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 2 4 6 782
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 3 13 3 4 16 41
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 1 1 1 5 6 6 6
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 2 8 2 2 7 23
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 1 2 5 6 9 17
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 0 1 3 73
Housing Market Microstructure 0 0 0 68 1 2 4 185
Inferring Financial Bubbles from Option Data 0 0 3 48 4 8 14 154
Informational Efficiency under Short Sale Constraints 0 0 0 20 0 2 3 60
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 641 1 1 4 1,957
Is there a bubble in LinkedIn's stock price? 0 0 0 65 1 3 4 247
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 2 6 745
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 3 6 7 339
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 297 2 3 6 1,809
Modeling Credit Risk with Partial Information 0 0 0 37 3 4 5 114
Modeling credit risk with partial information 0 0 0 5 3 5 6 58
Option pricing with random volatilities in complete markets 0 0 0 1 1 2 4 467
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 2 5 7 449
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 2 5 7 141
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 0 1 2 52
The economic default time and the Arcsine law 0 0 0 34 4 6 13 139
The effect of trading futures on short sale constraints 0 0 1 2 2 5 8 29
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 0 1 2 14
Total Working Papers 0 1 12 1,485 47 84 149 7,901

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 4 6 12 46
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 0 1 1 48
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 1 11 11 2 8 25 25
A Critique of Revised Basel II 0 0 0 232 0 4 4 544
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 0 29 2 9 14 96
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 9 36 74 3,383
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 1 2 4 594
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 55
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 1 2 2 282
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 2 3 8 15
A characterization theorem for unique risk neutral probability measures 0 0 0 27 1 6 7 113
A comparison of the APT and CAPM a note 0 0 1 1,274 2 2 4 3,265
A generalized coherent risk measure: The firm's perspective 0 0 0 85 3 4 5 187
A leverage ratio rule for capital adequacy 0 0 0 173 1 5 8 537
A liquidity-based model for asset price bubbles 0 0 0 31 2 4 7 81
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 5 8 9 29
A robust test of Merton's structural model for credit risk 0 0 4 4 3 3 12 12
A simple robust model for Cat bond valuation 0 2 5 239 2 17 33 518
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 1 1 1 3 4 7 8
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 2 2 3 39 13 22 27 153
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 2 4 21 1 5 12 48
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 1 13 0 0 1 40
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 0 18 6 7 9 83
An autoregressive jump process for common stock returns 0 0 0 141 2 4 5 269
An empirical investigation of large trader market manipulation in derivatives markets 0 0 4 37 3 4 16 121
An explosion time characterization of asset price bubbles 0 0 1 2 2 2 6 9
An improved test for statistical arbitrage 0 0 1 81 2 5 8 224
Approximate option valuation for arbitrary stochastic processes 0 1 5 970 5 11 25 1,614
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 5 6 8 219
Arbitrage, martingales, and private monetary value 0 0 0 0 2 4 8 8
Asset Price Bubbles 0 2 3 87 5 9 12 205
Asset market equilibrium with liquidity risk 0 0 0 10 3 6 7 63
Asset price bubbles and risk management 0 0 1 1 2 3 4 4
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 11 2 4 5 43
Bank runs and self-insured bank deposits 1 1 1 11 2 6 7 72
Bankruptcy Prediction with Industry Effects 3 6 20 114 10 21 71 423
Bayesian analysis of contingent claim model error 0 0 1 114 2 3 9 305
Beliefs and arbitrage pricing 0 0 0 16 2 2 2 46
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 122 2 5 6 351
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 3 5 15 5,198 15 33 78 10,919
CMBS market efficiency: The crisis and the recovery 0 0 4 24 3 4 18 90
