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 1 1 5 747
Housing Market Microstructure 1 1 2 60 1 2 5 152
Informational Efficiency under Short Sale Constraints 0 0 1 16 0 2 6 39
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 1 635 0 1 7 1,916
Is there a bubble in LinkedIn's stock price? 0 0 0 55 1 5 9 194
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 6 726
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 1 323
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 295 0 0 2 1,782
Modeling Credit Risk with Partial Information 1 1 1 34 2 2 3 88
Modeling credit risk with partial information 0 0 0 5 0 1 4 24
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 6 438
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 140 2 2 4 413
Specification Tests of Calibrated Option Pricing Models 0 0 3 43 1 2 15 112
The economic default time and the Arcsine law 0 0 0 31 0 0 3 105
Total Working Papers 2 2 8 1,318 8 19 76 7,059


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 44
A Critique of Revised Basel II 0 0 0 229 0 1 4 516
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 1 1 0 0 4 4
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 7 11 45 2,705
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 153 1 1 4 565
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 39
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 1 2 260
A characterization theorem for unique risk neutral probability measures 0 0 0 24 0 0 2 98
A comparison of the APT and CAPM a note 0 2 5 1,246 0 3 14 3,219
A generalized coherent risk measure: The firm's perspective 0 0 0 84 0 0 2 177
A leverage ratio rule for capital adequacy 0 0 9 142 1 5 36 422
A liquidity-based model for asset price bubbles 0 0 0 26 2 2 3 54
A simple robust model for Cat bond valuation 2 2 11 161 4 5 19 338
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 2 2 26 1 3 5 85
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 0 0 1 2 2
An autoregressive jump process for common stock returns 0 0 1 124 0 0 4 236
An improved test for statistical arbitrage 0 0 10 68 1 2 23 175
Approximate option valuation for arbitrary stochastic processes 1 4 15 889 7 16 53 1,390
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 44 0 0 3 194
Asset Price Bubbles 1 3 13 28 3 6 28 64
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 1 0 2 5 5
Bank runs and self-insured bank deposits 0 0 2 5 0 3 10 28
Bankruptcy Prediction with Industry Effects 0 1 2 5 1 2 7 22
Bayesian analysis of contingent claim model error 0 0 1 98 0 0 5 248
Beliefs and arbitrage pricing 0 0 0 14 0 0 1 38
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 90 0 1 8 235
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 4 11 4,904 7 26 87 9,866
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 2 9 2 3 12 48
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 2 92 0 1 6 307
Computing present values: Capital budgeting done correctly 0 0 0 10 0 0 3 35
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 0 3 98
Convenience yields 1 1 1 26 1 1 4 79
Counterparty Risk and the Pricing of Defaultable Securities 1 1 5 181 7 11 37 509
Credit Risk Models 2 4 17 176 2 8 41 355
Credit Risk Models with Incomplete Information 0 0 0 0 0 0 1 1
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 2 4 11 112 5 8 19 269
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 2 4 93 2 6 22 239
Delta, gamma and bucket hedging of interest rate derivatives 0 3 5 73 0 4 16 246
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 2 80 1 1 8 187
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya 0 1 2 2 1 4 13 13
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 52 1 3 9 172
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 4 1 1 4 31
Distressed debt prices and recovery rate estimation 1 1 3 83 1 1 9 267
Downside Loss Aversion and Portfolio Management 0 0 0 20 0 2 11 76
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 17 0 0 4 66
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 46 0 1 3 105
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 470 0 1 2 1,795
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 0 0 0 0 0
Financial crises and economic growth 0 0 1 22 0 1 8 55
Foreign currency bubbles 0 0 0 23 0 0 3 77
Forward Rate Curve Smoothing 0 0 0 3 1 2 9 41
Forward contracts and futures contracts 1 4 11 473 2 6 24 1,093
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 2 7 0 0 6 36
Hedging contingent claims on semimartingales 0 0 0 176 0 0 3 680
Hedging derivatives with model error 0 0 1 10 1 1 7 38
Hedging in a HJM model 0 1 1 65 1 3 5 171
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 0 123 4 10 21 299
Housing prices and the optimal time-on-the-market decision 0 0 0 5 0 1 4 40
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 1 524 1 3 8 1,613
Information reduction via level crossings in a credit risk model 0 0 0 24 0 0 3 78
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 73 1 4 5 224
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 0 0 0 0 1 6
Jump Risks and the Intertemporal Capital Asset Pricing Model 1 1 1 217 2 2 6 551
Large traders, hidden arbitrage, and complete markets 0 0 0 49 0 0 1 131
