Access Statistics for Robert A 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 6 784
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 1 13 1 3 15 44
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 0 1 1 0 0 7 7
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 0 8 0 2 4 25
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 0 2 0 4 12 22
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 0 1 4 74
Housing Market Microstructure 0 0 0 68 1 2 4 187
Inferring Financial Bubbles from Option Data 0 0 2 48 0 5 19 161
Informational Efficiency under Short Sale Constraints 0 0 0 20 0 3 7 64
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 641 0 4 6 1,961
Is there a bubble in LinkedIn's stock price? 0 0 0 65 0 2 6 249
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 4 7 749
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 4 11 343
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 297 0 4 8 1,813
Modeling Credit Risk with Partial Information 0 0 0 37 2 3 7 117
Modeling credit risk with partial information 0 0 0 5 0 2 8 60
Option pricing with random volatilities in complete markets 0 0 0 1 0 3 6 470
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 0 1 10 452
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 1 3 11 145
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 1 2 6 56
The economic default time and the Arcsine law 0 0 0 34 0 5 15 144
The effect of trading futures on short sale constraints 0 0 0 2 0 3 10 32
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 0 1 3 15
Total Working Papers 0 0 4 1,485 6 63 192 7,974

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES 0 0 3 9 1 3 14 49
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 0 6 7 54
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 1 15 17 0 5 34 37
A Critique of Revised Basel II 0 0 0 232 1 3 7 547
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 2 2 31 1 7 20 104
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 7 33 96 3,423
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 1 2 4 596
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 56
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 0 4 6 286
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 1 3 10 19
A characterization theorem for unique risk neutral probability measures 0 0 0 27 0 1 8 114
A comparison of the APT and CAPM a note 0 0 0 1,274 0 1 3 3,266
A generalized coherent risk measure: The firm's perspective 0 0 0 85 1 1 6 189
A leverage ratio rule for capital adequacy 0 0 0 173 0 2 10 539
A liquidity-based model for asset price bubbles 0 0 0 31 0 6 11 87
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 0 2 13 33
A robust test of Merton's structural model for credit risk 0 0 2 4 0 1 6 13
A simple robust model for Cat bond valuation 1 2 6 242 9 15 47 537
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 1 2 2 0 2 9 10
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 2 5 41 1 6 35 162
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 0 3 21 0 1 10 50
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 13 0 0 0 40
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 0 18 1 9 20 94
An autoregressive jump process for common stock returns 0 0 0 141 1 5 9 274
An empirical investigation of large trader market manipulation in derivatives markets 0 0 4 39 1 4 20 130
An explosion time characterization of asset price bubbles 0 0 1 2 0 1 6 10
An improved test for statistical arbitrage 0 0 1 81 1 3 11 228
Approximate option valuation for arbitrary stochastic processes 0 2 6 974 1 6 26 1,625
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 0 3 11 222
Arbitrage, martingales, and private monetary value 0 0 0 0 0 2 9 10
Asset Price Bubbles 1 1 4 88 2 4 21 215
Asset market equilibrium with liquidity risk 0 0 0 10 2 4 10 67
Asset price bubbles and risk management 0 0 1 1 1 1 5 5
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 0 11 0 2 7 46
Bank runs and self-insured bank deposits 0 0 1 11 0 1 9 74
Bankruptcy Prediction with Industry Effects 4 10 21 124 8 28 75 454
Bayesian analysis of contingent claim model error 2 2 2 116 2 2 7 307
Beliefs and arbitrage pricing 0 1 1 17 0 2 4 48
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 122 1 8 15 360
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 9 26 5,212 7 41 115 10,972
CMBS market efficiency: The crisis and the recovery 0 0 1 24 0 5 19 97
