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 0 10 734
Housing Market Microstructure 0 1 2 51 0 1 4 124
Informational Efficiency under Short Sale Constraints 1 1 7 9 2 3 17 19
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 2 633 0 2 20 1,886
Is there a bubble in LinkedIn's stock price? 2 2 7 49 2 3 24 160
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 1 316
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 5 712
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 293 0 3 15 1,769
Modeling Credit Risk with Partial Information 0 0 2 30 0 1 6 72
Modeling credit risk with partial information 0 1 2 2 0 1 11 11
Option pricing with random volatilities in complete markets 0 0 0 1 1 4 7 417
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 136 0 5 18 393
Specification Tests of Calibrated Option Pricing Models 0 1 9 26 6 14 29 60
The economic default time and the Arcsine law 0 0 0 28 1 2 2 83
Total Working Papers 3 6 33 1,261 12 41 169 6,756


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 1 1 12 219 2 11 48 489
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 1 16 62 1 4 39 153
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 7 31 2,592
A Model of the Convenience Yields in On-the-Run Treasuries 0 1 3 151 0 2 8 550
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 4 7 17 1,222 7 14 34 3,150
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 8 36 104 6 20 117 295
A liquidity-based model for asset price bubbles 0 0 2 20 0 0 4 39
A simple robust model for Cat bond valuation 0 3 10 126 0 6 30 278
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 3 22 0 0 4 66
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 2 3 30 38 2 7 71 91
An autoregressive jump process for common stock returns 0 0 2 120 0 0 5 224
An improved test for statistical arbitrage 3 3 13 43 3 6 29 114
Approximate option valuation for arbitrary stochastic processes 0 2 22 834 1 9 53 1,259
Arbitrage, Continuous Trading, and Margin Requirements 0 1 2 43 0 1 6 177
Bayesian analysis of contingent claim model error 0 1 5 90 0 3 15 220
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 2 4 85 1 7 17 192
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 3 6 23 4,870 16 30 102 9,634
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 1 4 0 1 9 19
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 89 0 1 6 280
Computing present values: Capital budgeting done correctly 0 3 6 6 1 5 10 10
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 0 2 85
Convenience yields 0 0 1 15 0 3 22 58
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 172 1 1 8 443
Credit Risk Models 2 2 18 132 2 6 40 262
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 10 92 0 4 47 211
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 1 3 87 1 1 9 200
Delta, gamma and bucket hedging of interest rate derivatives 0 1 13 54 2 13 44 174
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 4 72 1 1 13 151
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 4 6 44 5 11 28 131
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 2 3 0 1 7 20
Distressed debt prices and recovery rate estimation 0 1 4 80 0 3 21 240
Downside Loss Aversion and Portfolio Management 0 1 2 12 1 3 8 52
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 7 87
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 3 470 0 2 12 1,775
FORWARD AND FUTURES PRICES WITH BUBBLES 1 3 11 110 2 5 20 224
Financial crises and economic growth 0 2 11 11 0 6 25 25
Foreign currency bubbles 0 0 2 21 0 2 9 60
Forward Rate Curve Smoothing 0 1 1 1 2 5 5 5
Forward contracts and futures contracts 0 1 13 448 0 2 52 1,032
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 1 2 2 2 2 8 8 8
Hedging contingent claims on semimartingales 0 0 1 176 0 0 2 670
Hedging derivatives with model error 0 0 2 7 0 1 6 23
Hedging in a HJM model 0 0 4 58 0 0 13 141
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 2 10 119 3 5 19 250
Housing prices and the optimal time-on-the-market decision 0 0 0 4 0 0 6 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 1 1 9 1,592
Information reduction via level crossings in a credit risk model 0 0 3 24 0 0 5 69
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 1 4 70 1 2 9 208
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 0 1 539
Large traders, hidden arbitrage, and complete markets 0 1 3 46 0 2 8 118
Liquidity risk and arbitrage pricing theory 0 0 4 39 0 3 21 163
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 31 0 0 8 86
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 0 7 240
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 8 198 0 7 41 421
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 1 1 2 39 1 4 12 104
Market Pricing of Deposit Insurance 0 0 1 66 0 0 2 141
Modeling loan commitments 0 0 7 134 1 2 17 246
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 5 43 0 0 5 73
On Model Testing in Financial Economics 0 0 1 16 0 0 2 35
Operational risk 0 1 4 131 2 3 12 294
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 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 1 5 21 1,185 4 13 67 2,093
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 3 76 0 1 11 133
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 6 19 171 2 12 41 381
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 8 131 0 5 28 316
Pricing foreign currency options under stochastic interest rates 0 0 0 996 0 1 3 1,534
Primes and Scores: An Essay on Market Imperfections 0 0 2 95 2 2 12 584
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 0 2 18 73
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 7 92 2 5 28 273
Restructuring risk in credit default swaps: An empirical analysis 0 0 2 12 0 3 9 48
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 1 3 170
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 5 69 1 1 12 198
Spanning and completeness in markets with contingent claims 0 2 11 157 0 4 17 251
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 1 5 8 1 5 17 27
Tax liens: a novel application of asset pricing theory 0 0 0 32 0 1 4 95
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 2 7 322 0 3 29 730
The Economics of Credit Default Swaps 1 2 7 19 1 5 16 56
The Liquidity Discount 0 0 1 207 0 0 14 706
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 2 37 0 0 4 130
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 100 2 7 57 440
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 1 1 12 0 1 15 52
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 2 10 777
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 3 416 3 6 21 1,145
The Term Structure of Interest Rates 2 4 33 151 6 18 123 423
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 6 434 2 5 26 764
The cost of operational risk loss insurance 0 0 1 26 0 1 6 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 5 7 7 5 17 23 23
The intersection of market and credit risk 0 3 8 600 1 4 22 1,000
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 2 42 0 2 9 120
The zero-lower bound on interest rates: Myth or reality? 0 0 6 10 0 1 10 22
Understanding the risk of leveraged ETFs 3 6 16 110 5 9 40 231
Total Journal Articles 37 107 571 17,907 108 379 1,946 44,546


Statistics updated 2015-03-02