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 2 778
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 3 13 0 0 12 37
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 0 0 0 0 0 0 0
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 3 8 0 0 8 21
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 1 2 0 1 3 11
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 1 23 1 3 4 73
Housing Market Microstructure 0 0 0 68 0 0 2 183
Inferring Financial Bubbles from Option Data 0 0 3 48 3 4 10 149
Informational Efficiency under Short Sale Constraints 0 0 0 20 0 0 1 58
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 641 0 0 3 1,956
Is there a bubble in LinkedIn's stock price? 0 0 0 65 0 1 1 244
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 2 3 334
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 4 743
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 297 0 0 3 1,806
Modeling Credit Risk with Partial Information 0 0 0 37 0 0 1 110
Modeling credit risk with partial information 0 0 0 5 0 0 1 53
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 3 465
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 1 2 3 445
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 0 2 2 136
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 0 1 1 51
The economic default time and the Arcsine law 0 0 0 34 1 2 9 134
The effect of trading futures on short sale constraints 0 0 1 2 1 2 4 25
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 0 1 1 13
Total Working Papers 0 0 13 1,484 8 21 81 7,825

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 3 3 9 0 4 6 40
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 0 0 0 47
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 4 10 10 1 7 18 18
A Critique of Revised Basel II 0 0 0 232 3 3 4 543
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 0 29 4 4 9 91
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 5 13 49 3,352
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 158 0 0 5 592
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 1 3 55
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 0 0 1 280
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 1 2 7 13
A characterization theorem for unique risk neutral probability measures 0 0 0 27 2 2 3 109
A comparison of the APT and CAPM a note 0 0 2 1,274 0 0 3 3,263
A generalized coherent risk measure: The firm's perspective 0 0 0 85 1 1 2 184
A leverage ratio rule for capital adequacy 0 0 0 173 1 3 4 533
A liquidity-based model for asset price bubbles 0 0 1 31 0 0 4 77
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 1 2 3 22
A robust test of Merton's structural model for credit risk 0 1 4 4 0 1 9 9
A simple robust model for Cat bond valuation 2 2 7 239 6 9 25 507
A study on asset price bubble dynamics: explosive trend or quadratic variation? 1 1 1 1 1 2 4 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 1 37 4 7 9 135
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 1 3 19 1 4 9 44
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 0 1 3 76
An autoregressive jump process for common stock returns 0 0 0 141 0 0 1 265
An empirical investigation of large trader market manipulation in derivatives markets 0 2 5 37 0 4 15 117
An explosion time characterization of asset price bubbles 0 0 1 2 0 1 4 7
An improved test for statistical arbitrage 0 1 1 81 1 2 4 220
Approximate option valuation for arbitrary stochastic processes 1 1 6 970 2 3 19 1,605
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 0 1 2 213
Arbitrage, martingales, and private monetary value 0 0 0 0 0 3 4 4
Asset Price Bubbles 1 1 2 86 3 3 7 199
Asset market equilibrium with liquidity risk 0 0 0 10 1 1 2 58
Asset price bubbles and risk management 0 1 1 1 1 2 2 2
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 11 0 0 1 39
Bank runs and self-insured bank deposits 0 0 0 10 2 3 3 68
Bankruptcy Prediction with Industry Effects 2 3 18 110 5 16 70 407
Bayesian analysis of contingent claim model error 0 0 1 114 0 1 6 302
Beliefs and arbitrage pricing 0 0 0 16 0 0 0 44
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 122 2 2 4 348
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 6 17 5,195 11 31 68 10,897
CMBS market efficiency: The crisis and the recovery 0 1 4 24 0 4 14 86
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 0 1 3 69
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 1 1 97 0 1 2 337
Computing present values: Capital budgeting done correctly 0 0 0 13 0 3 4 51
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 2 3 21 24
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 1 3 24
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 0 1 3 113
Convenience yields 0 0 2 42 1 1 4 150
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 203 0 1 5 597
Credit Risk Models 2 2 8 260 2 3 14 518
Credit Risk, Liquidity, and Bubbles 0 0 0 8 2 2 3 26
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 2 150 0 1 9 382
Credit rating accuracy and incentives 0 0 0 0 0 1 1 1
