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 0 7 785
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 0 13 0 4 12 49
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 0 1 1 0 2 9 9
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 1 1 1 9 2 2 6 27
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 0 2 1 2 14 24
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 0 2 6 76
Housing Market Microstructure 0 0 0 68 0 0 4 187
Inferring Financial Bubbles from Option Data 0 1 1 49 1 3 26 171
Informational Efficiency under Short Sale Constraints 0 0 0 20 0 1 7 65
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 1 1 1 642 2 3 8 1,964
Is there a bubble in LinkedIn's stock price? 0 0 0 65 1 1 7 250
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 11 343
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 6 749
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 297 0 0 7 1,813
Modeling Credit Risk with Partial Information 0 0 0 37 0 0 7 117
Modeling credit risk with partial information 0 0 0 5 1 2 9 62
Option Pricing with Time-Changed Fractional Brownian Motion: A Fractional Variance Gamma Model 0 0 0 0 1 3 3 3
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 6 471
P-Bubbles, Q-Bubbles, and Risk Premia 1 1 1 1 5 8 8 8
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 1 1 10 454
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 1 1 12 146
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 0 0 6 56
The economic default time and the Arcsine law 0 0 0 34 0 0 11 144
The effect of trading futures on short sale constraints 0 0 0 2 0 0 9 32
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 0 2 5 17
Total Working Papers 3 4 5 1,489 16 37 216 8,022

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 1 9 0 1 11 50
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 0 0 7 54
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 0 10 17 0 2 27 40
A Critique of Revised Basel II 0 0 0 232 1 2 9 549
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 2 31 0 0 18 105
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 9 22 113 3,454
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 0 0 4 596
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 1 56
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 0 1 7 287
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 1 1 8 20
A characterization theorem for unique risk neutral probability measures 0 0 0 27 0 1 8 115
A comparison of the APT and CAPM a note 0 0 0 1,274 0 1 4 3,267
A generalized coherent risk measure: The firm's perspective 0 0 0 85 0 0 6 189
A leverage ratio rule for capital adequacy 0 0 0 173 0 2 10 541
A liquidity-based model for asset price bubbles 0 0 0 31 0 1 11 88
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 1 7 1 1 15 35
A robust test of Merton's structural model for credit risk 0 1 1 5 0 2 6 15
A simple robust model for Cat bond valuation 0 1 6 243 1 3 42 542
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 0 4 4 0 1 14 17
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 5 5 10 46 6 7 40 169
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 0 3 21 3 4 14 54
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 13 0 2 2 42
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 0 18 0 2 21 96
An autoregressive jump process for common stock returns 0 0 0 141 0 2 11 276
An empirical investigation of large trader market manipulation in derivatives markets 1 2 5 41 1 3 21 136
An explosion time characterization of asset price bubbles 0 0 0 2 1 2 6 12
An improved test for statistical arbitrage 0 0 2 82 1 2 13 231
Approximate option valuation for arbitrary stochastic processes 0 1 6 975 1 6 29 1,631
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 0 1 13 225
Arbitrage, martingales, and private monetary value 0 0 0 0 0 1 10 11
Asset Price Bubbles 0 2 6 91 0 3 23 219
Asset market equilibrium with liquidity risk 0 0 0 10 0 3 13 70
Asset price bubbles and risk management 0 0 1 1 0 0 5 5
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 0 11 0 1 8 47
Bank runs and self-insured bank deposits 0 0 1 11 0 1 10 76
Bankruptcy Prediction with Industry Effects 1 4 22 130 7 16 80 474
Bayesian analysis of contingent claim model error 0 0 2 116 1 1 7 308
Beliefs and arbitrage pricing 0 0 1 17 0 1 5 49
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 1 1 123 0 1 15 361
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 3 5 28 5,219 13 25 129 11,001