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 3 4 7 73
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 3 3 4 100 6 7 9 344
Computing present values: Capital budgeting done correctly 0 0 0 13 1 3 6 54
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 5 9 28 31
Concavity, stochastic utility, and risk aversion 0 0 0 4 5 5 8 29
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 3 4 6 117
Convenience yields 0 0 2 42 5 8 10 157
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 203 2 6 10 603
Credit Risk Models 1 3 6 261 3 6 12 522
Credit Risk, Liquidity, and Bubbles 0 0 0 8 0 3 4 27
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 1 150 4 4 10 386
Credit rating accuracy and incentives 0 1 1 1 1 4 5 5
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 1 1 113 6 8 13 307
Default Parameter Estimation Using Market Prices 0 0 1 1 3 4 5 5
Delta, gamma and bucket hedging of interest rate derivatives 0 0 1 105 4 5 9 359
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 99 2 6 11 266
Designing catastrophic bonds for catastrophic risks in agriculture 0 0 1 16 12 14 17 68
Digital assets, bubbles, and derivative prices 0 0 0 0 1 3 3 3
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 78 5 11 13 254
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 2 2 4 51
Distressed debt prices and recovery rate estimation 0 0 1 92 4 6 8 308
Downside Loss Aversion and Portfolio Management 0 0 1 28 2 3 7 130
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 3 6 11 95
Endogenous liquidity risk and dealer market structure 0 0 0 2 1 1 1 9
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 0 2 2 2
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 5 9 12 135
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 487 2 5 10 1,862
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 10 4 5 9 51
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 4 21 24 2 11 42 46
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 7 2 4 6 24
Fair Microfinance Loan Rates 0 0 0 10 3 4 6 57
Financial crises and economic growth 0 0 0 38 2 5 6 108
Foreign currency bubbles 0 0 0 23 6 6 9 99
Forward Rate Curve Smoothing 1 1 8 32 2 5 17 119
Forward contracts and futures contracts 1 2 10 615 18 33 59 1,444
Funding shortages, expectations, and forward rate risk premium 0 0 2 2 2 2 7 12
Futures contract collateralization and its implications 0 0 1 2 3 9 16 21
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 6 11 12 74
Hedging contingent claims on semimartingales 0 0 0 176 2 3 4 693
Hedging derivatives with model error 0 0 0 10 2 2 2 47
Hedging in a HJM model 0 0 0 71 2 3 3 196
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 143 0 5 8 356
High frequency trading and standard asset pricing models 0 0 1 9 3 3 7 23
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 2 6 14 60
Housing prices and the optimal time-on-the-market decision 0 0 0 8 2 2 3 62
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 6 9 17 1,667
Index Design: Hedging and Manipulation 0 0 0 2 3 4 8 19
Inferring financial bubbles from option data 0 0 2 11 1 6 11 41
Inflation-Adjusted Bonds, Swaps, and Derivatives 0 2 5 5 2 7 15 18
Information reduction via level crossings in a credit risk model 0 0 0 26 0 1 2 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 17 20 22 273
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 1 3 14 4 8 15 42
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 2 11 7 7 12 49
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 1 245 5 18 25 639
Large traders, hidden arbitrage, and complete markets 0 0 0 57 4 5 7 165
Liquidity risk and arbitrage pricing theory 0 0 0 56 4 8 15 253
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 42 4 5 12 148
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 6 10 15 339
Market Manipulation, Bubbles, Corners, and Short Squeezes 2 3 8 347 3 5 18 836
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 55 5 7 8 166
Market Pricing of Deposit Insurance 0 0 1 78 1 4 6 198
Media trading groups and short selling manipulation 0 0 0 1 2 3 4 11
Modeling loan commitments 0 0 1 187 1 2 6 379
No arbitrage for a special class of filtration expansions 1 2 4 4 5 15 20 20
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 56 3 3 6 118
On Model Testing in Financial Economics 0 0 0 17 2 2 4 57
On aggregation and representative agent equilibria 0 0 1 14 3 4 9 46
Operational risk 1 3 5 234 3 12 22 593
