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 1 5 743
Housing Market Microstructure 0 0 3 58 0 4 14 150
Informational Efficiency under Short Sale Constraints 0 2 2 16 0 3 8 35
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 1 6 19 1,914
Is there a bubble in LinkedIn's stock price? 0 0 2 55 1 2 16 187
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 2 6 722
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 5 323
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 1 2 7 1,782
Modeling Credit Risk with Partial Information 0 0 0 33 0 1 5 86
Modeling credit risk with partial information 0 0 0 5 0 3 7 23
Option pricing with random volatilities in complete markets 0 0 0 1 0 4 15 435
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 1 2 140 0 2 10 410
Specification Tests of Calibrated Option Pricing Models 0 0 4 40 2 5 18 101
The economic default time and the Arcsine law 0 0 0 31 0 2 10 103
Total Working Papers 0 3 13 1,311 6 38 145 7,014


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 4 43
A Critique of Revised Basel II 0 0 2 229 0 1 5 513
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 8 77 1 3 29 206
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 7 16 53 2,672
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 0 2 8 562
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 1 18 38
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 2 6 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 0 2 9 97
A comparison of the APT and CAPM a note 0 3 10 1,243 2 10 29 3,211
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 1 5 176
A leverage ratio rule for capital adequacy 1 4 11 135 2 11 35 391
A liquidity-based model for asset price bubbles 0 0 0 26 0 1 2 52
A simple robust model for Cat bond valuation 1 6 11 152 1 8 22 323
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 0 1 6 81
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 1 3 50 2 10 32 156
An autoregressive jump process for common stock returns 0 1 3 123 0 3 8 233
An improved test for statistical arbitrage 0 5 10 61 1 10 25 160
Approximate option valuation for arbitrary stochastic processes 3 4 24 878 7 15 57 1,350
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 1 2 9 193
Asset Price Bubbles 1 5 17 17 2 11 40 40
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 1 1 1 2 6 9 9
Bank runs and self-insured bank deposits 0 0 1 3 0 1 11 19
Bankruptcy Prediction with Industry Effects 0 0 3 3 0 5 16 17
Bayesian analysis of contingent claim model error 0 0 2 97 0 3 14 246
Beliefs and arbitrage pricing 0 0 0 14 0 1 3 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 90 0 4 12 229
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 2 6 4,895 7 23 83 9,798
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 7 1 4 9 39
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 0 2 10 302
Computing present values: Capital budgeting done correctly 0 2 2 10 0 3 10 33
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 1 8 96
Convenience yields 0 0 6 25 0 2 12 77
Counterparty Risk and the Pricing of Defaultable Securities 0 0 3 176 2 6 19 475
Credit Risk Models 2 4 14 161 3 6 30 318
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 3 5 7 105 3 8 23 257
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 2 89 0 2 10 219
Delta, gamma and bucket hedging of interest rate derivatives 0 2 7 69 2 7 29 234
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 3 78 1 5 18 181
Designing catastrophic bonds for catastrophic risks in agriculture 1 1 1 1 5 5 5 5
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 51 1 5 16 165
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 2 6 28
Distressed debt prices and recovery rate estimation 0 0 0 80 1 4 8 261
Downside Loss Aversion and Portfolio Management 0 1 4 20 2 6 12 69
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 1 7 63
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 46 0 2 10 103
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 2 16 1,794
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 2 112 0 2 9 234
Financial crises and economic growth 0 1 5 21 0 5 13 50
Foreign currency bubbles 0 0 0 23 0 1 5 75
Forward Rate Curve Smoothing 0 0 1 3 1 2 14 34
Forward contracts and futures contracts 0 1 8 463 0 4 18 1,072
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 1 1 6 0 2 9 32
Hedging contingent claims on semimartingales 0 0 0 176 0 1 7 678
Hedging derivatives with model error 0 0 2 9 0 1 4 32
Hedging in a HJM model 0 1 2 64 0 2 14 167
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 1 123 0 2 16 279
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 2 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 2 6 1,607
Information reduction via level crossings in a credit risk model 0 0 0 24 0 1 4 76
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 2 73 0 1 8 220
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 1 6 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 1 4 546
Large traders, hidden arbitrage, and complete markets 0 0 1 49 0 1 7 131