CMBS market efficiency: The crisis and the recovery 0 0 1 24 0 1 14 98
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 0 1 10 78
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 2 5 102 1 3 15 352
Computing present values: Capital budgeting done correctly 0 0 0 13 0 1 8 57
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 0 1 14 35
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 0 8 32
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 0 1 13 125
Convenience yields 0 0 0 42 1 1 13 162
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 204 0 0 12 608
Credit Risk Models 0 0 4 262 0 2 14 529
Credit Risk, Liquidity, and Bubbles 0 0 0 8 0 1 6 30
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 1 151 2 2 15 396
Credit rating accuracy and incentives 0 0 1 1 0 1 8 8
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 2 114 3 4 15 313
Default Parameter Estimation Using Market Prices 0 0 1 2 0 0 7 8
Delta, gamma and bucket hedging of interest rate derivatives 0 0 1 106 0 3 16 370
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 1 100 0 3 13 272
Designing catastrophic bonds for catastrophic risks in agriculture 0 0 3 18 1 1 23 76
Digital assets, bubbles, and derivative prices 0 0 1 1 0 0 8 8
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 79 2 2 23 266
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 1 8 57
Distressed debt prices and recovery rate estimation 0 0 0 92 0 1 7 309
Downside Loss Aversion and Portfolio Management 0 0 0 28 0 2 16 142
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 0 1 9 98
Endogenous liquidity risk and dealer market structure 0 0 0 2 0 0 6 14
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 0 0 9 9
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 1 1 1 49 1 2 14 140
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 488 0 2 12 1,868
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 10 1 1 11 56
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 2 6 26 1 3 24 57
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 7 0 0 11 30
Fair Microfinance Loan Rates 0 0 0 10 1 1 8 61
Financial crises and economic growth 0 1 1 39 0 5 14 117
Foreign currency bubbles 0 0 0 23 1 2 14 104
Forward Rate Curve Smoothing 0 0 3 33 1 2 16 128
Forward contracts and futures contracts 0 0 4 616 0 1 44 1,453
Funding shortages, expectations, and forward rate risk premium 0 0 1 2 0 1 12 20
Futures contract collateralization and its implications 0 0 1 2 0 0 26 35
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 0 1 15 77
Hedging contingent claims on semimartingales 0 0 0 176 0 0 6 696
Hedging derivatives with model error 0 0 1 11 1 1 7 52
Hedging in a HJM model 0 0 0 71 0 0 7 200
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 1 1 2 145 1 1 10 361
High frequency trading and standard asset pricing models 0 0 0 9 0 0 10 29
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 1 1 1 9 1 2 17 68
Housing prices and the optimal time-on-the-market decision 0 1 1 9 0 3 8 68
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 1 1 528 0 2 23 1,678
Index Design: Hedging and Manipulation 0 0 0 2 0 1 19 33
Inferring financial bubbles from option data 0 0 1 12 0 4 16 51
Inflation-Adjusted Bonds, Swaps, and Derivatives 1 4 14 16 4 8 34 44
Information reduction via level crossings in a credit risk model 0 0 0 26 0 0 1 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 76 4 4 31 284
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 1 2 15 3 4 16 50
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 1 12 0 0 14 53
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 245 0 0 29 647
Large traders, hidden arbitrage, and complete markets 0 0 1 58 0 2 14 174
Liquidity risk and arbitrage pricing theory 0 0 1 57 0 1 18 261
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 42 0 1 11 152
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 1 15 344
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 4 12 355 2 7 26 854
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 2 57 2 5 18 177
Market Pricing of Deposit Insurance 1 1 1 79 3 3 14 207
Media trading groups and short selling manipulation 0 0 0 1 0 1 5 13
Modeling loan commitments 2 3 4 191 2 5 14 389
No arbitrage for a special class of filtration expansions 0 0 4 5 0 2 28 31
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 57 0 0 9 122
On Model Testing in Financial Economics 0 0 0 17 0 2 8 62
