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 1 11 148
Informational Efficiency under Short Sale Constraints 0 1 2 16 0 2 5 35
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 1 4 13 1,913
Is there a bubble in LinkedIn's stock price? 0 0 1 55 0 2 13 187
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 1 0 1 4 721
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 2 6 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 1 3 7 23
Option pricing with random volatilities in complete markets 0 0 0 1 0 2 14 434
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 140 0 1 10 410
Specification Tests of Calibrated Option Pricing Models 1 1 4 41 3 7 17 104
The economic default time and the Arcsine law 0 0 0 31 0 1 8 103
Total Working Papers 1 2 12 1,312 5 29 123 7,012


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 1 2 6 514
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 6 77 1 4 26 207
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 11 52 2,671
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 0 1 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 1 6 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 1 2 9 98
A comparison of the APT and CAPM a note 1 3 9 1,244 1 7 27 3,212
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 1 5 176
A leverage ratio rule for capital adequacy 2 4 13 137 9 14 44 400
A liquidity-based model for asset price bubbles 0 0 0 26 0 1 2 52
A simple robust model for Cat bond valuation 0 2 9 152 1 5 21 324
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 0 2 50 0 5 26 153
An autoregressive jump process for common stock returns 0 0 3 123 2 3 10 235
An improved test for statistical arbitrage 1 4 10 62 1 9 25 161
Approximate option valuation for arbitrary stochastic processes 0 4 23 878 3 15 58 1,352
Arbitrage, Continuous Trading, and Margin Requirements 1 1 1 44 1 3 8 194
Asset Price Bubbles 1 3 18 18 1 5 41 41
Bank runs and self-insured bank deposits 1 1 2 4 2 3 12 21
Bankruptcy Prediction with Industry Effects 0 0 2 3 1 3 15 18
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 1 3 13 230
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1 3 7 4,896 7 17 76 9,796
Capital adequacy rules, catastrophic firm failure, and systemic risk 1 1 1 8 1 4 10 40
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 1 2 10 303
Computing present values: Capital budgeting done correctly 0 0 2 10 1 2 11 34
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 1 2 8 97
Convenience yields 0 0 5 25 0 2 11 77
Counterparty Risk and the Pricing of Defaultable Securities 0 0 3 176 1 4 20 476
Credit Risk Models 4 6 17 165 6 10 35 324
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 4 7 105 0 6 22 256
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 2 89 1 3 10 220
Delta, gamma and bucket hedging of interest rate derivatives 0 1 7 69 1 5 29 235
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 2 78 0 2 17 181
Designing catastrophic bonds for catastrophic risks in agriculture 0 1 1 1 1 5 5 5
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 51 2 4 18 167
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 1 6 28
Distressed debt prices and recovery rate estimation 1 1 1 81 3 6 11 264
Downside Loss Aversion and Portfolio Management 0 0 4 20 2 5 13 70
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 1 2 7 64
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 46 1 2 11 104
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 1 15 1,794
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 112 2 4 10 236
Financial crises and economic growth 1 1 6 22 1 4 13 51
Foreign currency bubbles 0 0 0 23 1 2 5 76
Forward Rate Curve Smoothing 0 0 0 3 1 2 13 34
Forward contracts and futures contracts 1 2 8 464 3 6 19 1,075
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 0 2 64 0 1 13 167
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 1 123 4 5 18 283
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 1 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 7 220
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 1 5 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 0 3 43 0 2 11 177
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 35 0 1 14 107
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 2 9 259
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 9 219 1 5 28 471
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 1 46 0 2 11 129
Market Pricing of Deposit Insurance 0 1 1 70 0 2 6 160
Modeling loan commitments 0 0 8 147 0 4 16 281
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 0 2 9 45
Operational risk 0 0 2 141 0 1 9 323
Option Pricing and Implicit Volatilities 0 0 0 0 1 2 9 153
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 1 4 240
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 4 16 1,217 3 14 60 2,205
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 2 3 5 82 6 9 18 157
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 8 184 1 3 17 415
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 2 5 138 3 6 10 328
Pricing foreign currency options under stochastic interest rates 0 0 1 998 0 2 11 1,552
Primes and Scores: An Essay on Market Imperfections 0 1 4 101 1 4 15 606
Put Option Premiums and Coherent Risk Measures 0 0 2 47 0 1 6 120
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 1 8 86
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 2 104 2 5 19 318
Relative asset price bubbles 2 3 4 4 4 11 26 26
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 5 183
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 2 3 162 1 3 5 265
Specification tests of calibrated option pricing models 0 0 1 3 0 2 20 37
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 1 1 4 4 1 3 19 24
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 2 13 1 4 12 65
Tax liens: a novel application of asset pricing theory 0 1 1 33 0 2 7 105
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 11 336 1 8 38 780
The Economics of Credit Default Swaps 0 0 3 27 1 3 17 89
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 3 8 0 1 9 25
The Liquidity Discount 0 0 1 209 0 3 8 721
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 1 1 2 104 1 2 21 478
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 3 8 62
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 1 6 790
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 2 422 0 1 6 1,173
The Term Structure of Interest Rates 1 2 25 213 4 16 93 609
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 2 437 5 14 28 797
The cost of operational risk loss insurance 0 0 1 27 0 2 6 77
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 2 44
The impact of quantitative easing on the US term structure of interest rates 0 1 8 34 3 8 29 107
The intersection of market and credit risk 1 2 11 613 4 8 40 1,061
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 1 1 1 48 1 4 11 140
The zero-lower bound on interest rates: Myth or reality? 1 2 9 29 4 7 28 69
Understanding the risk of leveraged ETFs 1 6 15 149 1 8 43 331
Total Journal Articles 30 78 370 18,722 120 417 1,765 47,858
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 1 2 3 3
The Economic Foundations of Risk Management:Theory, Practice, and Applications 1 3 3 3 1 5 5 5
Total Books 1 3 3 3 2 7 8 8


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 3 3 3 1 7 8 8
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 0 1 2 2
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 3 3 3 2 6 7 7
Arbitrage, Continuous Trading, and Margin Requirements 0 1 1 1 0 4 4 4
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 0 1 1 1
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 1 2 2
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 1 3 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 1 2 3 3
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 2 2 2 1 5 6 6
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 2 2 2
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 0 2 5 5
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 2 2 1 3 4 4
Market Pricing of Deposit Insurance 0 1 1 1 0 2 2 2
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 1 1 1 1 4 5 6 6
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 0 1 1 1 3 6 6
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 1 2 3 3
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 1 4 8 8
Pricing foreign currency options under stochastic interest rates 0 1 1 1 0 2 2 2
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 0 2 3 4 4
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 3 14 15 15 17 65 86 86


Statistics updated 2017-03-07