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 2 2 7 746
Housing Market Microstructure 0 0 1 59 0 1 6 150
Informational Efficiency under Short Sale Constraints 0 0 2 16 1 1 5 37
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 0 0 9 1,914
Is there a bubble in LinkedIn's stock price? 0 0 0 55 0 0 7 189
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 1 323
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 2 6 725
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 0 5 1,782
Modeling Credit Risk with Partial Information 0 0 0 33 0 0 2 86
Modeling credit risk with partial information 0 0 0 5 0 0 5 23
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 7 436
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 140 1 1 5 411
Specification Tests of Calibrated Option Pricing Models 0 0 3 43 1 3 15 109
The economic default time and the Arcsine law 0 0 0 31 0 1 7 105
Total Working Papers 0 0 8 1,315 6 12 87 7,036


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 3 43
A Critique of Revised Basel II 0 0 0 229 0 1 4 515
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 1 1 1 1 1 1 1
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 1 9 39 2,690
A Model of the Convenience Yields in On-the-Run Treasuries 0 1 1 153 1 2 7 564
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 1 1 6 39
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 2 259
A characterization theorem for unique risk neutral probability measures 0 0 0 24 0 0 5 98
A comparison of the APT and CAPM a note 0 0 6 1,244 0 0 19 3,214
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 1 3 177
A leverage ratio rule for capital adequacy 1 2 12 142 2 7 37 415
A liquidity-based model for asset price bubbles 0 0 0 26 0 0 2 52
A simple robust model for Cat bond valuation 1 4 14 159 1 5 21 333
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 0 0 3 81
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 0 1 1 1 1
An autoregressive jump process for common stock returns 0 0 3 124 0 0 7 236
An improved test for statistical arbitrage 0 3 16 68 0 5 31 173
Approximate option valuation for arbitrary stochastic processes 1 4 14 885 1 14 51 1,374
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 44 0 0 4 194
Asset Price Bubbles 1 2 17 25 3 7 37 58
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 1 1 1 0 3 3 3
Bank runs and self-insured bank deposits 1 1 2 5 1 1 10 24
Bankruptcy Prediction with Industry Effects 0 0 3 4 0 1 12 20
Bayesian analysis of contingent claim model error 0 1 1 98 1 2 9 248
Beliefs and arbitrage pricing 0 0 0 14 0 0 1 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 90 1 1 13 233
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 1 7 4,899 6 15 86 9,836
Capital adequacy rules, catastrophic firm failure, and systemic risk 1 1 2 9 2 4 11 44
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 2 2 92 1 3 8 306
Computing present values: Capital budgeting done correctly 0 0 2 10 1 1 7 35
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 1 5 98
Convenience yields 0 0 4 25 1 1 9 78
Counterparty Risk and the Pricing of Defaultable Securities 2 4 5 180 5 15 35 496
Credit Risk Models 0 3 18 172 2 9 43 346
Credit Risk Models with Incomplete Information 0 0 0 0 0 0 1 1
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 2 8 108 0 2 15 260
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 2 3 91 1 8 17 232
Delta, gamma and bucket hedging of interest rate derivatives 1 1 3 70 2 4 19 242
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 2 79 1 3 14 185
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya 0 0 1 1 0 4 9 9
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 52 0 1 11 169
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 0 0 3 29
Distressed debt prices and recovery rate estimation 0 0 2 82 1 1 9 266
Downside Loss Aversion and Portfolio Management 0 0 3 20 0 1 16 74
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 1 5 66
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 46 0 0 5 104
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 0 7 1,794
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 0 0 0 0 0
Financial crises and economic growth 0 0 5 22 0 1 13 54
Foreign currency bubbles 0 0 0 23 1 1 4 77
Forward Rate Curve Smoothing 0 0 0 3 3 5 10 39
Forward contracts and futures contracts 0 0 7 466 1 4 21 1,084
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 1 1 2 7 2 3 8 36
Hedging contingent claims on semimartingales 0 0 0 176 0 0 4 679
Hedging derivatives with model error 0 1 2 10 0 1 7 37
Hedging in a HJM model 0 0 2 64 0 0 9 168
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 0 123 0 4 14 289
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 0 7 39
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 1 1 524 1 3 6 1,610
Information reduction via level crossings in a credit risk model 0 0 0 24 0 0 3 77
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 73 0 0 3 220
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 0 2 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 1 3 4 549