On aggregation and representative agent equilibria 0 0 0 14 0 0 8 49
Operational risk 0 0 5 236 0 1 27 608
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 0 0 7 24
Option Pricing and Implicit Volatilities 0 0 0 0 2 2 3 174
Option Pricing in an Incomplete Market 0 0 0 5 1 5 24 37
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 0 1 4 19
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 2 4 265
Pricing Derivatives on Financial Securities Subject to Credit Risk 6 11 40 1,778 13 24 128 3,652
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 0 1 10 212
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 0 2 10 483
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 9 205 4 8 34 529
Pricing foreign currency options under stochastic interest rates 1 1 4 1,027 1 2 18 1,685
Put Option Premiums and Coherent Risk Measures 0 0 0 54 1 2 6 153
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 0 8 17
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 3 11 149 1 6 44 498
Relative asset price bubbles 0 0 1 27 0 2 14 126
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 16 1 1 20 99
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 7 210
Risk measures and the impact of asset price bubbles 0 0 1 2 0 1 21 22
Risk premia, asset price bubbles, and monetary policy 0 1 2 11 0 2 13 39
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 80 0 0 7 265
Risk‐neutral pricing techniques and examples 0 0 0 6 1 2 15 44
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 0 7 0 0 13 30
Spanning and completeness in markets with contingent claims 0 1 6 249 0 3 18 434
Specification tests of calibrated option pricing models 0 0 0 6 0 0 7 64
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 0 0 5 50
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 0 1 3 3 3 24 32
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 0 2 24 67
Tax liens: a novel application of asset pricing theory 0 0 0 36 0 0 5 134
Testing for Asset Price Bubbles Using Options Data 0 0 2 2 4 6 23 23
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 1 371 1 6 24 937
The Economics of Credit Default Swaps 0 0 2 67 0 2 15 207
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 1 1 8 34
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 0 2 43 0 0 22 132
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 15 0 0 9 67
The Liquidity Discount 0 0 1 225 0 1 11 791
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 48 0 0 7 194
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 139 0 0 10 566
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 1 7 41
The Second Fundamental Theorem of Asset Pricing 0 1 1 17 0 1 9 93
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 15 840
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 6 463 3 9 37 1,347
The Term Structure of Interest Rates 0 0 4 319 0 3 41 992
The Treasury — SOFR Swap Spread Puzzle Explained 1 2 8 8 4 37 78 78
The Valuation of Corporate Coupon Bonds 1 1 4 4 2 2 37 37
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 3 14 773 3 9 50 1,475
The cost of operational risk loss insurance 0 0 0 28 0 0 6 107
The economic default time and the arcsine law 0 0 0 3 0 0 9 41
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 5 65
The impact of quantitative easing on the US term structure of interest rates 0 0 1 72 0 2 19 249
The intersection of market and credit risk 0 1 3 720 0 3 23 1,335
The no-arbitrage pricing of non-traded assets 0 1 2 8 0 1 8 22
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 1 1 13 173
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 1 1 7 112
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 1 2 18 28
Understanding the risk of leveraged ETFs 0 1 10 283 3 9 43 655
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 1 3 31 1 3 19 102
Total Journal Articles 28 75 352 22,625 139 413 2,856 62,065
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 1 5 16 47 2 11 78 160
Continuous-Time Asset Pricing Theory 0 0 0 0 2 3 20 21
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 0 12 0 2 25 189
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 0 47 1 1 15 128
Total Books 1 5 16 106 5 17 138 498

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 12 123 3 8 40 331
A Representative Trader Economy 0 0 0 0 0 0 5 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 3 3 4 18 4 6 27 80
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 1 5 65 1 3 16 170
Arbitrage Pricing Theory 0 0 0 0 0 0 6 6
