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 3 739
Housing Market Microstructure 0 1 5 58 0 3 17 144
Informational Efficiency under Short Sale Constraints 0 0 3 14 0 1 9 32
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 2 2 13 1,905
Is there a bubble in LinkedIn's stock price? 0 1 4 55 2 8 16 182
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 6 719
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 3 5 322
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 295 0 0 4 1,777
Modeling Credit Risk with Partial Information 0 0 3 33 0 1 8 84
Modeling credit risk with partial information 0 0 2 5 0 1 4 18
Option pricing with random volatilities in complete markets 0 0 0 1 2 6 9 429
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 138 0 4 10 406
Specification Tests of Calibrated Option Pricing Models 0 2 11 40 1 3 26 94
The economic default time and the Arcsine law 0 0 1 31 2 3 9 98
Total Working Papers 0 4 32 1,307 9 35 139 6,949


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 1 3 40
A Critique of Revised Basel II 1 1 8 229 1 1 12 511
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 1 8 73 2 10 31 196
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 13 23 49 2,651
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 1 1 5 557
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 7 8 17 33
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 3 6 257
A characterization theorem for unique risk neutral probability measures 0 0 0 24 2 2 7 93
A comparison of the APT and CAPM a note 0 2 12 1,238 2 8 26 3,195
A generalized coherent risk measure: The firm's perspective 0 0 1 84 0 1 6 174
A leverage ratio rule for capital adequacy 1 3 16 130 3 11 45 378
A liquidity-based model for asset price bubbles 0 0 4 26 0 0 8 50
A simple robust model for Cat bond valuation 2 2 10 145 2 4 22 312
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 1 24 0 1 6 78
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 5 48 1 9 38 140
An autoregressive jump process for common stock returns 0 0 1 121 1 1 5 229
An improved test for statistical arbitrage 0 0 6 52 2 5 20 142
Approximate option valuation for arbitrary stochastic processes 3 11 23 871 8 21 44 1,323
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 0 2 11 190
Asset Price Bubbles 3 6 8 8 6 14 21 21
Bank runs and self-insured bank deposits 0 1 3 3 1 5 14 14
Bankruptcy Prediction with Industry Effects 0 0 1 1 0 1 8 8
Bayesian analysis of contingent claim model error 0 1 3 97 0 2 11 239
Beliefs and arbitrage pricing 0 0 0 14 0 1 4 37
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 88 1 1 8 220
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1 3 6 4,892 4 16 64 9,750
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 1 7 0 1 9 33
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 1 1 15 298
Computing present values: Capital budgeting done correctly 0 0 2 8 1 2 12 28
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 2 7 93
Convenience yields 0 1 4 21 0 1 7 69
Counterparty Risk and the Pricing of Defaultable Securities 0 1 3 175 2 4 13 461
Credit Risk Models 1 3 11 154 4 7 27 303
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 2 3 100 3 8 21 245
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 88 1 2 11 215
Delta, gamma and bucket hedging of interest rate derivatives 0 4 9 67 2 8 32 223
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 3 77 1 4 14 171
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 4 51 2 7 19 158
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 2 4 26
Distressed debt prices and recovery rate estimation 0 0 0 80 1 2 13 257
Downside Loss Aversion and Portfolio Management 0 1 4 17 0 1 5 58
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 2 5 61
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 1 1 1 46 2 3 9 99
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 1 4 11 1,787
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 2 112 1 3 6 231
Financial crises and economic growth 0 0 3 17 1 2 12 41
Foreign currency bubbles 0 0 2 23 0 1 11 73
Forward Rate Curve Smoothing 0 0 2 3 1 5 20 29
Forward contracts and futures contracts 1 2 8 459 3 4 23 1,063
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 1 5 1 3 8 28
Hedging contingent claims on semimartingales 0 0 0 176 1 2 4 675
Hedging derivatives with model error 0 0 1 8 0 0 6 30
Hedging in a HJM model 0 0 2 62 0 3 11 159
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 4 123 1 4 20 275
Housing prices and the optimal time-on-the-market decision 0 0 1 5 0 3 6 32
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 1 523 0 2 10 1,604
Information reduction via level crossings in a credit risk model 0 0 0 24 0 1 4 74
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 2 73 0 3 8 217
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 1 2 4 4
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 1 1 4 545
Large traders, hidden arbitrage, and complete markets 0 1 3 49 1 3 10 129
Liquidity risk and arbitrage pricing theory 0 0 0 40 2 4 6 171
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 34 1 5 14 104
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 3 5 9 256
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 10 215 3 4 23 457
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 5 45 1 3 14 121
Market Pricing of Deposit Insurance 0 0 3 69 1 1 14 158
Modeling loan commitments 1 2 8 146 1 4 21 275
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 1 46 0 2 7 85
On Model Testing in Financial Economics 0 0 0 16 0 2 3 39
Operational risk 0 1 3 141 1 2 10 318
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 5 148
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 0 4 238
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 3 13 1,205 4 13 46 2,164
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 0 77 1 3 8 144
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 2 6 180 0 3 15 404
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 3 134 0 1 4 320
Pricing foreign currency options under stochastic interest rates 0 0 1 997 2 4 9 1,547
Primes and Scores: An Essay on Market Imperfections 0 1 3 100 1 4 12 599
Put Option Premiums and Coherent Risk Measures 0 2 2 47 1 4 8 118
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 0 4 79
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 11 103 1 1 26 307
Relative asset price bubbles 0 0 0 0 0 0 0 0
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 0 1 4 56
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 2 2 9 181
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 2 5 204
Spanning and completeness in markets with contingent claims 1 1 2 160 1 1 8 262
Specification tests of calibrated option pricing models 0 0 3 3 2 7 32 32
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 1 2 2 4 10 19 19
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 1 2 12 0 3 17 57
Tax liens: a novel application of asset pricing theory 0 0 0 32 0 1 3 100
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 2 5 11 334 6 9 20 757
The Economics of Credit Default Swaps 0 1 4 26 2 7 21 82
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 1 1 7 7 1 3 20 21
The Liquidity Discount 0 0 1 209 0 2 10 718
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 1 2 6 137
The Relationship between Yield, Risk and Return of Corporate Bonds 0 1 1 103 1 6 13 467
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 3 7 24
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 0 1 5 57
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 3 785
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 2 422 0 0 13 1,171
The Term Structure of Interest Rates 1 7 34 199 6 29 100 559
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 2 436 1 1 8 774
The cost of operational risk loss insurance 1 1 1 27 2 2 3 73
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 0 1 42
The impact of quantitative easing on the US term structure of interest rates 0 2 9 30 2 5 30 90
The intersection of market and credit risk 3 5 7 608 11 15 34 1,045
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 47 0 1 6 131
The zero-lower bound on interest rates: Myth or reality? 0 2 11 25 0 9 26 54
Understanding the risk of leveraged ETFs 0 2 18 140 2 7 44 302
Total Journal Articles 28 94 385 18,517 158 450 1,621 46,884


Statistics updated 2016-08-02