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 5 15 734
Housing Market Microstructure 1 1 2 50 1 1 7 123
Informational Efficiency under Short Sale Constraints 1 2 8 8 1 5 16 16
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 2 3 633 3 7 26 1,884
Is there a bubble in LinkedIn's stock price? 1 1 7 47 4 6 29 157
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 2 2 4 711
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 0 315
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 2 293 0 0 13 1,766
Modeling Credit Risk with Partial Information 0 0 3 30 0 2 7 71
Modeling credit risk with partial information 0 0 1 1 2 5 10 10
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 8 413
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 1 2 136 0 1 18 388
Specification Tests of Calibrated Option Pricing Models 0 2 10 25 1 5 18 46
The economic default time and the Arcsine law 0 0 0 28 0 0 1 81
Total Working Papers 3 9 38 1,255 16 39 172 6,715


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 14 218 7 12 47 478
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 4 18 61 1 8 44 149
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 3 10 32 2,585
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 3 150 0 0 8 548
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 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 2 3 16 1,215 4 8 34 3,136
A generalized coherent risk measure: The firm's perspective 0 0 1 82 0 0 3 167
A leverage ratio rule for capital adequacy 8 12 42 96 22 38 137 275
A liquidity-based model for asset price bubbles 0 1 6 20 1 2 11 39
A simple robust model for Cat bond valuation 1 1 10 123 2 5 32 272
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 4 6 35 35 5 15 84 84
An autoregressive jump process for common stock returns 1 1 2 120 1 2 6 224
An improved test for statistical arbitrage 4 7 11 40 6 11 29 108
Approximate option valuation for arbitrary stochastic processes 2 4 24 832 5 11 56 1,250
Arbitrage, Continuous Trading, and Margin Requirements 0 1 1 42 0 1 6 176
Bayesian analysis of contingent claim model error 1 1 5 89 2 4 17 217
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 1 13 185
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 7 7 25 4,864 17 26 116 9,604
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 4 4 0 0 13 18
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 89 0 1 7 279
Computing present values: Capital budgeting done correctly 3 3 3 3 5 5 5 5
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 0 2 85
Convenience yields 0 0 2 15 0 4 22 55
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 1 2 8 442
Credit Risk Models 1 5 20 130 3 10 41 256
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 1 10 91 1 4 53 207
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 4 86 0 3 13 199
Delta, gamma and bucket hedging of interest rate derivatives 1 3 13 53 5 10 43 161
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 4 72 0 5 16 150
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 8 40 1 4 28 120
Discretely sampled variance and volatility swaps versus their continuous approximations 1 1 2 3 1 2 11 19
Distressed debt prices and recovery rate estimation 0 0 6 79 1 2 25 237
Downside Loss Aversion and Portfolio Management 0 0 2 11 1 1 13 49
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 0 0 3 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 2 4 470 1 5 15 1,773
FORWARD AND FUTURES PRICES WITH BUBBLES 2 6 10 107 2 7 20 219
Financial crises and economic growth 4 6 9 9 5 12 19 19
Foreign currency bubbles 0 0 2 21 0 2 9 58
Forward contracts and futures contracts 3 6 15 447 8 23 59 1,030
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 0 0 0 0 0
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 22
Hedging in a HJM model 0 3 4 58 1 4 13 141
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 8 117 0 3 15 245
Housing prices and the optimal time-on-the-market decision 0 0 2 4 0 1 8 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 6 69
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 2 3 69 1 5 7 206
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 1 2 6 116
Liquidity risk and arbitrage pricing theory 0 0 4 39 1 7 21 160
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 31 0 2 10 86
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 1 12 240
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 10 198 2 8 44 414
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 1 38 0 1 9 100
Market Pricing of Deposit Insurance 0 0 3 66 0 1 6 141
Modeling loan commitments 0 1 11 134 0 2 20 244
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 2 5 43 0 2 5 73
On Model Testing in Financial Economics 0 0 1 16 0 0 2 35
Operational risk 0 2 3 130 0 3 13 291
Option Pricing and Implicit Volatilities 0 0 0 0 1 2 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 0 6 23 1,180 2 12 69 2,080
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 1 6 76 0 5 14 132
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 2 7 16 165 3 8 42 369
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 2 3 13 131 4 8 34 311
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 0 1 3 95 1 5 13 582
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 21 71
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 1 10 92 2 5 34 268
Restructuring risk in credit default swaps: An empirical analysis 0 1 2 12 0 2 7 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 1 1 12 197
Spanning and completeness in markets with contingent claims 2 2 13 155 2 4 17 247
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 2 7 7 3 9 19 22
Tax liens: a novel application of asset pricing theory 0 0 1 32 0 0 6 94
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 3 8 320 4 10 34 727
The Economics of Credit Default Swaps 1 2 9 17 1 3 20 51
The Liquidity Discount 0 0 1 207 0 0 15 706
The Relationship between Arbitrage and First Order Stochastic Dominance 1 1 2 37 2 2 5 130
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 100 3 13 59 433
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 2 7 19 51
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 2 8 775
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 2 415 2 5 20 1,139
The Term Structure of Interest Rates 2 6 40 147 9 33 131 405
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 7 433 1 4 27 759
The cost of operational risk loss insurance 0 0 1 26 0 1 8 66
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 1 2 2 2 5 6 6 6
The intersection of market and credit risk 2 3 5 597 4 8 19 996
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 1 1 2 42 1 1 8 118
The zero-lower bound on interest rates: Myth or reality? 0 3 10 10 0 4 21 21
Understanding the risk of leveraged ETFs 0 5 16 104 1 8 43 222
Total Journal Articles 65 152 626 17,800 173 476 2,084 44,167


Statistics updated 2014-12-03