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 6 742
Housing Market Microstructure 0 0 3 58 1 2 13 147
Informational Efficiency under Short Sale Constraints 1 1 3 15 1 1 9 33
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 634 1 4 16 1,909
Is there a bubble in LinkedIn's stock price? 0 0 2 55 0 3 16 185
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 5 322
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 7 720
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 3 5 1,780
Modeling Credit Risk with Partial Information 0 0 3 33 0 1 7 85
Modeling credit risk with partial information 0 0 1 5 0 0 5 20
Option pricing with random volatilities in complete markets 0 0 0 1 1 3 12 432
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 1 2 2 140 1 3 10 409
Specification Tests of Calibrated Option Pricing Models 0 0 6 40 1 1 19 97
The economic default time and the Arcsine law 0 0 1 31 1 1 12 102
Total Working Papers 2 3 21 1,310 7 25 142 6,983


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 1 4 41
A Critique of Revised Basel II 0 0 3 229 0 1 6 512
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 3 10 77 0 6 30 203
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 5 8 46 2,661
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 152 1 3 9 561
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 2 19 37
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 1 7 258
A characterization theorem for unique risk neutral probability measures 0 0 0 24 1 2 10 96
A comparison of the APT and CAPM a note 1 3 12 1,241 4 8 28 3,205
A generalized coherent risk measure: The firm's perspective 0 0 1 84 0 1 6 175
A leverage ratio rule for capital adequacy 2 3 11 133 6 8 39 386
A liquidity-based model for asset price bubbles 0 0 1 26 0 1 5 51
A simple robust model for Cat bond valuation 4 5 9 150 4 5 19 319
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 24 0 1 7 80
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 1 3 50 3 6 31 149
An autoregressive jump process for common stock returns 1 1 3 123 2 2 8 232
An improved test for statistical arbitrage 2 5 9 58 2 8 24 152
Approximate option valuation for arbitrary stochastic processes 0 2 22 874 2 11 49 1,337
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 43 0 1 8 191
Asset Price Bubbles 3 7 15 15 7 13 36 36
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 1 1 1 1 2 5 5 5
Bank runs and self-insured bank deposits 0 0 3 3 0 3 18 18
Bankruptcy Prediction with Industry Effects 0 1 3 3 3 6 15 15
Bayesian analysis of contingent claim model error 0 0 3 97 0 3 13 243
Beliefs and arbitrage pricing 0 0 0 14 0 0 4 37
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 1 2 90 2 6 11 227
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 0 5 4,893 9 28 77 9,784
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 7 1 3 8 36
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 90 1 3 10 301
Computing present values: Capital budgeting done correctly 2 2 3 10 2 4 11 32
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 2 7 95
Convenience yields 0 4 6 25 0 5 10 75
Counterparty Risk and the Pricing of Defaultable Securities 0 1 4 176 3 9 19 472
Credit Risk Models 2 3 14 159 2 7 33 314
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 1 1 4 101 2 4 22 251
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 2 89 0 2 9 217
Delta, gamma and bucket hedging of interest rate derivatives 1 1 7 68 3 7 27 230
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 3 78 3 5 18 179
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 3 51 3 4 19 163
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 1 1 5 27
Distressed debt prices and recovery rate estimation 0 0 0 80 1 1 7 258
Downside Loss Aversion and Portfolio Management 1 3 5 20 3 8 11 66
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 0 6 62
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 46 1 3 11 102
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 1 5 15 1,793
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 2 112 0 1 7 232
Financial crises and economic growth 1 2 6 21 2 4 12 47
Foreign currency bubbles 0 0 0 23 0 1 6 74
Forward Rate Curve Smoothing 0 0 1 3 0 3 15 32
Forward contracts and futures contracts 0 2 7 462 1 4 19 1,069
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 5 0 1 7 30
Hedging contingent claims on semimartingales 0 0 0 176 0 1 6 677
Hedging derivatives with model error 0 0 2 9 0 0 6 31
Hedging in a HJM model 1 1 2 64 1 4 15 166
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 123 1 3 18 278
Housing prices and the optimal time-on-the-market decision 0 0 0 5 1 2 9 36
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 0 523 0 0 7 1,605
Information reduction via level crossings in a credit risk model 0 0 0 24 0 1 5 75
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 2 73 0 2 7 219
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 1 5 5
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 216 0 0 4 545
Large traders, hidden arbitrage, and complete markets 0 0 1 49 0 0 8 130
