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 2 4 738
Housing Market Microstructure 0 0 4 55 1 6 12 136
Informational Efficiency under Short Sale Constraints 1 2 6 14 2 3 10 27
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 1 2 9 1,895
Is there a bubble in LinkedIn's stock price? 0 1 6 53 1 3 13 171
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 3 4 716
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 2 318
Model Error in Contingent Claim Models Dynamic Evaluation 0 1 2 295 0 1 6 1,775
Modeling Credit Risk with Partial Information 0 3 3 33 0 4 9 81
Modeling credit risk with partial information 0 1 3 5 0 1 5 16
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 4 420
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 138 0 1 7 400
Specification Tests of Calibrated Option Pricing Models 0 4 10 36 2 8 29 83
The economic default time and the Arcsine law 0 1 3 31 0 4 11 93
Total Working Papers 1 13 40 1,298 9 39 125 6,869


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 3 39
A Critique of Revised Basel II 0 4 9 227 0 6 21 508
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 2 2 8 69 3 6 25 177
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 3 7 29 2,619
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 152 0 2 4 554
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 3 5 20
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 2 4 253
A characterization theorem for unique risk neutral probability measures 0 0 1 24 0 2 4 88
A comparison of the APT and CAPM a note 2 4 15 1,233 3 7 39 3,182
A generalized coherent risk measure: The firm's perspective 0 1 2 84 0 2 4 171
A leverage ratio rule for capital adequacy 2 3 22 124 5 13 67 356
A liquidity-based model for asset price bubbles 0 1 6 26 2 4 11 50
A simple robust model for Cat bond valuation 0 2 15 141 1 6 23 301
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 24 0 2 9 75
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 11 47 3 8 35 124
An autoregressive jump process for common stock returns 0 0 0 120 0 1 1 225
An improved test for statistical arbitrage 2 3 11 51 3 8 24 135
Approximate option valuation for arbitrary stochastic processes 0 4 20 854 0 7 35 1,293
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 0 2 7 184
Bank runs and self-insured bank deposits 2 2 2 2 2 8 8 8
Bankruptcy Prediction with Industry Effects 0 0 0 0 0 1 1 1
Bayesian analysis of contingent claim model error 1 1 5 95 1 2 12 232
Beliefs and arbitrage pricing 0 0 0 14 0 2 2 35
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 3 88 0 2 26 217
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 1 22 4,889 2 13 97 9,715
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 1 3 7 1 4 11 30
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 90 0 1 12 292
Computing present values: Capital budgeting done correctly 0 1 2 8 0 3 14 23
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 27 0 1 3 88
Convenience yields 0 1 4 19 0 1 7 65
Counterparty Risk and the Pricing of Defaultable Securities 1 1 1 173 1 4 14 456
Credit Risk Models 0 2 17 147 2 8 28 288
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 6 98 2 7 23 234
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 87 0 2 10 209
Delta, gamma and bucket hedging of interest rate derivatives 1 2 8 62 1 5 33 205
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 75 0 2 13 163
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 3 7 50 0 7 23 149
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 1 4 0 0 2 22
Distressed debt prices and recovery rate estimation 0 0 0 80 1 3 13 253
Downside Loss Aversion and Portfolio Management 1 2 4 16 1 3 6 57
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 17 0 0 2 56
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 0 2 6 93
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 0 3 1,778
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 110 0 0 3 225
Financial crises and economic growth 0 1 5 16 0 3 12 37
Foreign currency bubbles 0 0 2 23 0 2 10 70
Forward Rate Curve Smoothing 0 1 1 2 1 6 17 20
Forward contracts and futures contracts 0 1 7 455 0 6 22 1,054
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 1 4 5 0 1 17 23
Hedging contingent claims on semimartingales 0 0 0 176 0 0 1 671
Hedging derivatives with model error 0 0 0 7 0 4 5 28
Hedging in a HJM model 0 0 4 62 0 2 12 153
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 1 4 122 1 4 16 263
Housing prices and the optimal time-on-the-market decision 0 0 1 5 0 1 6 28
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 2 523 0 4 10 1,601
Information reduction via level crossings in a credit risk model 0 0 0 24 0 2 3 72
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 2 71 0 2 5 212
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 0 0 0
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 1 3 542
Large traders, hidden arbitrage, and complete markets 0 2 2 48 2 4 6 124
Liquidity risk and arbitrage pricing theory 0 0 1 40 0 0 3 166
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 32 0 2 6 92
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 1 8 248
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 12 210 1 2 22 443
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 2 7 45 0 6 15 118
Market Pricing of Deposit Insurance 0 1 2 68 0 4 10 151
Modeling loan commitments 0 1 5 139 0 3 19 264
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 2 45 1 3 8 81
On Model Testing in Financial Economics 0 0 0 16 0 0 1 36
Operational risk 0 0 7 138 0 3 21 313
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 2 144
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 46 0 2 4 236
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 5 17 1,201 1 14 53 2,142
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 1 77 0 3 6 139
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 5 175 0 6 17 396
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 2 2 133 0 2 2 318
Pricing foreign currency options under stochastic interest rates 0 0 1 997 0 2 7 1,541
Primes and Scores: An Essay on Market Imperfections 0 0 2 97 0 2 8 590
Put Option Premiums and Coherent Risk Measures 0 0 2 45 0 1 9 114
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 1 4 77
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 7 99 0 4 25 296
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 0 2 6 54
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 3 8 177
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 2 4 201
Spanning and completeness in markets with contingent claims 0 1 2 159 0 2 9 260
Specification tests of calibrated option pricing models 0 2 2 2 1 9 9 9
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 0 1 4 4 4
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 4 11 1 5 26 52
Tax liens: a novel application of asset pricing theory 0 0 0 32 0 0 3 98
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 3 325 0 3 11 741
The Economics of Credit Default Swaps 1 1 6 24 2 6 17 72
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 1 4 5 5 3 8 15 15
The Liquidity Discount 0 0 1 208 1 1 5 711
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 3 4 134
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 102 1 2 18 456
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 2 3 19
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 1 2 2 54
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 1 6 783
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 5 420 0 3 23 1,165
The Term Structure of Interest Rates 2 11 36 185 9 29 88 505
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 1 435 0 0 6 768
The cost of operational risk loss insurance 0 0 0 26 0 1 4 71
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 1 42
The impact of quantitative easing on the US term structure of interest rates 1 2 21 26 1 6 58 76
The intersection of market and credit risk 0 1 2 602 1 6 22 1,021
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 1 5 47 1 2 9 129
The zero-lower bound on interest rates: Myth or reality? 2 3 8 18 2 8 16 38
Understanding the risk of leveraged ETFs 0 6 25 132 2 15 59 285
Total Journal Articles 24 97 453 18,323 73 401 1,553 45,991


Statistics updated 2016-02-03