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 3 4 4 21
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 2 172
Option Pricing in an Incomplete Market 0 0 5 5 5 8 20 21
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 1 2 2 17
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 0 4 262
Pricing Derivatives on Financial Securities Subject to Credit Risk 7 11 40 1,752 15 29 107 3,564
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 3 7 9 210
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 2 2 3 476
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 2 7 199 2 4 19 504
Pricing foreign currency options under stochastic interest rates 0 2 3 1,025 4 11 17 1,678
Put Option Premiums and Coherent Risk Measures 0 0 0 54 2 2 3 149
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 2 3 3 12
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 1 4 140 5 7 20 467
Relative asset price bubbles 0 0 0 26 2 5 7 117
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 15 6 8 11 88
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 2 204
Risk measures and the impact of asset price bubbles 0 0 1 1 8 12 13 13
Risk premia, asset price bubbles, and monetary policy 0 0 1 9 1 6 10 34
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 1 80 2 3 10 264
Risk‐neutral pricing techniques and examples 0 0 0 6 4 8 11 38
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 1 7 5 6 13 23
Spanning and completeness in markets with contingent claims 0 0 6 244 2 2 16 421
Specification tests of calibrated option pricing models 0 0 0 6 3 4 5 61
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 2 2 3 47
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 0 1 2 1 2 7 11
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 3 11 14 55
Tax liens: a novel application of asset pricing theory 0 0 0 36 2 3 6 133
Testing for Asset Price Bubbles Using Options Data 0 0 0 0 6 8 8 8
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 0 370 4 12 17 925
The Economics of Credit Default Swaps 0 0 4 65 2 4 10 196
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 3 3 6 30
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 1 2 4 43 5 13 21 123
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 2 15 2 3 5 61
The Liquidity Discount 0 0 2 224 3 5 14 785
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 48 1 3 7 191
The Relationship between Yield, Risk and Return of Corporate Bonds 1 1 2 139 4 5 9 562
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 4 4 38
The Second Fundamental Theorem of Asset Pricing 0 0 1 16 3 3 4 87
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 3 9 11 834
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 3 4 460 2 12 24 1,323
The Term Structure of Interest Rates 0 1 5 317 7 11 29 965
The Valuation of Corporate Coupon Bonds 0 0 1 1 11 18 24 24
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 16 761 4 15 47 1,444
The cost of operational risk loss insurance 0 0 0 28 2 5 11 107
The economic default time and the arcsine law 0 0 0 3 4 5 8 38
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 1 1 61
The impact of quantitative easing on the US term structure of interest rates 0 0 2 72 5 8 14 241
The intersection of market and credit risk 1 1 7 718 6 12 26 1,325
The no-arbitrage pricing of non-traded assets 0 0 0 6 2 3 9 18
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 5 7 11 170
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 4 4 6 110
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 10 11 15 23
Understanding the risk of leveraged ETFs 1 3 14 279 7 17 36 632
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 2 2 30 2 8 10 92
Total Journal Articles 32 79 336 22,386 570 1,084 2,060 60,483
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 5 6 22 37 26 34 78 119
Continuous-Time Asset Pricing Theory 0 0 0 0 3 4 8 8
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 1 12 6 10 20 176
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 2 47 6 7 11 121
Total Books 5 6 25 96 41 55 117 424

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 3 9 114 4 12 25 304
A Representative Trader Economy 0 0 0 0 2 3 3 3
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 1 3 15 14 14 19 67
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 1 1 5 61 6 6 15 160
Arbitrage Pricing Theory 0 0 0 0 2 3 3 3
Arbitrage and Trading 0 0 0 0 1 2 2 4
