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 16 729
Housing Market Microstructure 0 0 1 49 1 1 9 122
Informational Efficiency under Short Sale Constraints 1 2 6 6 2 4 11 11
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 631 3 7 28 1,877
Is there a bubble in LinkedIn's stock price? 1 1 10 46 2 4 29 151
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 3 709
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 315
Model Error in Contingent Claim Models Dynamic Evaluation 0 1 2 293 2 7 15 1,766
Modeling Credit Risk with Partial Information 1 1 4 30 1 1 8 69
Modeling credit risk with partial information 1 1 1 1 2 3 5 5
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 0 0 2 135 1 3 20 387
Specification Tests of Calibrated Option Pricing Models 2 4 12 23 2 6 32 41
The economic default time and the Arcsine law 0 0 0 28 0 0 2 81
Total Working Papers 6 10 39 1,246 17 39 190 6,676


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 0 34
A Critique of Revised Basel II 1 1 20 215 1 4 54 466
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 2 6 18 57 2 9 49 141
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 1 4 27 2,575
A Model of the Convenience Yields in On-the-Run Treasuries 1 1 3 150 1 1 13 548
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 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 0 0 22 0 0 1 83
A comparison of the APT and CAPM a note 0 2 22 1,212 0 6 56 3,128
A generalized coherent risk measure: The firm's perspective 0 0 1 82 0 0 4 167
A leverage ratio rule for capital adequacy 1 3 48 84 2 6 146 237
A liquidity-based model for asset price bubbles 1 1 7 19 1 1 15 37
A simple robust model for Cat bond valuation 1 3 15 122 1 8 39 267
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 4 21 0 1 7 65
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 5 29 29 4 17 69 69
An autoregressive jump process for common stock returns 0 1 1 119 0 2 6 222
An improved test for statistical arbitrage 1 2 8 33 3 6 28 97
Approximate option valuation for arbitrary stochastic processes 2 9 25 828 8 17 57 1,239
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 41 0 1 7 175
Bayesian analysis of contingent claim model error 1 2 5 88 1 3 16 213
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 4 83 1 3 14 184
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 6 32 4,857 7 23 133 9,578
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 4 4 1 1 18 18
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 3 89 0 1 11 278
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 1 2 85
Convenience yields 1 1 2 15 2 8 22 51
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 0 1 8 440
Credit Risk Models 3 6 16 125 5 12 36 246
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 2 5 10 90 2 7 60 203
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 5 86 0 1 14 196
Delta, gamma and bucket hedging of interest rate derivatives 3 5 15 50 4 9 53 151
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 4 71 0 2 15 145
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 10 39 0 3 40 116
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 2 2 1 1 14 17
Distressed debt prices and recovery rate estimation 0 2 8 79 0 4 30 235
Downside Loss Aversion and Portfolio Management 0 1 2 11 0 1 20 48
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 1 1 4 54
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 1 3 45 0 3 7 85
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 2 468 0 2 12 1,768
FORWARD AND FUTURES PRICES WITH BUBBLES 0 1 9 101 0 3 27 212
Financial crises and economic growth 1 3 3 3 3 7 7 7
Foreign currency bubbles 0 0 2 21 1 1 10 56
Forward contracts and futures contracts 1 2 14 441 4 12 47 1,007
Hedging contingent claims on semimartingales 0 0 1 176 0 0 2 670
Hedging derivatives with model error 0 2 3 7 1 3 8 21
Hedging in a HJM model 0 0 1 55 0 5 13 137
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 2 10 116 0 4 17 242
Housing prices and the optimal time-on-the-market decision 0 0 2 4 0 1 10 21
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 1 2 6 521 1 2 13 1,591
Information reduction via level crossings in a credit risk model 1 2 4 23 1 2 7 68
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 1 67 0 1 2 201
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 2 216 0 1 6 539
Large traders, hidden arbitrage, and complete markets 2 2 2 45 2 3 6 114
Liquidity risk and arbitrage pricing theory 0 1 6 39 0 2 19 153
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 4 31 0 0 11 84
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 2 14 239
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 11 198 4 11 45 406
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 2 38 1 2 9 99
Market Pricing of Deposit Insurance 0 0 6 66 0 0 10 140
Modeling loan commitments 1 4 12 133 1 7 27 242
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 1 2 3 41 1 2 3 71
On Model Testing in Financial Economics 0 0 1 16 0 0 3 35
Operational risk 0 0 2 128 0 2 15 288
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 3 140
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 45 0 0 3 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 5 22 1,174 3 23 72 2,068
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 1 6 75 0 1 14 127
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 2 13 158 0 4 42 361
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 2 11 128 5 9 29 303
Pricing foreign currency options under stochastic interest rates 0 0 1 996 0 0 4 1,533
Primes and Scores: An Essay on Market Imperfections 0 0 4 94 0 2 15 577
Put Option Premiums and Coherent Risk Measures 0 0 0 43 0 2 5 105
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 1 6 2 3 26 68
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 2 10 91 0 5 37 263
Restructuring risk in credit default swaps: An empirical analysis 0 1 2 11 0 3 10 43
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 4 169
Risky coupon bonds as a portfolio of zero-coupon bonds 0 2 7 69 1 5 16 196
Spanning and completeness in markets with contingent claims 1 5 17 153 3 7 23 243
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 1 5 5 1 1 13 13
Tax liens: a novel application of asset pricing theory 0 0 1 32 0 1 8 94
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 10 317 0 3 34 717
The Economics of Credit Default Swaps 0 0 7 15 1 4 26 48
The Liquidity Discount 0 0 3 207 2 9 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 0 7 49 420
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 3 13 44
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 4 10 773
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 5 414 1 6 23 1,134
The Term Structure of Interest Rates 3 13 40 141 5 32 119 372
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 2 6 432 2 8 29 755
The cost of operational risk loss insurance 0 0 1 26 0 0 9 65
The error learning hypothesis: The evidence reexamined 0 1 1 8 0 1 3 41
The intersection of market and credit risk 1 1 3 594 4 4 15 988
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 1 1 41 0 2 10 117
The zero-lower bound on interest rates: Myth or reality? 0 1 7 7 1 2 17 17
Understanding the risk of leveraged ETFs 1 2 20 99 2 9 50 214
Total Journal Articles 37 133 646 17,648 103 403 2,199 43,691


Statistics updated 2014-09-03