Arbitrage and Trading 0 0 0 0 0 0 5 7
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 0 2 9 31
Asset Price Bubbles 0 0 0 0 0 0 20 21
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 0 1 9 34
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 3 12 77 3 10 54 256
Bankruptcy Prediction with Industry Effects 0 0 3 30 0 2 39 134
Banks 0 0 0 0 0 0 1 28
Barings Bank (1995) 0 0 0 4 0 0 7 25
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 0 5 5
Characterizing the Equilibrium 0 0 0 0 1 1 5 5
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 0 11 11
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 0 0 16 17
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 13 0 0 8 93
Credit Risk 0 0 1 19 0 0 17 74
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 0 3 14 36
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 1 8 0 1 6 44
Derivatives 0 0 0 11 0 1 6 35
Derivatives and Risk Management 0 1 2 9 0 5 15 35
Diversification 0 0 0 3 0 1 3 9
Dynamic Hedging 0 0 0 4 0 0 3 12
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 0 0 8 8
Equilibrium 0 0 0 0 0 0 4 5
Equilibrium 0 0 0 0 0 0 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 7 1 2 20 55
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 0 4 137 0 3 23 364
Financial Engineering and Swaps 0 0 0 3 0 2 6 10
Firms 0 0 0 1 0 0 5 10
Forwards and Futures 0 0 1 1 0 0 13 17
Forwards and Futures Markets 0 0 0 0 0 0 7 10
Futures Hedging 0 0 0 2 0 0 10 15
Futures Regulations 0 0 0 0 0 0 14 15
Futures Trading 0 0 0 0 1 3 11 14
Incomplete Markets 0 0 0 0 0 0 8 8
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 0 1 3 3
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 1 5 6
Individuals 0 0 0 0 0 0 5 9
Interest Rate Swaps 0 0 1 2 1 6 25 30
Interest Rates 0 2 2 3 0 2 11 13
Introduction 0 0 0 2 0 0 5 9
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 0 0 6 24
Liquidity Risk 0 0 0 2 0 0 7 21
Liquidity risk and arbitrage pricing theory 0 0 0 10 0 1 20 91
Long Term Capital Management (1998) 0 0 0 2 0 0 3 9
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 1 1 14 43
Market Informational Efficiency 0 0 0 0 0 0 10 10
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 1 44 0 1 16 129
Market Pricing of Deposit Insurance 0 0 0 4 0 0 10 35
Market Risk (Equities, FX, Commodities) 0 0 0 2 0 0 7 22
Market Risk (Interest Rates) 0 0 0 0 0 1 2 7
Metallgesellschaft (1993) 0 0 0 3 0 1 2 18
Multiperiod Binomial HJM Model 0 0 0 0 0 1 6 8
Multiperiod Binomial Model 0 0 0 1 1 1 4 10
Operational Risk 0 0 0 8 0 0 9 50
Option Relations 0 0 0 1 0 0 7 10
Option Trading Strategies 0 0 1 6 1 3 12 23
Options 0 0 0 0 0 0 6 8
Options Markets and Trading 0 0 0 1 0 2 15 21
Orange County (1994) 0 0 0 2 0 1 8 15
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 1 9 0 0 7 55
Penn Square Bank (1982) 0 0 0 1 0 0 4 17
Portfolio Optimization 0 0 0 0 0 0 5 5
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 1 9 146 2 5 62 426
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 0 0 17 46
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 4 22 0 1 19 89
Pricing foreign currency options under stochastic interest rates 0 0 0 17 0 0 10 75
Primary Assets 0 0 0 3 0 1 6 11
Reduced Form Credit Risk Models 0 0 0 0 3 6 46 46
Risk Management Models 0 0 0 12 0 0 5 51
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 0 1 0 1 4 8
Single-Period Binomial Model 0 0 0 1 0 0 6 10
Static Hedging 0 0 0 1 0 1 2 7
Stochastic Processes 0 0 0 0 1 1 9 9
Stocks 0 0 0 3 0 0 12 17
Super- and Sub-Replication 0 0 0 0 0 0 9 9
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 9 1 2 8 38
The Auxiliary Markets 0 0 0 0 0 0 2 2
The Black Scholes Merton Model 0 0 0 0 0 2 5 5
The Black–Scholes–Merton Model 0 0 1 1 0 1 30 34
The Cost-of-Carry Model 1 1 4 5 1 1 21 30
The Credit Crisis (2007) 0 0 0 2 0 1 3 10
The Extended Cost-of-Carry Model 0 1 1 2 0 2 10 15
The Fundamental Theorems 0 0 0 0 0 0 3 3
The Heath Jarrow Morton Model 0 0 0 0 1 1 16 17
The Heath–Jarrow–Morton Libor Model 0 0 0 1 0 0 11 17
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 5 36 1 8 38 171
The Trading Constrained Market 0 0 0 0 0 0 5 5
Trading Constraints 0 0 0 1 0 0 8 17
Using the Black–Scholes–Merton Model 0 0 1 2 0 3 8 11
Utility Functions 0 0 0 0 0 0 11 11
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 0 0 1 3 0 8 20 23
Total Chapters 6 18 79 937 28 122 1,119 3,957

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