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 2 4 9 77
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 4 100 0 3 14 349
Computing present values: Capital budgeting done correctly 0 0 0 13 0 2 8 56
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 0 1 29 33
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 3 11 32
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 0 3 12 124
Convenience yields 0 0 1 42 0 2 12 160
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 203 0 1 10 606
Credit Risk Models 1 1 5 262 1 4 13 527
Credit Risk, Liquidity, and Bubbles 0 0 0 8 1 2 5 29
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 1 150 0 6 15 393
Credit rating accuracy and incentives 0 0 1 1 0 1 6 6
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 113 1 2 12 309
Default Parameter Estimation Using Market Prices 1 1 1 2 3 3 7 8
Delta, gamma and bucket hedging of interest rate derivatives 1 1 2 106 3 7 15 367
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 2 99 0 2 12 269
Designing catastrophic bonds for catastrophic risks in agriculture 1 1 3 18 1 2 20 72
Digital assets, bubbles, and derivative prices 0 0 0 0 2 3 7 7
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 79 1 8 20 263
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 5 8 56
Distressed debt prices and recovery rate estimation 0 0 0 92 0 0 7 308
Downside Loss Aversion and Portfolio Management 0 0 0 28 0 10 15 140
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 0 1 11 97
Endogenous liquidity risk and dealer market structure 0 0 0 2 0 5 6 14
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 0 5 7 7
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 0 1 13 138
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 488 0 2 10 1,866
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 10 1 3 10 54
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 0 13 24 0 6 38 54
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 7 1 6 11 30
Fair Microfinance Loan Rates 0 0 0 10 1 3 7 60
Financial crises and economic growth 0 0 0 38 0 2 10 112
Foreign currency bubbles 0 0 0 23 0 1 11 101
Forward Rate Curve Smoothing 0 1 6 33 1 6 18 126
Forward contracts and futures contracts 0 0 6 615 1 6 49 1,450
Funding shortages, expectations, and forward rate risk premium 0 0 2 2 0 4 13 19
Futures contract collateralization and its implications 0 0 1 2 4 11 29 35
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 0 2 14 76
Hedging contingent claims on semimartingales 0 0 0 176 0 2 6 696
Hedging derivatives with model error 0 1 1 11 0 4 6 51
Hedging in a HJM model 0 0 0 71 1 4 7 200
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 143 0 2 10 358
High frequency trading and standard asset pricing models 0 0 0 9 0 4 12 29
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 0 5 19 66
Housing prices and the optimal time-on-the-market decision 0 0 0 8 2 3 6 65
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 0 527 3 5 22 1,673
Index Design: Hedging and Manipulation 0 0 0 2 1 9 19 31
Inferring financial bubbles from option data 0 0 2 12 0 4 14 46
Inflation-Adjusted Bonds, Swaps, and Derivatives 1 4 10 12 1 7 28 36
Information reduction via level crossings in a credit risk model 0 0 0 26 0 0 2 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 0 4 27 279
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 0 3 14 0 3 17 46
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 1 1 12 0 2 14 53
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 245 1 6 29 645
Large traders, hidden arbitrage, and complete markets 0 0 0 57 0 4 12 171
Liquidity risk and arbitrage pricing theory 0 1 1 57 3 5 19 260
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 42 0 2 12 151
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 2 2 15 342
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 2 8 349 0 8 21 845
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 1 56 0 3 12 171
Market Pricing of Deposit Insurance 0 0 0 78 2 4 11 204
Media trading groups and short selling manipulation 0 0 0 1 0 1 5 12
Modeling loan commitments 1 1 1 188 2 3 8 383
No arbitrage for a special class of filtration expansions 0 1 5 5 0 4 23 24
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 1 2 57 0 4 10 122
On Model Testing in Financial Economics 0 0 0 17 0 3 6 60
On aggregation and representative agent equilibria 0 0 1 14 0 3 11 49
Operational risk 0 2 6 236 1 9 27 605
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 2 2 6 23
