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 2 16 727
Housing Market Microstructure 0 0 2 49 0 1 11 121
Informational Efficiency under Short Sale Constraints 0 2 4 4 0 5 7 7
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 631 3 5 27 1,873
Is there a bubble in LinkedIn's stock price? 0 3 10 45 1 6 29 148
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 708
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 2 315
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 292 3 7 13 1,762
Modeling Credit Risk with Partial Information 0 1 3 29 0 2 7 68
Modeling credit risk with partial information 0 0 0 0 1 3 3 3
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 13 413
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 4 135 1 3 21 385
Specification Tests of Calibrated Option Pricing Models 1 2 20 20 1 3 35 36
The economic default time and the Arcsine law 0 0 0 28 0 0 6 81
Total Working Papers 1 8 45 1,237 10 38 192 6,647


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 0 34
A Critique of Revised Basel II 0 3 21 214 2 9 62 464
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 2 6 15 53 3 13 52 135
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 11 35 2,573
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 2 149 0 1 13 547
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 15
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 2 4 249
A characterization theorem for unique risk neutral probability measures 0 0 0 22 0 0 1 83
A comparison of the APT and CAPM a note 1 4 25 1,211 1 4 63 3,123
A generalized coherent risk measure: The firm's perspective 0 1 1 82 0 3 4 167
A leverage ratio rule for capital adequacy 1 11 55 82 3 44 170 234
A liquidity-based model for asset price bubbles 0 0 7 18 0 1 18 36
A simple robust model for Cat bond valuation 0 3 14 119 2 8 36 261
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 2 4 21 1 2 9 65
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 4 12 28 28 8 26 60 60
An autoregressive jump process for common stock returns 1 1 2 119 1 1 6 221
An improved test for statistical arbitrage 0 0 8 31 1 4 30 92
Approximate option valuation for arbitrary stochastic processes 5 10 27 824 5 17 60 1,227
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 41 1 3 7 175
Bayesian analysis of contingent claim model error 0 1 3 86 0 5 14 210
Beliefs and arbitrage pricing 0 0 1 14 0 0 1 33
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 1 6 83 0 4 18 181
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 6 8 40 4,857 11 22 153 9,566
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 1 4 4 0 5 17 17
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 1 3 89 0 3 11 277
Consensus Beliefs Equilibrium and Market Efficiency 0 1 1 26 0 1 1 84
Convenience yields 0 0 1 14 6 9 21 49
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 172 1 4 13 440
Credit Risk Models 2 6 17 121 2 11 35 236
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 2 3 11 87 3 27 63 199
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 6 86 1 4 19 196
Delta, gamma and bucket hedging of interest rate derivatives 0 3 14 45 1 10 56 143
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 5 71 2 3 18 145
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 12 39 2 11 43 115
Discretely sampled variance and volatility swaps versus their continuous approximations 0 1 2 2 0 3 14 16
Distressed debt prices and recovery rate estimation 1 2 7 78 3 9 34 234
Downside Loss Aversion and Portfolio Management 1 1 3 11 1 2 21 48
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 16 0 1 3 53
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 1 2 3 45 2 4 7 84
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 3 468 2 3 13 1,768
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 10 100 0 3 29 209
Financial crises and economic growth 2 2 2 2 3 3 3 3
Foreign currency bubbles 0 2 2 21 0 2 10 55
Forward contracts and futures contracts 0 1 13 439 3 11 41 998
Hedging contingent claims on semimartingales 0 0 1 176 0 1 2 670
Hedging derivatives with model error 2 2 3 7 2 3 7 20
Hedging in a HJM model 0 1 1 55 5 7 13 137
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 6 10 115 2 8 16 240
Housing prices and the optimal time-on-the-market decision 0 0 2 4 1 4 11 21
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 2 4 519 0 4 12 1,589
Information reduction via level crossings in a credit risk model 1 1 3 22 1 3 6 67
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 1 1 1 67 1 1 2 201
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 2 216 0 0 9 538
Large traders, hidden arbitrage, and complete markets 0 0 0 43 0 1 4 111
Liquidity risk and arbitrage pricing theory 0 1 5 38 1 6 20 152
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 1 4 31 0 4 16 84
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 4 17 239
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 6 12 197 4 12 47 399
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 3 38 0 5 9 97
Market Pricing of Deposit Insurance 0 1 7 66 0 1 16 140
Modeling loan commitments 2 4 11 131 4 10 26 239
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 1 2 4 40 1 2 4 70
On Model Testing in Financial Economics 0 1 1 16 0 2 3 35
Operational risk 0 0 3 128 1 3 16 287
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 3 140
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 45 0 2 3 232
Pricing Derivatives on Financial Securities Subject to Credit Risk 4 8 22 1,173 16 30 78 2,061
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 1 6 75 1 1 14 127
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 3 13 157 1 13 47 358
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 2 11 126 2 7 28 296
Pricing foreign currency options under stochastic interest rates 0 0 1 996 0 1 6 1,533
Primes and Scores: An Essay on Market Imperfections 0 0 4 94 2 3 16 577
Put Option Premiums and Coherent Risk Measures 0 0 0 43 2 5 5 105
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 1 1 6 0 7 32 65
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 2 11 89 1 10 37 259
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 10 1 1 11 41
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 4 169
Risky coupon bonds as a portfolio of zero-coupon bonds 1 3 6 68 1 5 13 192
Spanning and completeness in markets with contingent claims 2 3 15 150 2 3 21 238
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 4 4 0 0 12 12
Tax liens: a novel application of asset pricing theory 0 0 1 32 0 1 9 93
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 13 317 2 11 41 716
The Economics of Credit Default Swaps 0 2 10 15 2 4 30 46
The Liquidity Discount 0 0 3 207 2 4 12 699
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 36 0 1 3 128
The Relationship between Yield, Risk and Return of Corporate Bonds 0 1 3 100 7 24 52 420
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 2 16
The Second Fundamental Theorem of Asset Pricing 0 0 0 11 2 2 12 43
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 3 5 12 772
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 5 413 2 6 21 1,130
The Term Structure of Interest Rates 5 12 38 133 11 40 113 351
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 6 430 3 11 30 750
The cost of operational risk loss insurance 0 0 1 26 0 1 9 65
The error learning hypothesis: The evidence reexamined 0 0 0 7 0 0 2 40
The intersection of market and credit risk 0 0 2 593 0 4 17 984
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 40 0 2 8 115
The zero-lower bound on interest rates: Myth or reality? 1 2 7 7 1 3 16 16
Understanding the risk of leveraged ETFs 1 3 23 98 5 16 56 210
Total Journal Articles 55 167 666 17,570 167 614 2,321 43,455


Statistics updated 2014-07-03