Liquidity risk and arbitrage pricing theory 0 1 3 43 1 4 11 177
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 35 0 2 16 108
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 2 11 259
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 2 9 219 2 8 28 471
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 1 46 0 4 11 129
Market Pricing of Deposit Insurance 0 1 2 70 0 2 9 160
Modeling loan commitments 0 0 8 147 1 5 18 282
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 1 46 0 1 6 87
On Model Testing in Financial Economics 0 0 0 16 1 2 9 45
Operational risk 0 0 3 141 0 2 10 323
Option Pricing and Implicit Volatilities 0 0 0 0 0 2 8 152
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 1 4 240
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 7 14 1,215 5 23 62 2,204
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 1 3 80 2 4 12 151
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 1 9 184 1 3 18 414
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 2 5 138 1 4 8 326
Pricing foreign currency options under stochastic interest rates 0 0 1 998 1 2 11 1,552
Primes and Scores: An Essay on Market Imperfections 1 1 4 101 1 4 15 605
Put Option Premiums and Coherent Risk Measures 0 0 2 47 0 2 6 120
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 3 9 86
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 1 5 104 1 6 20 316
Relative asset price bubbles 0 2 2 2 1 12 23 23
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 13 0 1 5 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 6 183
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 1 7 208
Spanning and completeness in markets with contingent claims 1 1 2 161 1 2 4 264
Specification tests of calibrated option pricing models 0 0 1 3 0 3 29 38
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 3 3 1 3 20 24
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 1 2 13 0 4 12 64
Tax liens: a novel application of asset pricing theory 1 1 1 33 1 3 7 105
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 11 336 2 8 38 779
The Economics of Credit Default Swaps 0 0 3 27 1 2 16 88
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 3 8 1 3 12 27
The Liquidity Discount 0 0 1 209 1 3 10 721
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 1 6 140
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 103 0 6 21 477
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 1 7 26
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 0 4 8 62
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 1 7 790
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 2 422 0 1 8 1,173
The Term Structure of Interest Rates 0 3 27 212 3 20 101 606
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 2 437 3 13 24 792
The cost of operational risk loss insurance 0 0 1 27 0 4 6 77
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 2 2 44
The impact of quantitative easing on the US term structure of interest rates 0 3 8 34 0 9 28 104
The intersection of market and credit risk 1 1 10 612 3 5 36 1,057
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 47 1 4 10 139
The zero-lower bound on interest rates: Myth or reality? 1 1 10 28 1 3 27 65
Understanding the risk of leveraged ETFs 2 5 16 148 3 8 45 330
Total Journal Articles 26 89 370 18,693 97 473 1,788 47,779


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 2 3 3
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 2 2 2 1 6 6 6
Total Books 0 2 2 2 1 8 9 9


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 2 3 3 3 3 7 8 8
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 0 3 3 3
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 2 3 3 3 2 5 6 6
Arbitrage, Continuous Trading, and Margin Requirements 1 1 1 1 1 4 4 4
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 0 2 2 2
Bankruptcy Prediction with Industry Effects 0 0 0 0 0 2 2 2
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 0 0 4 4 4
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 0 1 3 3 3
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 0 3 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 2 2 2
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 1 1 1 1 7 7 7
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 0 1 1 1
Liquidity risk and arbitrage pricing theory 0 0 0 0 0 3 3 3
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 1 6 6 6
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 1 1 1 2 5 5 5
Market Pricing of Deposit Insurance 0 1 1 1 0 3 3 3
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 0 1 3 3 3
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 1 1 1 1 5 6 6
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 0 3 3 3
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 0 7 8 8
Pricing foreign currency options under stochastic interest rates 0 1 1 1 0 4 4 4
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 0 0 1 2 2
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 0 1 2 2
Total Chapters 6 12 12 12 13 84 90 90


Statistics updated 2017-02-02