0 0 0 26 0 0 1 52
A simple robust model for Cat bond valuation 0 1 14 159 0 1 19 333
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 0 1 3 82
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 0 0 1 1 1
An autoregressive jump process for common stock returns 0 0 2 124 0 0 6 236
An improved test for statistical arbitrage 0 0 13 68 0 0 27 173
Approximate option valuation for arbitrary stochastic processes 0 1 11 885 4 5 46 1,378
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 44 0 0 4 194
Asset Price Bubbles 0 1 15 25 1 4 33 59
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 1 1 1 4 4
Bank runs and self-insured bank deposits 0 1 2 5 2 4 11 27
Bankruptcy Prediction with Industry Effects 1 1 3 5 1 1 11 21
Bayesian analysis of contingent claim model error 0 0 1 98 0 1 8 248
Beliefs and arbitrage pricing 0 0 0 14 0 0 1 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 90 0 2 9 234
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 1 7 4,900 6 16 81 9,846
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 1 2 9 0 3 12 45
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 2 92 0 1 8 306
Computing present values: Capital budgeting done correctly 0 0 2 10 0 1 6 35
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 0 3 98
Convenience yields 0 0 3 25 0 1 7 78
Counterparty Risk and the Pricing of Defaultable Securities 0 2 4 180 1 8 34 499
Credit Risk Models 1 1 16 173 4 7 41 351
Credit Risk Models with Incomplete Information 0 0 0 0 0 0 1 1
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 1 9 109 2 3 16 263
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 2 91 1 3 17 234
Delta, gamma and bucket hedging of interest rate derivatives 1 2 4 71 1 3 16 243
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 2 79 0 2 10 186
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya 0 0 1 1 1 1 10 10
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 52 1 1 10 170
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 1 4 30
Distressed debt prices and recovery rate estimation 0 0 2 82 0 1 9 266
Downside Loss Aversion and Portfolio Management 0 0 1 20 1 1 13 75
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 0 4 66
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 46 0 0 4 104
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 0 2 1,794
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 0 0 0 0 0
Financial crises and economic growth 0 0 2 22 1 1 11 55
Foreign currency bubbles 0 0 0 23 0 1 4 77
Forward Rate Curve Smoothing 0 0 0 3 1 4 9 40
Forward contracts and futures contracts 1 4 9 470 2 6 22 1,089
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 1 2 7 0 2 7 36
Hedging contingent claims on semimartingales 0 0 0 176 0 1 4 680
Hedging derivatives with model error 0 0 1 10 0 0 6 37
Hedging in a HJM model 0 0 1 64 0 0 4 168
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 0 123 1 1 15 290
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 0 5 39
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 1 524 0 1 5 1,610
Information reduction via level crossings in a credit risk model 0 0 0 24 0 1 4 78
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 73 1 1 3 221
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 0 1 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 1 4 549
Large traders, hidden arbitrage, and complete markets 0 0 0 49 0 0 1 131
Liquidity risk and arbitrage pricing theory 0 0 1 43 1 3 10 183
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 35 1 1 5 111
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 4 9 265
Market Manipulation, Bubbles, Corners, and Short Squeezes 2 3 8 224 3 4 24 486
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 1 1 3 48 1 1 8 132
Market Pricing of Deposit Insurance 1 1 2 71 1 1 4 162
Modeling loan commitments 0 0 1 148 1 2 10 286
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 0 46 0 0 2 88
On Model Testing in Financial Economics 0 0 0 16 0 0 3 45
Operational risk 0 1 3 144 0 2 13 334
Option Pricing and Implicit Volatilities 0 0 0 0 0 3 8 157
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 0 5 243
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 5 19 1,227 3 11 74 2,252
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 4 83 0 0 12 158
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 3 185 0 0 9 417
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 3 138 0 5 22 343
Pricing foreign currency options under stochastic interest rates 0 1 3 1,001 0 3 12 1,561
Primes and Scores: An Essay on Market Imperfections 0 0 3 103 0 0 11 611
Put Option Premiums and Coherent Risk Measures 0 0 0 47 0 0 4 122
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 1 1 1
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 4 107 1 3 19 329
Relative asset price bubbles 0 2 10 10 3 13 36 45
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 13 0 0 1 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 2 184
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 0 2 209
Spanning and completeness in markets with contingent claims 0 0 2 162 0 0 4 266
Specification tests of calibrated option pricing models 0 0 0 3 0 0 5 39
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 2 5 1 1 6 27
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 0 0 0 1 1
Tax liens: a novel application of asset pricing theory 0 0 3 35 0 2 9 109
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 2 3 339 0 12 37 802
The Economics of Credit Default Swaps 1 2 5 32 4 8 19 104
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 0 1 2 3 3
The Liquidity Discount 0 0 0 209 0 1 4 722
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 0 4 141
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 105 0 0 10 479
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 1 26
The Second Fundamental Theorem of Asset Pricing 0 0 1 13 0 0 6 64
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 8 793
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 2 3 5 427 2 4 9 1,181
The Term Structure of Interest Rates 0 2 14 220 5 16 74 649
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 1 5 441 1 4 41 819
The cost of operational risk loss insurance 0 0 0 27 0 1 5 78
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 1 6 48
The impact of quantitative easing on the US term structure of interest rates 1 2 8 39 2 6 27 119
The intersection of market and credit risk 2 4 15 624 5 14 46 1,095
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 48 0 3 9 143
The zero-lower bound on interest rates: Myth or reality? 0 0 3 30 0 1 10 71
Understanding the risk of leveraged ETFs 1 4 19 161 3 11 48 358
Total Journal Articles 17 55 309 18,631 76 258 1,421 47,835
1 registered items for which data could not be found


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 1 1 0 2 11 11
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 3 13 13 0 4 20 20
Total Books 0 3 14 14 0 6 31 31


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Markov Model for the Term Structure of Credit Risk Spreads 1 1 5 5 1 1 14 14
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 1 1 1 2 5 5
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 0 6 6 1 1 14 14
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 1 0 0 6 6
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 1 1 2 2
Bankruptcy Prediction with Industry Effects 0 0 2 2 1 1 5 5
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 1 2 2 6 6
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 2 3 3 1 2 7 7
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 0 0 6 6
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 0 3 3
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 2 9 9 2 4 17 17
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 0 1 5 5
Liquidity risk and arbitrage pricing theory 1 1 1 1 1 3 6 6
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 1 2 7 7
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 4 4 2 2 8 8
Market Pricing of Deposit Insurance 0 0 1 1 2 2 4 4
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 1 1 0 0 6 6
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 0 3 3 1 4 18 18
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 1 1 7 7
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 1 2 12 12
Pricing foreign currency options under stochastic interest rates 0 0 1 1 0 0 3 3
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 3 3 0 0 7 7
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 1 1 12 12
Total Chapters 4 7 42 42 20 32 180 180


Statistics updated 2017-10-05