Large traders, hidden arbitrage, and complete markets 0 0 0 49 0 0 2 131
Liquidity risk and arbitrage pricing theory 0 0 3 43 1 2 10 181
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 35 0 2 6 110
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 2 7 263
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 7 222 1 8 26 483
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 2 47 0 2 10 131
Market Pricing of Deposit Insurance 0 0 1 70 0 0 3 161
Modeling loan commitments 0 1 2 148 1 3 10 285
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 0 46 0 1 3 88
On Model Testing in Financial Economics 0 0 0 16 0 0 6 45
Operational risk 1 1 3 144 2 7 16 334
Option Pricing and Implicit Volatilities 0 0 0 0 2 2 8 156
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 3 5 243
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 5 19 1,224 5 32 82 2,246
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 6 83 0 0 14 158
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 5 185 0 1 13 417
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 4 138 1 3 19 339
Pricing foreign currency options under stochastic interest rates 1 2 4 1,001 2 4 13 1,560
Primes and Scores: An Essay on Market Imperfections 0 0 3 103 0 2 12 611
Put Option Premiums and Coherent Risk Measures 0 0 0 47 0 0 4 122
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 0 0 0
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 1 4 107 1 6 20 327
Relative asset price bubbles 1 3 9 9 3 7 35 35
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 13 0 0 3 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 3 184
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 0 5 209
Spanning and completeness in markets with contingent claims 0 0 2 162 0 1 4 266
Specification tests of calibrated option pricing models 0 0 0 3 0 1 7 39
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 3 5 0 0 7 26
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 0 0 1 1 1
Tax liens: a novel application of asset pricing theory 0 1 3 35 2 3 9 109
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 2 2 5 339 5 11 38 795
The Economics of Credit Default Swaps 0 2 4 30 2 5 16 98
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 0 1 2 2 2
The Liquidity Discount 0 0 0 209 0 0 3 721
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 0 4 141
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 105 0 0 12 479
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 2 26
The Second Fundamental Theorem of Asset Pricing 0 1 1 13 0 1 7 64
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 2 8 793
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 2 3 425 2 4 8 1,179
The Term Structure of Interest Rates 2 4 21 220 8 19 82 641
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 2 4 440 2 10 43 817
The cost of operational risk loss insurance 0 0 0 27 1 1 5 78
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 5 47
The impact of quantitative easing on the US term structure of interest rates 0 2 7 37 1 4 24 114
The intersection of market and credit risk 1 4 13 621 6 14 42 1,087
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 48 2 2 11 142
The zero-lower bound on interest rates: Myth or reality? 0 0 5 30 0 0 16 70
Understanding the risk of leveraged ETFs 2 6 19 159 4 11 49 351
Total Journal Articles 26 82 343 18,602 104 341 1,521 47,681
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 1 1 2 6 11 11
The Economic Foundations of Risk Management:Theory, Practice, and Applications 2 6 12 12 3 8 19 19
Total Books 2 6 13 13 5 14 30 30


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 1 4 4 0 3 13 13
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 0 1 3 3
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 3 6 6 0 3 13 13
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 1 0 1 6 6
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 0 1 2 2 0 1 4 4
Counterparty Risk and the Pricing of Defaultable Securities 0 1 1 1 0 1 4 4
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 2 2 2 1 3 6 6
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 0 2 6 6
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 0 3 3
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 1 8 8 2 2 15 15
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 1 1 5 5
Liquidity risk and arbitrage pricing theory 0 0 0 0 2 3 5 5
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 0 0 5 5
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 4 4 0 1 6 6
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 0 1 1 0 0 6 6
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 1 3 3 1 4 15 15
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 0 2 6 6
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 0 0 10 10
Pricing foreign currency options under stochastic interest rates 0 0 1 1 0 0 3 3
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 1 3 3 0 1 7 7
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 0 8 11 11
Total Chapters 2 12 37 37 7 37 155 155


Statistics updated 2017-08-03