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 1 3 4 26
Asset Price Bubbles 0 0 0 0 6 9 10 10
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 3 3 5 28
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 1 4 68 12 22 33 226
Bankruptcy Prediction with Industry Effects 1 1 4 29 13 21 31 117
Banks 0 0 0 0 0 0 1 27
Barings Bank (1995) 0 0 0 4 2 3 5 21
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 0 1 1
Characterizing the Equilibrium 0 0 0 0 1 1 2 2
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 3 5 5 5
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 1 13 15 15
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 3 5 7 91
Credit Risk 0 0 2 19 4 8 12 66
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 2 5 6 27
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 7 2 3 4 42
Derivatives 0 0 0 11 2 3 3 32
Derivatives and Risk Management 1 1 5 8 2 4 17 25
Diversification 0 0 0 3 0 0 0 6
Dynamic Hedging 0 0 0 4 2 2 2 11
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 4 4 5 5
Equilibrium 0 0 0 0 1 1 2 2
Equilibrium 0 0 0 0 0 0 0 0
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 1 2 7 4 6 8 41
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 2 4 135 5 8 15 350
Financial Engineering and Swaps 0 0 3 3 1 2 5 6
Firms 0 0 0 1 2 3 3 8
Forwards and Futures 0 0 0 0 2 3 7 8
Forwards and Futures Markets 0 0 0 0 2 4 6 7
Futures Hedging 0 0 1 2 2 3 5 8
Futures Regulations 0 0 0 0 2 7 8 8
Futures Trading 0 0 0 0 2 2 6 8
Incomplete Markets 0 0 0 0 4 4 4 4
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 2 2 2 2
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 2 2 3 3
Individuals 0 0 0 0 2 2 4 7
Interest Rate Swaps 0 1 1 2 2 5 10 12
Interest Rates 0 0 1 1 4 5 8 8
Introduction 0 0 0 2 0 1 2 5
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 4 5 7 24
Liquidity Risk 0 0 0 2 3 5 5 19
Liquidity risk and arbitrage pricing theory 0 0 1 10 6 7 15 80
Long Term Capital Management (1998) 0 0 0 2 0 2 2 8
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 2 5 6 35
Market Informational Efficiency 0 0 0 0 3 3 3 3
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 2 44 5 9 13 122
Market Pricing of Deposit Insurance 0 0 0 4 1 7 8 32
Market Risk (Equities, FX, Commodities) 0 0 0 2 2 4 4 19
Market Risk (Interest Rates) 0 0 0 0 1 1 1 6
Metallgesellschaft (1993) 0 0 0 3 0 1 3 17
Multiperiod Binomial HJM Model 0 0 0 0 2 3 5 5
Multiperiod Binomial Model 0 0 0 1 0 0 3 8
Operational Risk 0 0 0 8 1 3 5 44
Option Relations 0 0 0 1 1 2 5 8
Option Trading Strategies 0 0 1 5 0 1 5 12
Options 0 0 0 0 1 3 5 5
Options Markets and Trading 0 0 0 1 7 10 13 16
Orange County (1994) 0 0 0 2 3 4 5 11
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 8 0 2 3 51
Penn Square Bank (1982) 0 0 0 1 0 1 3 14
Portfolio Optimization 0 0 0 0 0 0 1 1
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 2 10 141 22 28 45 395
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 3 8 11 37
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 2 19 2 4 10 76
Pricing foreign currency options under stochastic interest rates 0 0 0 17 0 4 6 69
Primary Assets 0 0 1 3 2 2 4 7
Reduced Form Credit Risk Models 0 0 0 0 8 14 14 14
Risk Management Models 0 0 0 12 2 2 10 51
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 2 3 5 7
Single-Period Binomial Model 0 0 1 1 1 1 6 7
Static Hedging 0 0 0 1 1 1 2 6
Stochastic Processes 0 0 0 0 1 2 3 3
Stocks 0 0 3 3 2 5 8 10
Super- and Sub-Replication 0 0 0 0 1 2 3 3
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 1 9 1 5 7 35
The Auxiliary Markets 0 0 0 0 1 1 1 1
The Black Scholes Merton Model 0 0 0 0 0 0 0 0
The Black–Scholes–Merton Model 0 0 0 0 4 6 11 13
The Cost-of-Carry Model 0 2 3 4 5 10 16 21
The Credit Crisis (2007) 0 0 0 2 1 1 2 8
The Extended Cost-of-Carry Model 0 0 0 1 1 4 5 9
The Fundamental Theorems 0 0 0 0 1 1 1 1
The Heath Jarrow Morton Model 0 0 0 0 2 6 8 8
The Heath–Jarrow–Morton Libor Model 0 0 0 1 2 6 11 14
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 2 6 34 2 14 22 149
The Trading Constrained Market 0 0 0 0 0 1 1 1
Trading Constraints 0 0 0 1 1 6 6 15
Using the Black–Scholes–Merton Model 0 0 0 1 2 3 4 6
Utility Functions 0 0 0 0 2 2 2 2
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 0 0 1 2 1 1 4 5
Total Chapters 6 19 77 886 246 435 681 3,329

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Statistics updated 2026-02-12