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 3 738
Housing Market Microstructure 2 2 6 57 2 4 14 139
Informational Efficiency under Short Sale Constraints 0 1 5 14 0 5 11 30
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 634 1 7 15 1,901
Is there a bubble in LinkedIn's stock price? 0 1 5 54 0 4 11 174
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 2 318
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 5 717
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 2 295 1 2 5 1,777
Modeling Credit Risk with Partial Information 0 0 3 33 0 0 9 81
Modeling credit risk with partial information 0 0 3 5 0 0 5 16
Option pricing with random volatilities in complete markets 0 0 0 1 1 1 4 421
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 2 138 0 0 7 400
Specification Tests of Calibrated Option Pricing Models 0 1 10 37 0 6 23 87
The economic default time and the Arcsine law 0 0 3 31 0 2 11 95
Total Working Papers 2 5 40 1,302 5 34 125 6,894


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 39
A Critique of Revised Basel II 1 1 8 228 2 2 18 510
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 4 8 71 2 9 25 183
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 5 8 30 2,624
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 152 1 1 5 555
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 1 1 6 21
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 0 1 4 253
A characterization theorem for unique risk neutral probability measures 0 0 1 24 0 1 5 89
A comparison of the APT and CAPM a note 0 4 11 1,235 1 7 27 3,186
A generalized coherent risk measure: The firm's perspective 0 0 2 84 0 0 4 171
A leverage ratio rule for capital adequacy 1 3 16 125 6 11 57 362
A liquidity-based model for asset price bubbles 0 0 6 26 0 2 11 50
A simple robust model for Cat bond valuation 0 2 15 143 2 5 23 305
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 24 1 1 8 76
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 1 9 48 3 9 37 130
An autoregressive jump process for common stock returns 0 0 0 120 0 0 1 225
An improved test for statistical arbitrage 0 3 8 52 1 5 21 137
Approximate option valuation for arbitrary stochastic processes 1 2 19 856 3 4 35 1,297
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 1 3 9 187
Asset Price Bubbles 1 1 1 1 4 4 4 4
Bank runs and self-insured bank deposits 0 2 2 2 0 3 9 9
Bankruptcy Prediction with Industry Effects 0 1 1 1 1 3 4 4
Bayesian analysis of contingent claim model error 1 2 5 96 1 2 12 233
Beliefs and arbitrage pricing 0 0 0 14 0 0 2 35
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 3 88 1 1 26 218
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 0 17 4,889 6 13 83 9,726
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 3 7 2 3 13 32
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 90 1 2 14 294
Computing present values: Capital budgeting done correctly 0 0 2 8 1 1 14 24
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 27 0 1 4 89
Convenience yields 0 1 4 20 1 2 8 67
Counterparty Risk and the Pricing of Defaultable Securities 0 1 1 173 0 1 12 456
Credit Risk Models 1 2 12 149 3 6 24 292
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 4 98 0 2 18 234
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 1 1 88 3 4 13 213
Delta, gamma and bucket hedging of interest rate derivatives 1 2 8 63 4 6 32 210
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 4 76 0 1 12 164
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 1 7 51 1 1 18 150
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 2 14 254
Downside Loss Aversion and Portfolio Management 0 1 4 16 0 1 5 57
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 1 17 1 2 4 58
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 1 1 5 94
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 1 2 4 1,780
FORWARD AND FUTURES PRICES WITH BUBBLES 0 1 1 111 1 2 3 227
Financial crises and economic growth 1 1 6 17 1 2 14 39
Foreign currency bubbles 0 0 2 23 0 1 9 71
Forward Rate Curve Smoothing 0 1 2 3 3 5 17 24
Forward contracts and futures contracts 0 1 7 456 0 2 23 1,056
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 3 5 0 0 13 23
Hedging contingent claims on semimartingales 0 0 0 176 0 0 1 671
Hedging derivatives with model error 0 0 0 7 0 0 5 28
Hedging in a HJM model 0 0 3 62 0 1 12 154
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 3 122 5 8 20 270
Housing prices and the optimal time-on-the-market decision 0 0 1 5 0 0 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 1 523 0 0 8 1,601
Information reduction via level crossings in a credit risk model 0 0 0 24 0 0 3 72
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 71 0 1 5 213
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 1 1 1
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 1 1 2 543
Large traders, hidden arbitrage, and complete markets 0 0 2 48 0 2 6 124
Liquidity risk and arbitrage pricing theory 0 0 0 40 0 0 2 166
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 2 2 3 34 4 5 10 97
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 3 10 250
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 10 210 3 4 22 446
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 5 45 0 0 13 118
Market Pricing of Deposit Insurance 0 1 3 69 1 4 14 155
Modeling loan commitments 2 2 6 141 2 3 20 267
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 1 1 1 46 1 2 7 82
On Model Testing in Financial Economics 0 0 0 16 0 0 1 36
Operational risk 0 1 7 139 1 2 18 315
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 1 144
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 1 46 0 0 4 236
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 1 16 1,201 2 6 50 2,147
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 0 77 0 0 5 139
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 2 5 177 2 4 18 400
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 2 133 0 0 2 318
Pricing foreign currency options under stochastic interest rates 0 0 1 997 1 1 8 1,542
Primes and Scores: An Essay on Market Imperfections 2 2 3 99 2 3 7 593
Put Option Premiums and Coherent Risk Measures 0 0 2 45 0 0 8 114
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 1 3 78
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 4 11 103 3 6 25 302
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 12 0 0 4 54
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 8 178
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 0 3 201
Spanning and completeness in markets with contingent claims 0 0 1 159 1 1 8 261
Specification tests of calibrated option pricing models 1 1 3 3 2 11 19 19
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 1 1 1 1 2 4 7 7
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 2 11 1 3 20 54
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 3 3 5 328 4 5 14 746
The Economics of Credit Default Swaps 0 1 4 24 1 3 16 73
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 1 5 5 0 4 16 16
The Liquidity Discount 0 0 1 208 0 3 7 713
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 1 1 5 135
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 102 1 3 17 458
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 3 19
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 0 1 2 54
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 2 6 785
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 2 2 4 422 2 4 19 1,169
The Term Structure of Interest Rates 3 8 38 191 8 28 97 524
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 1 2 436 1 2 6 770
The cost of operational risk loss insurance 0 0 0 26 0 0 3 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 2 15 27 4 7 42 82
The intersection of market and credit risk 0 0 2 602 2 3 22 1,023
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 5 47 0 1 9 129
The zero-lower bound on interest rates: Myth or reality? 2 6 12 22 3 8 22 44
Understanding the risk of leveraged ETFs 2 4 24 136 3 8 57 291
Total Journal Articles 35 88 423 18,387 132 307 1,517 46,225


Statistics updated 2016-04-02