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 112 0 1 5 299
Default Parameter Estimation Using Market Prices 0 0 1 1 0 0 1 1
Delta, gamma and bucket hedging of interest rate derivatives 0 0 2 105 0 0 6 354
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 99 2 3 9 262
Designing catastrophic bonds for catastrophic risks in agriculture 0 1 2 16 1 2 7 55
Digital assets, bubbles, and derivative prices 0 0 0 0 1 1 1 1
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 78 3 3 6 246
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 1 2 49
Distressed debt prices and recovery rate estimation 0 0 1 92 1 1 3 303
Downside Loss Aversion and Portfolio Management 0 0 2 28 0 1 6 127
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 0 1 5 89
Endogenous liquidity risk and dealer market structure 0 0 0 2 0 0 0 8
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 1 1 1 1
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 2 2 5 128
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 487 1 2 6 1,858
Exploring Mispricing in the Term Structure of CDS Spreads 0 1 1 10 0 1 4 46
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 1 2 21 21 2 7 37 37
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 7 1 2 3 21
Fair Microfinance Loan Rates 0 0 0 10 0 0 3 53
Financial crises and economic growth 0 0 0 38 1 1 3 104
Foreign currency bubbles 0 0 0 23 0 3 3 93
Forward Rate Curve Smoothing 0 2 7 31 0 3 14 114
Forward contracts and futures contracts 0 2 10 613 3 8 34 1,414
Funding shortages, expectations, and forward rate risk premium 0 1 2 2 0 2 5 10
Futures contract collateralization and its implications 0 1 1 2 0 4 8 12
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 2 3 3 65
Hedging contingent claims on semimartingales 0 0 0 176 0 0 1 690
Hedging derivatives with model error 0 0 0 10 0 0 0 45
Hedging in a HJM model 0 0 0 71 1 1 1 194
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 2 2 143 2 4 5 353
High frequency trading and standard asset pricing models 0 0 2 9 0 1 5 20
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 1 4 10 55
Housing prices and the optimal time-on-the-market decision 0 0 0 8 0 0 1 60
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 1 4 9 1,659
Index Design: Hedging and Manipulation 0 0 0 2 0 2 5 15
Inferring financial bubbles from option data 0 0 2 11 2 2 9 37
Inflation-Adjusted Bonds, Swaps, and Derivatives 1 2 4 4 2 3 11 13
Information reduction via level crossings in a credit risk model 0 0 0 26 1 1 2 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 1 1 3 254
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 0 2 13 1 3 9 35
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 2 11 0 3 5 42
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 1 245 3 6 12 624
Large traders, hidden arbitrage, and complete markets 0 0 0 57 1 1 3 161
Liquidity risk and arbitrage pricing theory 0 0 0 56 1 4 10 246
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 42 0 2 7 143
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 3 11 330
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 6 344 1 4 16 832
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 55 2 2 3 161
Market Pricing of Deposit Insurance 0 0 1 78 0 1 2 194
Media trading groups and short selling manipulation 0 0 0 1 0 1 1 8
Modeling loan commitments 0 0 1 187 1 3 6 378
No arbitrage for a special class of filtration expansions 1 2 3 3 4 6 9 9
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 56 0 2 3 115
On Model Testing in Financial Economics 0 0 0 17 0 1 2 55
On aggregation and representative agent equilibria 0 0 1 14 0 1 5 42
Operational risk 2 2 5 233 6 7 18 587
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 0 0 0 17
Option Pricing and Implicit Volatilities 0 0 0 0 1 1 2 172
Option Pricing in an Incomplete Market 0 2 5 5 1 4 14 14
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 0 0 0 15
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 1 4 262
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 10 33 1,742 5 28 94 3,540
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 3 4 5 206
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 0 1 1 474
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 5 197 0 6 16 500
Pricing foreign currency options under stochastic interest rates 0 0 2 1,023 3 3 10 1,670
Put Option Premiums and Coherent Risk Measures 0 0 0 54 0 0 1 147
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 0 0 9
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 3 139 1 7 14 461
Relative asset price bubbles 0 0 0 26 0 1 3 112
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 15 1 2 4 81
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 1 203
Risk measures and the impact of asset price bubbles 0 0 1 1 0 0 1 1
Risk premia, asset price bubbles, and monetary policy 0 0 1 9 3 6 7 31
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 2 80 0 4 9 261
Risk‐neutral pricing techniques and examples 0 0 0 6 3 4 7 33
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 3 7 1 2 10 18
