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 3 739
Housing Market Microstructure 1 1 5 58 1 5 17 144
Informational Efficiency under Short Sale Constraints 0 0 3 14 0 2 10 32
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 0 2 14 1,903
Is there a bubble in LinkedIn's stock price? 1 1 4 55 3 6 14 180
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 4 5 322
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 2 6 719
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 3 8 84
Modeling credit risk with partial information 0 0 2 5 0 2 4 18
Option pricing with random volatilities in complete markets 0 0 0 1 3 6 8 427
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 1 138 0 6 11 406
Specification Tests of Calibrated Option Pricing Models 1 3 12 40 1 6 27 93
The economic default time and the Arcsine law 0 0 2 31 0 1 9 96
Total Working Papers 3 5 34 1,307 9 46 140 6,940


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 1 1 3 40
A Critique of Revised Basel II 0 0 7 228 0 0 13 510
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 2 8 73 3 11 29 194
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 3 14 36 2,638
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 152 0 1 5 556
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 1 5 10 26
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 3 5 256
A characterization theorem for unique risk neutral probability measures 0 0 1 24 0 2 6 91
A comparison of the APT and CAPM a note 1 3 12 1,238 3 7 24 3,193
A generalized coherent risk measure: The firm's perspective 0 0 1 84 1 3 6 174
A leverage ratio rule for capital adequacy 1 4 16 129 4 13 46 375
A liquidity-based model for asset price bubbles 0 0 5 26 0 0 9 50
A simple robust model for Cat bond valuation 0 0 8 143 1 5 20 310
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 1 24 1 2 6 78
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 5 48 3 9 38 139
An autoregressive jump process for common stock returns 0 1 1 121 0 3 4 228
An improved test for statistical arbitrage 0 0 7 52 1 3 19 140
Approximate option valuation for arbitrary stochastic processes 7 12 23 868 12 18 39 1,315
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 0 3 11 190
Asset Price Bubbles 1 4 5 5 3 11 15 15
Bank runs and self-insured bank deposits 0 1 3 3 0 4 13 13
Bankruptcy Prediction with Industry Effects 0 0 1 1 0 4 8 8
Bayesian analysis of contingent claim model error 0 1 3 97 0 6 12 239
Beliefs and arbitrage pricing 0 0 0 14 1 2 4 37
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 88 0 1 7 219
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1 2 8 4,891 6 20 70 9,746
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 2 7 0 1 10 33
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 0 3 14 297
Computing present values: Capital budgeting done correctly 0 0 2 8 1 3 12 27
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 4 7 93
Convenience yields 1 1 4 21 1 2 8 69
Counterparty Risk and the Pricing of Defaultable Securities 1 2 3 175 1 3 11 459
Credit Risk Models 2 4 11 153 3 7 24 299
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 3 99 2 8 20 242
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 88 0 1 11 214
Delta, gamma and bucket hedging of interest rate derivatives 2 4 10 67 3 11 33 221
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 76 1 6 14 170
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 4 51 4 6 17 156
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 1 4 4 26
Distressed debt prices and recovery rate estimation 0 0 0 80 0 2 13 256
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 3 5 61
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 0 3 7 97
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 3 6 10 1,786
FORWARD AND FUTURES PRICES WITH BUBBLES 0 1 2 112 1 3 5 230
Financial crises and economic growth 0 0 3 17 0 1 11 40
Foreign currency bubbles 0 0 2 23 1 2 11 73
Forward Rate Curve Smoothing 0 0 2 3 1 4 19 28
Forward contracts and futures contracts 1 2 8 458 1 4 22 1,060
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 1 5 2 4 9 27
Hedging contingent claims on semimartingales 0 0 0 176 1 3 3 674
Hedging derivatives with model error 0 1 1 8 0 2 6 30
Hedging in a HJM model 0 0 2 62 2 5 11 159
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 4 123 1 4 20 274
Housing prices and the optimal time-on-the-market decision 0 0 1 5 1 4 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 3 10 1,604
Information reduction via level crossings in a credit risk model 0 0 0 24 1 2 4 74
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 2 3 73 1 4 9 217
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 1 2 3 3
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 1 3 544
Large traders, hidden arbitrage, and complete markets 1 1 3 49 2 4 9 128
Liquidity risk and arbitrage pricing theory 0 0 0 40 1 3 5 169
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 34 2 6 13 103
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 3 9 253
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 4 13 214 0 8 24 454
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 5 45 1 2 14 120
Market Pricing of Deposit Insurance 0 0 3 69 0 2 14 157
Modeling loan commitments 0 4 7 145 1 7 20 274
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 1 46 1 3 7 85
On Model Testing in Financial Economics 0 0 0 16 1 3 3 39
Operational risk 1 2 3 141 1 2 9 317
Option Pricing and Implicit Volatilities 0 0 0 0 0 4 5 148
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 46 0 2 5 238
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 3 13 1,204 3 13 46 2,160
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 0 77 2 4 7 143
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 3 7 180 1 4 16 404
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 3 134 0 2 4 320
Pricing foreign currency options under stochastic interest rates 0 0 1 997 0 3 7 1,545
Primes and Scores: An Essay on Market Imperfections 0 1 3 100 0 5 11 598
Put Option Premiums and Coherent Risk Measures 1 2 2 47 2 3 7 117
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 1 4 79
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 11 103 0 4 25 306
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 0 2 5 56
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 9 179
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 1 3 5 204
Spanning and completeness in markets with contingent claims 0 0 1 159 0 0 7 261
Specification tests of calibrated option pricing models 0 0 3 3 3 11 30 30
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 1 2 2 2 8 15 15
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 1 2 12 2 3 17 57
Tax liens: a novel application of asset pricing theory 0 0 0 32 1 2 3 100
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 3 4 9 332 3 5 14 751
The Economics of Credit Default Swaps 0 2 4 26 1 7 19 80
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 1 6 6 0 4 20 20
The Liquidity Discount 0 1 1 209 0 5 11 718
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 1 5 136
The Relationship between Yield, Risk and Return of Corporate Bonds 1 1 1 103 1 8 13 466
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 5 7 24
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 0 3 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 3 422 0 2 16 1,171
The Term Structure of Interest Rates 1 7 38 198 6 29 103 553
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 2 436 0 3 8 773
The cost of operational risk loss insurance 0 0 0 26 0 0 1 71
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 1 3 10 30 1 6 32 88
The intersection of market and credit risk 0 3 4 605 0 11 24 1,034
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 47 0 2 6 131
The zero-lower bound on interest rates: Myth or reality? 1 3 11 25 6 10 26 54
Understanding the risk of leveraged ETFs 2 4 23 140 3 9 52 300
Total Journal Articles 35 102 394 18,489 127 501 1,556 46,726


Statistics updated 2016-07-02