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 1 1 6 744
Housing Market Microstructure 1 1 2 59 1 1 10 149
Informational Efficiency under Short Sale Constraints 0 0 2 16 0 0 5 35
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 0 1 12 1,913
Is there a bubble in LinkedIn's stock price? 0 0 1 55 1 2 14 188
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 5 323
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 2 2 6 723
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 1 5 1,782
Modeling Credit Risk with Partial Information 0 0 0 33 0 0 5 86
Modeling credit risk with partial information 0 0 0 5 0 1 7 23
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 13 434
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 140 0 0 10 410
Specification Tests of Calibrated Option Pricing Models 2 3 6 43 2 7 19 106
The economic default time and the Arcsine law 0 0 0 31 1 1 9 104
Total Working Papers 3 4 13 1,315 8 17 126 7,020


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 4 43
A Critique of Revised Basel II 0 0 1 229 0 1 4 514
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 6 77 0 2 24 207
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 3 10 50 2,674
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 0 0 7 562
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 17 38
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 6 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 0 1 9 98
A comparison of the APT and CAPM a note 0 1 9 1,244 2 5 28 3,214
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 0 5 176
A leverage ratio rule for capital adequacy 2 5 14 139 3 14 41 403
A liquidity-based model for asset price bubbles 0 0 0 26 0 0 2 52
A simple robust model for Cat bond valuation 3 4 12 155 4 6 23 328
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 0 0 5 81
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 2 50 1 2 24 154
An autoregressive jump process for common stock returns 0 0 3 123 0 2 10 235
An improved test for statistical arbitrage 1 2 11 63 2 4 26 163
Approximate option valuation for arbitrary stochastic processes 2 5 24 880 6 15 61 1,358
Arbitrage, Continuous Trading, and Margin Requirements 0 1 1 44 0 2 7 194
Asset Price Bubbles 1 3 18 19 2 5 39 43
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 0 0 1 1 1 1
Bank runs and self-insured bank deposits 0 1 2 4 1 3 13 22
Bankruptcy Prediction with Industry Effects 1 1 3 4 1 2 15 19
Bayesian analysis of contingent claim model error 0 0 1 97 0 0 13 246
Beliefs and arbitrage pricing 0 0 0 14 0 0 3 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 90 1 2 13 231
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 5 9 4,898 16 28 86 9,812
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 1 1 8 0 2 8 40
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 0 1 9 303
Computing present values: Capital budgeting done correctly 0 0 2 10 0 1 10 34
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 1 8 97
Convenience yields 0 0 5 25 0 0 10 77
Counterparty Risk and the Pricing of Defaultable Securities 0 0 3 176 0 3 20 476
Credit Risk Models 2 8 18 167 3 12 35 327
Credit Risk Models with Incomplete Information 0 0 0 0 0 0 0 0
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 3 7 105 1 4 23 257
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 89 2 3 9 222
Delta, gamma and bucket hedging of interest rate derivatives 0 0 6 69 3 6 28 238
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 2 78 1 2 18 182
Designing catastrophic bonds for catastrophic risks in agriculture 0 1 1 1 0 5 5 5
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 1 1 52 1 4 18 168
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 1 1 7 29
Distressed debt prices and recovery rate estimation 1 2 2 82 1 5 11 265
Downside Loss Aversion and Portfolio Management 0 0 4 20 3 7 16 73
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 1 2 7 65
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 46 0 1 10 104
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 0 14 1,794
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 112 0 2 9 236
Financial crises and economic growth 0 1 5 22 1 2 13 52
Foreign currency bubbles 0 0 0 23 0 1 5 76
Forward Rate Curve Smoothing 0 0 0 3 0 1 10 34
Forward contracts and futures contracts 0 1 8 464 2 5 21 1,077
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 1 6 1 1 10 33
Hedging contingent claims on semimartingales 0 0 0 176 1 1 8 679
Hedging derivatives with model error 0 0 2 9 1 1 5 33
Hedging in a HJM model 0 0 2 64 1 1 14 168
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 1 123 1 5 14 284
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 0 9 37
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 0 523 0 0 6 1,607
Information reduction via level crossings in a credit risk model 0 0 0 24 1 1 5 77
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 2 73 0 0 7 220
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 0 5 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 0 3 546
Large traders, hidden arbitrage, and complete markets 0 0 1 49 0 0 7 131