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 1 172
Option Pricing in an Incomplete Market 0 0 4 5 0 10 27 32
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 0 0 3 18
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 1 4 263
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 10 41 1,766 13 47 136 3,623
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 0 1 9 211
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 0 4 8 481
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 4 9 204 4 12 29 520
Pricing foreign currency options under stochastic interest rates 0 0 3 1,026 0 1 19 1,682
Put Option Premiums and Coherent Risk Measures 0 0 0 54 0 1 5 151
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 3 7 16
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 3 8 145 2 13 39 489
Relative asset price bubbles 0 0 1 27 1 5 13 123
Restructuring risk in credit default swaps: An empirical analysis 1 1 1 16 1 6 20 98
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 5 208
Risk measures and the impact of asset price bubbles 0 1 2 2 1 8 21 21
Risk premia, asset price bubbles, and monetary policy 0 1 1 10 0 2 11 36
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 80 0 1 9 265
Risk‐neutral pricing techniques and examples 0 0 0 6 1 3 13 42
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 0 7 0 3 15 30
Spanning and completeness in markets with contingent claims 2 3 5 248 3 7 17 430
Specification tests of calibrated option pricing models 0 0 0 6 0 1 7 63
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 2 3 5 50
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 1 2 3 1 8 24 28
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 1 8 22 64
Tax liens: a novel application of asset pricing theory 0 0 0 36 0 1 5 134
Testing for Asset Price Bubbles Using Options Data 0 1 2 2 2 6 17 17
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 0 370 0 1 18 930
The Economics of Credit Default Swaps 0 1 1 66 1 6 11 203
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 0 3 8 33
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 0 2 43 0 6 24 130
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 15 0 6 9 67
The Liquidity Discount 0 0 3 225 0 2 17 790
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 48 1 3 8 194
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 139 0 4 11 566
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 2 6 40
The Second Fundamental Theorem of Asset Pricing 0 0 1 16 1 4 9 92
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 3 16 840
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 3 6 463 3 12 30 1,337
The Term Structure of Interest Rates 0 1 5 319 0 14 34 982
The Treasury — SOFR Swap Spread Puzzle Explained 2 4 4 4 13 28 28 28
The Valuation of Corporate Coupon Bonds 1 2 3 3 2 10 35 35
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 4 13 768 3 14 50 1,463
The cost of operational risk loss insurance 0 0 0 28 0 0 8 107
The economic default time and the arcsine law 0 0 0 3 0 2 9 41
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 3 4 64
The impact of quantitative easing on the US term structure of interest rates 0 0 2 72 0 5 19 247
The intersection of market and credit risk 0 1 3 719 1 4 22 1,332
The no-arbitrage pricing of non-traded assets 0 0 1 7 0 2 11 21
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 0 1 12 172
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 0 1 7 111
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 0 3 18 26
Understanding the risk of leveraged ETFs 0 2 11 281 4 6 38 641
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 0 2 30 1 5 17 99
Total Journal Articles 28 96 341 22,521 159 800 2,687 61,523
5 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Introduction to Derivative Securities, Financial Markets, and Risk Management 3 4 21 42 7 18 85 149
Continuous-Time Asset Pricing Theory 0 0 0 0 1 4 15 15
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 0 12 2 8 26 186
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 1 47 1 6 15 127
Total Books 3 4 22 101 11 36 141 477

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 1 6 10 120 2 15 34 321
A Representative Trader Economy 0 0 0 0 0 2 5 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 3 15 1 5 26 74
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 2 3 63 1 3 15 165
Arbitrage Pricing Theory 0 0 0 0 1 3 6 6