Liquidity risk and arbitrage pricing theory 0 0 0 43 0 1 8 183
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 35 0 3 7 113
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 1 9 266
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 3 6 225 2 8 25 491
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 2 3 49 1 4 8 135
Market Pricing of Deposit Insurance 0 1 2 71 0 2 5 163
Modeling loan commitments 0 0 1 148 1 2 10 287
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 0 1 1 47 0 1 3 89
On Model Testing in Financial Economics 0 0 0 16 1 1 3 46
Operational risk 0 0 3 144 2 2 14 336
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 6 157
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 46 0 0 4 243
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 0 14 1,227 3 9 67 2,258
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 1 5 84 1 1 11 159
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 2 185 1 1 6 418
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 2 138 1 2 23 345
Pricing foreign currency options under stochastic interest rates 0 0 3 1,001 1 2 13 1,563
Primes and Scores: An Essay on Market Imperfections 0 0 3 103 0 0 9 611
Put Option Premiums and Coherent Risk Measures 0 0 0 47 0 0 3 122
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 0 1 1
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 4 107 1 3 18 331
Relative asset price bubbles 0 0 9 10 2 7 34 49
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 13 0 0 1 59
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 1 3 185
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 69 0 0 2 209
Spanning and completeness in markets with contingent claims 0 0 2 162 0 0 4 266
Specification tests of calibrated option pricing models 0 0 0 3 1 1 5 40
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 2 5 0 1 6 27
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 0 0 1 2 2
Tax liens: a novel application of asset pricing theory 0 0 3 35 0 0 6 109
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 3 339 2 3 33 805
The Economics of Credit Default Swaps 0 2 6 33 1 7 21 107
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 0 0 1 3 3
The Liquidity Discount 1 1 1 210 1 1 5 723
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 37 1 1 3 142
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 105 1 2 5 481
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 1 26
The Second Fundamental Theorem of Asset Pricing 0 0 1 13 0 1 6 65
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 4 793
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 3 6 428 2 6 13 1,185
The Term Structure of Interest Rates 1 1 10 221 5 13 64 657
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 2 5 442 0 2 37 820
The cost of operational risk loss insurance 0 0 0 27 0 0 3 78
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 5 48
The impact of quantitative easing on the US term structure of interest rates 2 4 9 42 7 15 33 132
The intersection of market and credit risk 2 4 15 626 4 10 47 1,100
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 1 48 0 0 7 143
The zero-lower bound on interest rates: Myth or reality? 0 0 3 30 0 0 9 71
Understanding the risk of leveraged ETFs 3 5 22 165 6 11 43 366
Total Journal Articles 29 72 308 18,686 124 309 1,380 48,068
1 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
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 1 1 2 4 14 15
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 1 14 14 1 2 22 22
Total Books 0 1 15 15 3 6 36 37


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 1 5 5 0 1 13 14
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 2 3 4 4 2 4 7 8
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 1 7 7 1 4 16 17
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 1 0 0 6 6
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 0 0 0 0 2 3 3
Bankruptcy Prediction with Industry Effects 0 0 2 2 1 2 6 6
Counterparty Risk and the Pricing of Defaultable Securities 1 1 2 2 2 4 7 8
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 3 3 0 1 7 7
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 1 1 2 2 8 8
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 0 2 3
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 1 9 9 1 3 17 18
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 0 0 0 5 5
Liquidity risk and arbitrage pricing theory 0 1 1 1 0 2 7 7
MODELING CREDIT RISK WITH PARTIAL INFORMATION 1 1 1 1 1 2 5 8
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 5 5 1 4 9 10
Market Pricing of Deposit Insurance 0 0 1 1 1 4 6 6
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 1 1 2 2 7 8
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 2 4 5 0 3 17 20
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 0 0 1 6 7
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 1 1 1 3 10 14
Pricing foreign currency options under stochastic interest rates 0 0 1 1 0 1 4 4
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 3 3 0 1 7 8
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 2 2 2 2 4 14 15
Total Chapters 6 17 54 55 17 50 189 210


Statistics updated 2017-12-03