Liquidity risk and arbitrage pricing theory 1 2 3 43 2 3 9 175
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 3 35 1 1 16 107
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 1 10 257
Market Manipulation, Bubbles, Corners, and Short Squeezes 2 3 11 219 3 6 25 466
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 1 1 3 46 2 5 12 127
Market Pricing of Deposit Insurance 0 0 1 69 0 0 9 158
Modeling loan commitments 0 0 8 147 0 1 15 277
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 0 1 46 0 1 8 86
On Model Testing in Financial Economics 0 0 0 16 0 1 7 43
Operational risk 0 0 3 141 1 1 10 322
Option Pricing and Implicit Volatilities 0 0 0 0 1 3 8 151
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 1 5 239
Pricing Derivatives on Financial Securities Subject to Credit Risk 5 5 16 1,213 10 19 56 2,191
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 0 0 2 79 1 2 10 148
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 2 9 183 1 6 21 412
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 2 4 136 1 3 6 323
Pricing foreign currency options under stochastic interest rates 0 0 1 998 0 2 11 1,550
Primes and Scores: An Essay on Market Imperfections 0 0 3 100 1 3 12 602
Put Option Premiums and Coherent Risk Measures 0 0 2 47 1 1 6 119
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 6 2 6 9 85
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 4 103 3 4 19 313
Relative asset price bubbles 1 1 1 1 4 10 15 15
Restructuring risk in credit default swaps: An empirical analysis 0 1 1 13 0 2 5 58
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 5 182
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 2 8 207
Spanning and completeness in markets with contingent claims 0 0 2 160 0 0 3 262
Specification tests of calibrated option pricing models 0 0 2 3 1 4 34 36
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 3 3 0 0 21 21
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 1 2 13 1 3 11 61
Tax liens: a novel application of asset pricing theory 0 0 0 32 1 3 5 103
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 11 336 1 10 32 772
The Economics of Credit Default Swaps 0 1 4 27 0 3 19 86
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 1 5 8 1 4 16 25
The Liquidity Discount 0 0 1 209 0 0 8 718
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 0 2 7 139
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 103 5 8 21 476
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 7 25
The Second Fundamental Theorem of Asset Pricing 0 0 0 12 1 1 7 59
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 4 6 789
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 2 422 0 0 8 1,172
The Term Structure of Interest Rates 2 8 32 211 7 26 105 593
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 1 2 437 4 7 15 783
The cost of operational risk loss insurance 0 0 1 27 2 2 5 75
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 1 2 43
The impact of quantitative easing on the US term structure of interest rates 2 3 8 33 4 9 26 99
The intersection of market and credit risk 0 3 9 611 1 7 36 1,053
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 47 1 4 8 136
The zero-lower bound on interest rates: Myth or reality? 0 1 11 27 0 5 28 62
Understanding the risk of leveraged ETFs 0 1 12 143 1 15 43 323
Total Journal Articles 41 92 377 18,645 153 443 1,728 47,459


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 0 0 1 2 2 2
Total Books 0 0 0 0 1 2 2 2


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 0 1 2 2 2
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 0 1 1 1 1
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 0 0 0 1 2 2 2
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 0 0 0 0 0
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 1 1 1 1
Bankruptcy Prediction with Industry Effects 0 0 0 0 0 0 0 0
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 0 2 2 2 2
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 0 0 0 0 0
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 0 0 0 0 0
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 1 1 1 1
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 0 0 0 2 2 2 2
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 0 0 0 0
Liquidity risk and arbitrage pricing theory 0 0 0 0 0 0 0 0
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 0 3 3 3 3
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 0 0 1 1 1 1
Market Pricing of Deposit Insurance 0 0 0 0 0 0 0 0
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 0 1 1 1 1
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 1 1 1 3 4 4 4
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 1 1 1 1
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 0 0 3 4 4 4
Pricing foreign currency options under stochastic interest rates 0 0 0 0 0 0 0 0
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 0 0 1 1 1
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 0 0 1 1 1
Total Chapters 1 1 1 1 21 27 27 27


Statistics updated 2016-12-03