Liquidity risk and arbitrage pricing theory 0 0 3 43 2 3 13 179
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 35 0 0 10 107
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 2 11 261
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 9 219 2 4 27 473
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 1 46 0 0 11 129
Market Pricing of Deposit Insurance 0 0 1 70 1 1 6 161
Modeling loan commitments 0 0 6 147 0 1 14 281
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 0 46 0 0 5 87
On Model Testing in Financial Economics 0 0 0 16 0 1 9 45
Operational risk 1 1 3 142 1 1 9 324
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 9 153
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 0 4 240
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 5 18 1,219 6 12 64 2,211
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 3 5 82 0 8 18 157
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 7 184 0 2 15 415
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 5 138 3 7 13 331
Pricing foreign currency options under stochastic interest rates 1 1 2 999 4 5 14 1,556
Primes and Scores: An Essay on Market Imperfections 2 3 4 103 3 5 16 609
Put Option Premiums and Coherent Risk Measures 0 0 2 47 1 1 7 121
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 0 8 86
Reduced-form valuation of callable corporate bonds: Theory and evidence 2 3 3 106 3 6 19 321
Relative asset price bubbles 1 3 5 5 1 6 27 27
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 13 0 0 5 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 5 183
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 1 1 8 209
Spanning and completeness in markets with contingent claims 0 2 3 162 0 2 4 265
Specification tests of calibrated option pricing models 0 0 0 3 1 1 19 38
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 1 2 4 5 2 3 19 26
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 2 13 0 1 11 65
Tax liens: a novel application of asset pricing theory 1 2 2 34 1 2 8 106
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 1 1 9 337 4 7 38 784
The Economics of Credit Default Swaps 1 1 4 28 3 5 19 92
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 3 8 2 2 11 27
The Liquidity Discount 0 0 1 209 0 1 8 721
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 1 1 6 141
The Relationship between Yield, Risk and Return of Corporate Bonds 1 2 3 105 1 2 21 479
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 7 26
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 0 0 8 62
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 1 6 791
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 1 423 2 2 6 1,175
The Term Structure of Interest Rates 2 3 24 215 7 14 92 616
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 1 2 438 7 15 34 804
The cost of operational risk loss insurance 0 0 1 27 0 0 6 77
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 1 3 45
The impact of quantitative easing on the US term structure of interest rates 1 1 8 35 2 5 27 109
The intersection of market and credit risk 2 4 13 615 4 11 42 1,065
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 1 1 48 0 2 11 140
The zero-lower bound on interest rates: Myth or reality? 0 2 7 29 0 5 25 69
Understanding the risk of leveraged ETFs 3 6 16 152 4 8 44 335
Total Journal Articles 40 96 375 18,762 142 344 1,775 48,000
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 0 0 0 1 3 3
The Economic Foundations of Risk Management:Theory, Practice, and Applications 1 2 4 4 3 5 8 8
Total Books 1 2 4 4 3 6 11 11


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 0 2 3 3 1 5 9 9
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 0 0 2 2
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 2 3 3 2 6 9 9
Arbitrage, Continuous Trading, and Margin Requirements 0 1 1 1 1 2 5 5
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 0 0 1 1
Bankruptcy Prediction with Industry Effects 1 1 1 1 1 1 3 3
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 0 1 1 3 3
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 0 0 1 3 3
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 0 1 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 1 3 3
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 2 3 3 2 4 8 8
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 0 0 1 1
Liquidity risk and arbitrage pricing theory 0 0 0 0 0 0 2 2
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 0 0 5 5
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 3 3 3 1 3 5 5
Market Pricing of Deposit Insurance 0 0 1 1 0 0 2 2
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 1 1 1 0 4 6 6
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 1 2 2 1 3 7 7
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 1 2 4 4
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 1 2 9 9
Pricing foreign currency options under stochastic interest rates 0 0 1 1 0 0 2 2
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 1 1 1 1 1 3 5 5
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 1 1 3 3
Total Chapters 5 14 20 20 14 40 100 100


Statistics updated 2017-04-03