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 4 740
Housing Market Microstructure 0 1 5 58 1 2 17 145
Informational Efficiency under Short Sale Constraints 0 0 3 14 0 0 9 32
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 0 2 13 1,905
Is there a bubble in LinkedIn's stock price? 0 1 3 55 0 5 14 182
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 1 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 0 8 84
Modeling credit risk with partial information 0 0 2 5 2 2 6 20
Option pricing with random volatilities in complete markets 0 0 0 1 0 5 9 429
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 138 0 0 9 406
Specification Tests of Calibrated Option Pricing Models 0 1 10 40 2 4 27 96
The economic default time and the Arcsine law 0 0 1 31 3 5 12 101
Total Working Papers 0 3 30 1,307 9 27 143 6,958


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 0 1 7 229 0 1 11 511
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 2 9 74 1 6 31 197
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 18 48 2,653
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 1 2 6 558
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 2 10 18 35
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 1 6 257
A characterization theorem for unique risk neutral probability measures 0 0 0 24 1 3 8 94
A comparison of the APT and CAPM a note 0 1 11 1,238 2 7 27 3,197
A generalized coherent risk measure: The firm's perspective 0 0 1 84 0 1 6 174
A leverage ratio rule for capital adequacy 0 2 14 130 0 7 42 378
A liquidity-based model for asset price bubbles 0 0 2 26 0 0 6 50
A simple robust model for Cat bond valuation 0 2 8 145 2 5 22 314
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 1 24 1 2 7 79
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 1 5 49 3 7 38 143
An autoregressive jump process for common stock returns 1 1 2 122 1 2 6 230
An improved test for statistical arbitrage 1 1 7 53 2 5 22 144
Approximate option valuation for arbitrary stochastic processes 1 11 24 872 3 23 46 1,326
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 0 0 11 190
Asset Price Bubbles 0 4 8 8 2 11 23 23
Bank runs and self-insured bank deposits 0 0 3 3 1 2 15 15
Bankruptcy Prediction with Industry Effects 1 1 2 2 1 1 9 9
Bayesian analysis of contingent claim model error 0 0 3 97 1 1 11 240
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 1 1 2 89 1 2 7 221
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1 3 6 4,893 6 16 66 9,756
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 1 7 0 0 9 33
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 0 1 15 298
Computing present values: Capital budgeting done correctly 0 0 1 8 0 2 11 28
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 0 7 93
Convenience yields 0 1 4 21 1 2 8 70
Counterparty Risk and the Pricing of Defaultable Securities 0 1 3 175 2 5 14 463
Credit Risk Models 2 5 12 156 4 11 29 307
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 3 100 2 7 22 247
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 88 0 1 11 215
Delta, gamma and bucket hedging of interest rate derivatives 0 2 8 67 0 5 27 223
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 2 77 3 5 14 174
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 4 51 1 7 20 159
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 1 4 26
Distressed debt prices and recovery rate estimation 0 0 0 80 0 1 13 257
Downside Loss Aversion and Portfolio Management 0 0 3 17 0 0 4 58
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 1 1 6 62
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 1 1 46 0 2 9 99
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 1 5 12 1,788
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 2 112 0 2 6 231
Financial crises and economic growth 2 2 4 19 2 3 12 43
Foreign currency bubbles 0 0 1 23 0 1 7 73
Forward Rate Curve Smoothing 0 0 2 3 0 2 19 29
Forward contracts and futures contracts 1 3 9 460 2 6 24 1,065
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 1 5 1 4 9 29
Hedging contingent claims on semimartingales 0 0 0 176 1 3 5 676
Hedging derivatives with model error 1 1 2 9 1 1 7 31
Hedging in a HJM model 1 1 2 63 3 5 13 162
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 4 123 0 2 19 275
Housing prices and the optimal time-on-the-market decision 0 0 1 5 2 3 8 34
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 1 1 11 1,605
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 1 8 217
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 2 4 4
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 1 4 545
Large traders, hidden arbitrage, and complete markets 0 1 3 49 1 4 11 130
Liquidity risk and arbitrage pricing theory 1 1 1 41 1 4 7 172
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 1 1 3 35 2 5 16 106
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 3 9 256
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 11 216 3 6 25 460
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 4 45 1 3 13 122
Market Pricing of Deposit Insurance 0 0 3 69 0 1 14 158
Modeling loan commitments 1 2 9 147 1 3 21 276
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 1 46 0 1 7 85
On Model Testing in Financial Economics 0 0 0 16 3 4 6 42
Operational risk 0 1 3 141 3 5 12 321
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 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 3 5 16 1,208 8 15 52 2,172
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 2 2 2 79 2 5 10 146
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 2 7 181 2 3 17 406
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 3 134 0 0 4 320
Pricing foreign currency options under stochastic interest rates 1 1 2 998 1 3 10 1,548
Primes and Scores: An Essay on Market Imperfections 0 0 3 100 0 1 12 599
Put Option Premiums and Coherent Risk Measures 0 1 2 47 0 3 5 118
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 2 3 26 309
Relative asset price bubbles 0 0 0 0 5 5 5 5
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 0 0 4 56
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 3 10 182
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 1 2 6 205
Spanning and completeness in markets with contingent claims 0 1 2 160 0 1 7 262
Specification tests of calibrated option pricing models 0 0 3 3 0 5 32 32
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 1 1 3 3 2 8 21 21
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 1 2 12 1 3 16 58
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 7 13 336 5 14 25 762
The Economics of Credit Default Swaps 0 0 3 26 1 4 20 83
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 1 7 7 0 1 19 21
The Liquidity Discount 0 0 1 209 0 0 10 718
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 1 6 137
The Relationship between Yield, Risk and Return of Corporate Bonds 0 1 1 103 1 3 14 468
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 2 8 25
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 1 1 6 58
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 1 1 13 1,172
The Term Structure of Interest Rates 4 6 37 203 8 20 104 567
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 2 436 2 3 9 776
The cost of operational risk loss insurance 0 1 1 27 0 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 1 8 30 0 3 27 90
The intersection of market and credit risk 0 3 7 608 1 12 35 1,046
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 47 1 1 7 132
The zero-lower bound on interest rates: Myth or reality? 1 2 12 26 3 9 29 57
Understanding the risk of leveraged ETFs 2 4 18 142 6 11 47 308
Total Journal Articles 36 99 396 18,553 132 417 1,674 47,016


Statistics updated 2016-09-03