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 4 14 734
Housing Market Microstructure 0 1 2 50 0 1 7 123
Informational Efficiency under Short Sale Constraints 0 2 8 8 1 5 17 17
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 1 3 633 1 6 25 1,885
Is there a bubble in LinkedIn's stock price? 0 1 7 47 1 7 29 158
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 3 5 712
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 1 316
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 2 293 1 1 14 1,767
Modeling Credit Risk with Partial Information 0 0 2 30 0 1 6 71
Modeling credit risk with partial information 1 1 2 2 1 5 11 11
Option pricing with random volatilities in complete markets 0 0 0 1 1 1 7 414
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 1 2 136 2 3 20 390
Specification Tests of Calibrated Option Pricing Models 1 3 10 26 1 6 18 47
The economic default time and the Arcsine law 0 0 0 28 0 0 1 81
Total Working Papers 2 10 38 1,257 11 44 175 6,726


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 2 36
A Critique of Revised Basel II 0 2 14 218 3 14 47 481
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 1 17 61 2 5 43 151
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 5 12 35 2,590
A Model of the Convenience Yields in On-the-Run Treasuries 1 1 4 151 2 2 9 550
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 0 15
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 2 249
A characterization theorem for unique risk neutral probability measures 0 0 1 23 0 0 1 84
A comparison of the APT and CAPM a note 1 4 14 1,216 3 11 31 3,139
A generalized coherent risk measure: The firm's perspective 0 0 1 82 0 0 3 167
A leverage ratio rule for capital adequacy 2 12 40 98 6 36 132 281
A liquidity-based model for asset price bubbles 0 0 6 20 0 1 9 39
A simple robust model for Cat bond valuation 2 3 12 125 4 6 33 276
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 4 22 0 1 6 66
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 5 36 36 1 8 85 85
An autoregressive jump process for common stock returns 0 1 2 120 0 1 6 224
An improved test for statistical arbitrage 0 6 11 40 3 12 32 111
Approximate option valuation for arbitrary stochastic processes 1 3 25 833 4 11 57 1,254
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 42 0 0 5 176
Bayesian analysis of contingent claim model error 0 1 5 89 1 4 18 218
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 1 1 14 186
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 7 21 4,864 5 28 109 9,609
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 2 4 1 1 11 19
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 89 1 2 8 280
Computing present values: Capital budgeting done correctly 2 5 5 5 3 8 8 8
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 0 2 85
Convenience yields 0 0 2 15 2 2 23 57
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 0 2 8 442
Credit Risk Models 0 4 20 130 3 10 43 259
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 10 91 2 4 52 209
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 3 86 0 1 11 199
Delta, gamma and bucket hedging of interest rate derivatives 0 2 13 53 7 15 48 168
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 4 72 0 2 16 150
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 1 9 41 1 3 27 121
Discretely sampled variance and volatility swaps versus their continuous approximations 0 1 2 3 0 2 10 19
Distressed debt prices and recovery rate estimation 0 0 5 79 2 3 24 239
Downside Loss Aversion and Portfolio Management 1 1 3 12 1 2 11 50
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 16 0 0 2 54
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 2 45 0 1 6 86
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 1 4 470 1 4 14 1,774
FORWARD AND FUTURES PRICES WITH BUBBLES 2 7 12 109 3 9 20 222
Financial crises and economic growth 0 4 9 9 3 11 22 22
Foreign currency bubbles 0 0 2 21 2 2 10 60
Forward Rate Curve Smoothing 0 0 0 0 1 1 1 1
Forward contracts and futures contracts 1 5 15 448 1 17 56 1,031
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 0 2 2 2 2
Hedging contingent claims on semimartingales 0 0 1 176 0 0 2 670
Hedging derivatives with model error 0 0 2 7 0 0 5 22
Hedging in a HJM model 0 2 4 58 0 3 13 141
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 8 117 1 2 16 246
Housing prices and the optimal time-on-the-market decision 0 0 1 4 0 0 7 22
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 5 521 0 0 9 1,591
Information reduction via level crossings in a credit risk model 0 1 3 24 0 1 5 69
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 3 69 1 3 8 207
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 1 216 0 0 3 539
Large traders, hidden arbitrage, and complete markets 0 0 2 45 0 1 6 116
Liquidity risk and arbitrage pricing theory 0 0 4 39 2 9 22 162
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 31 0 0 9 86
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 0 9 240
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 9 198 4 9 45 418
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 1 38 0 1 8 100
Market Pricing of Deposit Insurance 0 0 2 66 0 0 5 141
Modeling loan commitments 0 0 10 134 0 0 19 244
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 1 5 43 0 1 5 73
On Model Testing in Financial Economics 0 0 1 16 0 0 2 35
Operational risk 1 2 4 131 1 2 12 292
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 2 142
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 45 0 0 2 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 6 22 1,182 5 14 70 2,085
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 5 76 0 2 13 132
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 3 9 19 168 5 12 44 374
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 3 10 131 1 7 30 312
Pricing foreign currency options under stochastic interest rates 0 0 0 996 0 0 2 1,533
Primes and Scores: An Essay on Market Imperfections 0 1 3 95 0 2 12 582
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 3 22 72
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 9 92 2 6 35 270
Restructuring risk in credit default swaps: An empirical analysis 0 1 2 12 2 3 9 47
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 2 169
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 5 69 0 1 11 197
Spanning and completeness in markets with contingent claims 2 4 15 157 4 8 21 251
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 6 7 4 8 21 26
Tax liens: a novel application of asset pricing theory 0 0 0 32 1 1 4 95
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 2 4 9 322 2 11 33 729
The Economics of Credit Default Swaps 1 2 9 18 2 3 21 53
The Liquidity Discount 0 0 1 207 0 0 15 706
The Relationship between Arbitrage and First Order Stochastic Dominance 0 1 2 37 0 2 5 130
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 100 4 12 60 437
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 0 16
The Second Fundamental Theorem of Asset Pricing 0 0 0 11 0 3 18 51
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 2 9 776
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 2 415 1 4 21 1,140
The Term Structure of Interest Rates 1 6 36 148 6 26 124 411
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 2 7 434 2 5 27 761
The cost of operational risk loss insurance 0 0 1 26 1 1 8 67
The error learning hypothesis: The evidence reexamined 0 0 1 8 0 0 2 41
The impact of quantitative easing on the US term structure of interest rates 2 4 4 4 6 12 12 12
The intersection of market and credit risk 0 3 5 597 0 6 19 996
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 1 2 42 1 2 8 119
The zero-lower bound on interest rates: Myth or reality? 0 2 9 10 0 2 18 21
Understanding the risk of leveraged ETFs 1 3 16 105 2 6 42 224
Total Journal Articles 31 140 612 17,831 138 454 2,071 44,305


Statistics updated 2015-01-03