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 9 736
Housing Market Microstructure 0 2 4 53 0 2 6 127
Informational Efficiency under Short Sale Constraints 1 2 7 11 1 3 15 22
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 2 633 1 3 16 1,889
Is there a bubble in LinkedIn's stock price? 0 2 6 51 0 3 18 166
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 2 317
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 5 713
Model Error in Contingent Claim Models Dynamic Evaluation 0 1 2 294 0 1 11 1,773
Modeling Credit Risk with Partial Information 0 0 1 30 3 4 8 76
Modeling credit risk with partial information 0 1 3 3 2 3 11 14
Option pricing with random volatilities in complete markets 0 0 0 1 1 2 6 419
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 1 2 137 1 2 10 395
Specification Tests of Calibrated Option Pricing Models 1 1 8 28 1 2 30 66
The economic default time and the Arcsine law 0 1 1 29 1 3 6 87
Total Working Papers 2 11 36 1,273 11 31 153 6,800


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 37
A Critique of Revised Basel II 1 1 7 221 1 5 33 497
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 2 12 65 2 7 30 165
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 2 8 29 2,602
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 2 151 1 1 4 551
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 1 1 1 16
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 2 2 2 251
A characterization theorem for unique risk neutral probability measures 0 0 1 23 0 1 2 85
A comparison of the APT and CAPM a note 0 2 15 1,226 3 10 46 3,169
A generalized coherent risk measure: The firm's perspective 0 1 1 83 0 1 1 168
A leverage ratio rule for capital adequacy 0 4 31 113 8 24 95 329
A liquidity-based model for asset price bubbles 0 1 3 21 1 2 5 41
A simple robust model for Cat bond valuation 6 7 16 135 6 8 29 290
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 1 2 23 3 4 7 72
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 4 15 43 3 8 41 101
An autoregressive jump process for common stock returns 0 0 1 120 0 0 3 224
An improved test for statistical arbitrage 0 1 14 45 3 5 29 121
Approximate option valuation for arbitrary stochastic processes 3 8 21 845 6 14 49 1,276
Arbitrage, Continuous Trading, and Margin Requirements 0 0 2 43 0 1 4 179
Bayesian analysis of contingent claim model error 0 3 8 94 2 6 17 227
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 1 3 86 1 20 31 212
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 4 11 26 4,883 12 33 110 9,676
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 1 1 5 3 4 6 23
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 1 1 90 2 3 6 283
Computing present values: Capital budgeting done correctly 0 0 6 6 3 5 15 15
Consensus Beliefs Equilibrium and Market Efficiency 0 1 1 27 0 1 2 86
Convenience yields 1 1 3 17 2 2 12 61
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 172 2 4 8 448
Credit Risk Models 2 5 21 142 4 7 39 275
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 2 9 96 3 6 23 222
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 87 2 3 7 203
Delta, gamma and bucket hedging of interest rate derivatives 0 2 12 57 2 10 45 188
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 2 73 2 4 11 156
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 3 8 47 2 7 24 139
Discretely sampled variance and volatility swaps versus their continuous approximations 0 1 2 4 1 2 6 22
Distressed debt prices and recovery rate estimation 0 0 2 80 1 3 9 243
Downside Loss Aversion and Portfolio Management 0 1 2 13 0 1 5 53
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 1 1 1 17 2 2 3 56
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 45 0 1 6 90
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 2 470 0 0 8 1,776
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 10 110 1 1 16 225
Financial crises and economic growth 0 3 12 14 1 4 26 29
Foreign currency bubbles 0 0 0 21 0 0 7 62
Forward Rate Curve Smoothing 0 0 1 1 0 2 9 9
Forward contracts and futures contracts 0 1 11 450 2 5 40 1,038
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 2 2 4 4 4 8 18 18
Hedging contingent claims on semimartingales 0 0 0 176 1 1 1 671
Hedging derivatives with model error 0 0 0 7 1 1 4 24
Hedging in a HJM model 0 1 5 60 3 6 11 148
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 4 119 1 4 14 254
Housing prices and the optimal time-on-the-market decision 0 0 0 4 0 4 5 26
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 3 522 1 1 5 1,594
Information reduction via level crossings in a credit risk model 0 0 2 24 1 1 3 70
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 3 70 0 0 7 208
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 0 3 541
Large traders, hidden arbitrage, and complete markets 0 0 3 46 1 1 8 119
Liquidity risk and arbitrage pricing theory 0 0 2 40 0 0 12 164
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 1 1 32 1 3 6 90
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 4 5 244
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 4 201 3 6 31 430
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 2 40 0 1 9 106
Market Pricing of Deposit Insurance 0 0 0 66 1 2 3 143
Modeling loan commitments 2 3 7 138 4 7 15 254
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 5 45 1 3 8 78
On Model Testing in Financial Economics 0 0 0 16 1 1 1 36
Operational risk 3 6 10 138 4 11 21 308
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 3 143
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 45 1 1 1 233
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 6 18 1,191 6 17 53 2,114
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 2 77 1 2 9 136
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 16 173 2 6 30 388
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 5 131 0 0 20 316
Pricing foreign currency options under stochastic interest rates 0 0 0 996 3 4 5 1,538
Primes and Scores: An Essay on Market Imperfections 0 1 3 97 0 1 10 587
Put Option Premiums and Coherent Risk Measures 1 2 2 45 3 4 5 110
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 0 0 10 75
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 3 92 3 4 22 281
Restructuring risk in credit default swaps: An empirical analysis 0 0 2 12 1 1 10 51
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 1 170
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 1 69 1 1 7 199
Spanning and completeness in markets with contingent claims 0 0 8 158 0 1 16 254
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 1 6 10 2 6 28 40
Tax liens: a novel application of asset pricing theory 0 0 0 32 1 2 4 97
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 6 323 3 5 21 737
The Economics of Credit Default Swaps 0 2 7 22 1 4 15 61
The Liquidity Discount 0 1 1 208 0 1 8 707
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 37 0 1 3 131
The Relationship between Yield, Risk and Return of Corporate Bonds 1 2 2 102 5 12 33 453
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 1 1 17
The Second Fundamental Theorem of Asset Pricing 0 0 1 12 0 0 9 52
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 3 3 10 782
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 6 419 3 5 25 1,155
The Term Structure of Interest Rates 3 7 27 160 9 23 99 450
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 0 4 434 0 1 15 765
The cost of operational risk loss insurance 0 0 0 26 1 2 5 70
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 2 8 20 20 6 16 56 56
The intersection of market and credit risk 0 1 8 601 4 9 26 1,010
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 2 4 6 46 3 5 10 125
The zero-lower bound on interest rates: Myth or reality? 0 4 7 14 0 6 12 28
Understanding the risk of leveraged ETFs 0 5 19 117 6 14 38 248
Total Journal Articles 41 131 525 18,095 190 462 1,715 45,170


Statistics updated 2015-07-02