Arbitrage and Trading 0 0 0 0 1 3 5 7
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 2 3 7 29
Asset Price Bubbles 0 0 0 0 0 5 21 21
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 0 5 9 33
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 3 8 72 1 13 47 243
Bankruptcy Prediction with Industry Effects 0 1 4 30 3 9 41 132
Banks 0 0 0 0 0 1 1 28
Barings Bank (1995) 0 0 0 4 0 3 8 24
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 4 5 5
Characterizing the Equilibrium 0 0 0 0 0 2 4 4
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 1 6 11 11
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 0 2 17 17
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 0 0 8 92
Credit Risk 0 0 2 19 0 6 19 74
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 2 5 11 33
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 7 1 1 5 43
Derivatives 0 0 0 11 0 2 5 34
Derivatives and Risk Management 0 0 3 8 1 3 16 29
Diversification 0 0 0 3 0 2 2 8
Dynamic Hedging 0 0 0 4 0 1 3 12
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 0 2 8 8
Equilibrium 0 0 0 0 0 3 5 5
Equilibrium 0 0 0 0 1 3 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 7 2 10 18 52
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 1 4 137 2 8 22 361
Financial Engineering and Swaps 0 0 2 3 0 2 6 8
Firms 0 0 0 1 0 0 5 10
Forwards and Futures 1 1 1 1 3 9 16 17
Forwards and Futures Markets 0 0 0 0 0 3 8 10
Futures Hedging 0 0 0 2 1 6 11 15
Futures Regulations 0 0 0 0 2 5 14 15
Futures Trading 0 0 0 0 0 2 8 11
Incomplete Markets 0 0 0 0 0 4 8 8
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 0 0 2 2
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 2 5 5
Individuals 0 0 0 0 1 2 5 9
Interest Rate Swaps 0 0 1 2 2 9 18 23
Interest Rates 0 0 1 1 0 3 11 11
Introduction 0 0 0 2 0 4 6 9
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 0 0 6 24
Liquidity Risk 0 0 0 2 0 1 7 21
Liquidity risk and arbitrage pricing theory 0 0 1 10 1 8 23 90
Long Term Capital Management (1998) 0 0 0 2 0 1 3 9
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 2 4 13 42
Market Informational Efficiency 0 0 0 0 0 7 10 10
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 2 44 1 4 16 127
Market Pricing of Deposit Insurance 0 0 0 4 0 2 11 35
Market Risk (Equities, FX, Commodities) 0 0 0 2 1 2 7 22
Market Risk (Interest Rates) 0 0 0 0 0 0 1 6
Metallgesellschaft (1993) 0 0 0 3 0 0 2 17
Multiperiod Binomial HJM Model 0 0 0 0 1 2 7 7
Multiperiod Binomial Model 0 0 0 1 0 1 3 9
Operational Risk 0 0 0 8 1 5 9 49
Option Relations 0 0 0 1 0 2 7 10
Option Trading Strategies 1 1 1 6 2 7 9 19
Options 0 0 0 0 0 3 6 8
Options Markets and Trading 0 0 0 1 0 1 13 17
Orange County (1994) 0 0 0 2 0 3 8 14
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 1 1 9 0 3 7 55
Penn Square Bank (1982) 0 0 0 1 0 3 4 17
Portfolio Optimization 0 0 0 0 0 4 5 5
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 3 12 145 5 19 62 420
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 2 7 18 45
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 1 3 21 1 8 16 86
Pricing foreign currency options under stochastic interest rates 0 0 0 17 1 4 12 75
Primary Assets 0 0 1 3 0 1 6 9
Reduced Form Credit Risk Models 0 0 0 0 1 18 40 40
Risk Management Models 0 0 0 12 0 0 6 51
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 0 0 4 7
Single-Period Binomial Model 0 0 0 1 0 2 6 10
Static Hedging 0 0 0 1 0 0 2 6
Stochastic Processes 0 0 0 0 1 4 8 8
Stocks 0 0 2 3 0 7 14 17
Super- and Sub-Replication 0 0 0 0 1 6 9 9
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 9 0 1 7 36
The Auxiliary Markets 0 0 0 0 0 1 2 2
The Black Scholes Merton Model 0 0 0 0 0 3 3 3
The Black–Scholes–Merton Model 0 1 1 1 4 13 26 28
The Cost-of-Carry Model 0 0 3 4 3 8 23 29
The Credit Crisis (2007) 0 0 0 2 1 1 2 9
The Extended Cost-of-Carry Model 0 0 0 1 0 3 9 13
The Fundamental Theorems 0 0 0 0 0 1 2 2
The Heath Jarrow Morton Model 0 0 0 0 1 4 16 16
The Heath–Jarrow–Morton Libor Model 0 0 0 1 1 2 12 17
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 7 35 3 10 35 162
The Trading Constrained Market 0 0 0 0 1 4 5 5
Trading Constraints 0 0 0 1 0 1 7 16
Using the Black–Scholes–Merton Model 0 1 1 2 0 1 5 7
Utility Functions 0 0 0 0 3 8 11 11
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 0 1 1 3 0 7 11 13
Total Chapters 5 24 80 914 69 388 1,066 3,802

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Statistics updated 2026-06-04