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 10 735
Housing Market Microstructure 0 0 2 51 0 1 5 125
Informational Efficiency under Short Sale Constraints 0 1 7 9 0 2 14 19
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 2 633 1 1 18 1,887
Is there a bubble in LinkedIn's stock price? 1 3 8 50 2 7 22 165
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 4 712
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 2 317
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 293 0 3 15 1,772
Modeling Credit Risk with Partial Information 0 0 2 30 0 0 6 72
Modeling credit risk with partial information 1 1 3 3 1 1 12 12
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 4 417
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 1 1 2 137 1 1 10 394
Specification Tests of Calibrated Option Pricing Models 0 1 8 27 1 11 31 65
The economic default time and the Arcsine law 0 0 0 28 1 3 4 85
Total Working Papers 3 7 35 1,265 8 33 157 6,777


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 2 36
A Critique of Revised Basel II 0 2 6 220 1 6 31 493
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 2 13 63 3 9 33 161
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 6 26 2,596
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 2 151 0 0 4 550
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 0 15
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 0 0 249
A characterization theorem for unique risk neutral probability measures 0 0 1 23 1 1 2 85
A comparison of the APT and CAPM a note 0 6 14 1,224 3 19 40 3,162
A generalized coherent risk measure: The firm's perspective 0 0 1 82 0 0 1 167
A leverage ratio rule for capital adequacy 1 8 34 110 5 21 96 310
A liquidity-based model for asset price bubbles 0 0 2 20 0 0 4 39
A simple robust model for Cat bond valuation 0 2 11 128 1 5 27 283
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 22 0 2 4 68
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 2 5 19 41 3 7 54 96
An autoregressive jump process for common stock returns 0 0 2 120 0 0 4 224
An improved test for statistical arbitrage 0 4 13 44 0 5 28 116
Approximate option valuation for arbitrary stochastic processes 3 6 23 840 5 9 50 1,267
Arbitrage, Continuous Trading, and Margin Requirements 0 0 2 43 1 2 6 179
Bayesian analysis of contingent claim model error 1 2 7 92 2 3 15 223
Beliefs and arbitrage pricing 0 0 0 14 0 0 0 33
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 3 85 18 19 32 210
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 7 23 4,874 7 32 99 9,650
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 4 0 0 2 19
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 1 1 1 90 1 1 5 281
Computing present values: Capital budgeting done correctly 0 0 6 6 0 1 10 10
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 26 0 0 2 85
Convenience yields 0 1 2 16 0 1 18 59
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 172 1 3 8 445
Credit Risk Models 1 8 23 138 1 9 41 269
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 3 11 95 1 6 42 217
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 1 87 0 1 7 200
Delta, gamma and bucket hedging of interest rate derivatives 0 1 10 55 0 6 41 178
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 3 73 2 4 11 154
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 2 3 8 46 4 10 26 136
Discretely sampled variance and volatility swaps versus their continuous approximations 1 1 2 4 1 1 5 21
Distressed debt prices and recovery rate estimation 0 0 4 80 0 0 13 240
Downside Loss Aversion and Portfolio Management 0 0 2 12 0 1 5 52
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 16 0 0 2 54
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 2 45 0 2 9 89
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 2 470 0 1 10 1,776
FORWARD AND FUTURES PRICES WITH BUBBLES 0 1 10 110 0 2 15 224
Financial crises and economic growth 2 2 13 13 2 2 27 27
Foreign currency bubbles 0 0 1 21 0 2 8 62
Forward Rate Curve Smoothing 0 0 1 1 2 6 9 9
Forward contracts and futures contracts 1 2 12 450 2 3 43 1,035
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 1 2 2 3 7 13 13
Hedging contingent claims on semimartingales 0 0 0 176 0 0 0 670
Hedging derivatives with model error 0 0 2 7 0 0 5 23
Hedging in a HJM model 1 2 5 60 2 3 13 144
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 9 119 1 4 18 251
Housing prices and the optimal time-on-the-market decision 0 0 0 4 2 2 4 24
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 1 4 522 0 2 5 1,593
Information reduction via level crossings in a credit risk model 0 0 3 24 0 0 4 69
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 1 4 70 0 1 8 208
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 2 3 541
Large traders, hidden arbitrage, and complete markets 0 0 3 46 0 0 7 118
Liquidity risk and arbitrage pricing theory 0 1 2 40 0 1 16 164
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 31 1 2 4 88
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 0 5 240
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 2 5 200 0 3 32 424
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 2 3 40 0 2 10 105
Market Pricing of Deposit Insurance 0 0 0 66 1 1 2 142
Modeling loan commitments 0 1 6 135 0 2 13 247
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 2 7 45 2 4 9 77
On Model Testing in Financial Economics 0 0 0 16 0 0 0 35
Operational risk 2 3 6 134 5 10 18 302
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 3 143
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 45 0 0 1 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 3 20 1,187 7 15 67 2,104
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 1 3 77 1 2 9 135
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 2 18 172 3 6 33 385
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 6 131 0 0 26 316
Pricing foreign currency options under stochastic interest rates 0 0 0 996 0 0 1 1,534
Primes and Scores: An Essay on Market Imperfections 0 1 2 96 0 4 12 586
Put Option Premiums and Coherent Risk Measures 1 1 1 44 1 2 4 107
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 1 6 0 2 13 75
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 4 92 0 6 24 277
Restructuring risk in credit default swaps: An empirical analysis 0 0 2 12 0 2 10 50
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 1 170
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 3 69 0 1 9 198
Spanning and completeness in markets with contingent claims 0 1 11 158 1 3 19 254
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 2 5 9 4 12 26 38
Tax liens: a novel application of asset pricing theory 0 0 0 32 0 0 2 95
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 6 323 0 2 22 732
The Economics of Credit Default Swaps 1 3 6 21 1 3 14 58
The Liquidity Discount 0 0 0 207 0 0 9 706
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 37 1 1 4 131
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 0 100 3 6 38 444
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 0 16
The Second Fundamental Theorem of Asset Pricing 0 0 1 12 0 0 11 52
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 2 10 779
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 4 6 419 2 10 27 1,152
The Term Structure of Interest Rates 1 5 30 154 4 14 108 431
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 4 434 0 2 19 764
The cost of operational risk loss insurance 0 0 0 26 1 2 5 69
The error learning hypothesis: The evidence reexamined 0 0 1 8 0 0 1 41
The impact of quantitative easing on the US term structure of interest rates 4 11 16 16 6 28 46 46
The intersection of market and credit risk 0 0 7 600 3 5 24 1,004
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 1 1 3 43 1 1 7 121
The zero-lower bound on interest rates: Myth or reality? 1 1 5 11 3 3 11 25
Understanding the risk of leveraged ETFs 3 8 19 115 3 11 38 237
Total Journal Articles 37 131 535 18,001 131 401 1,760 44,839


Statistics updated 2015-05-02