Spanning and completeness in markets with contingent claims 0 1 6 244 0 3 14 419
Specification tests of calibrated option pricing models 0 0 1 6 1 1 3 58
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 0 0 1 45
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 0 1 2 1 2 7 10
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 1 2 4 45
Tax liens: a novel application of asset pricing theory 0 0 0 36 1 2 5 131
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 1 370 1 1 9 914
The Economics of Credit Default Swaps 0 0 4 65 0 0 6 192
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 0 1 5 27
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 1 1 3 42 1 1 9 111
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 2 15 1 1 4 59
The Liquidity Discount 0 0 2 224 1 2 11 781
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 48 1 2 5 189
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 138 0 1 5 557
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 2 2 2 36
The Second Fundamental Theorem of Asset Pricing 0 0 1 16 0 0 3 84
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 2 825
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 2 2 4 459 4 5 20 1,315
The Term Structure of Interest Rates 1 2 8 317 2 5 27 956
The Valuation of Corporate Coupon Bonds 0 1 1 1 2 8 8 8
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 1 20 760 5 10 47 1,434
The cost of operational risk loss insurance 0 0 0 28 0 2 6 102
The economic default time and the arcsine law 0 0 0 3 0 1 3 33
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 0 0 60
The impact of quantitative easing on the US term structure of interest rates 0 1 3 72 2 5 9 235
The intersection of market and credit risk 0 0 6 717 1 2 18 1,314
The no-arbitrage pricing of non-traded assets 0 0 0 6 1 3 7 16
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 2 5 7 165
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 0 2 2 106
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 0 2 4 12
Understanding the risk of leveraged ETFs 1 5 12 277 5 10 25 620
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 2 2 2 30 3 4 5 87
Total Journal Articles 24 81 330 22,331 179 447 1,329 59,578
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 0 4 19 31 2 13 58 87
Continuous-Time Asset Pricing Theory 0 0 0 0 1 5 5 5
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 2 12 0 3 15 166
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 1 2 47 0 2 7 114
Total Books 0 5 23 90 3 23 85 372

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 1 8 112 4 5 22 296
A Representative Trader Economy 0 0 0 0 0 0 0 0
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 14 0 0 5 53
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 0 7 60 0 0 15 154
Arbitrage Pricing Theory 0 0 0 0 0 0 0 0
Arbitrage and Trading 0 0 0 0 0 0 0 2
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 1 2 2 24
Asset Price Bubbles 0 0 0 0 1 2 2 2
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 0 0 4 25
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 1 3 5 68 2 5 14 206
Bankruptcy Prediction with Industry Effects 0 1 3 28 3 5 14 99
Banks 0 0 0 0 0 0 3 27
Barings Bank (1995) 0 0 0 4 0 1 2 18
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 1 1 1
Characterizing the Equilibrium 0 0 0 0 0 1 1 1
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 2 2 2 2
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 0 2 2 2
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 2 3 5 88
Credit Risk 0 2 2 19 0 2 4 58
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 0 0 1 22
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 7 0 1 1 39
Derivatives 0 0 0 11 0 0 0 29
Derivatives and Risk Management 0 0 4 7 0 2 14 21
Diversification 0 0 0 3 0 0 0 6
Dynamic Hedging 0 0 0 4 0 0 0 9
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 0 1 1 1
Equilibrium 0 0 0 0 0 0 0 0
Equilibrium 0 0 0 0 0 1 1 1
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 6 0 1 3 35
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 0 4 133 1 2 10 343
Financial Engineering and Swaps 0 0 3 3 0 0 3 4
Firms 0 0 0 1 0 0 0 5
Forwards and Futures 0 0 0 0 1 3 5 6
Forwards and Futures Markets 0 0 0 0 1 1 3 4
Futures Hedging 0 0 1 2 0 1 2 5
Futures Regulations 0 0 0 0 2 2 3 3
Futures Trading 0 0 0 0 0 3 5 6
Incomplete Markets 0 0 0 0 0 0 0 0
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 0 0 0 0
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 1 1 1
Individuals 0 0 0 0 0 1 2 5
Interest Rate Swaps 1 1 1 2 2 4 7 9
Interest Rates 0 0 1 1 0 1 3 3
Introduction 0 0 1 2 0 0 2 4
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 0 1 2 19
Liquidity Risk 0 0 0 2 1 1 1 15
Liquidity risk and arbitrage pricing theory 0 0 1 10 0 3 8 73
Long Term Capital Management (1998) 0 0 0 2 1 1 1 7
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 1 2 2 31
Market Informational Efficiency 0 0 0 0 0 0 0 0
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 1 43 1 1 5 114
Market Pricing of Deposit Insurance 0 0 0 4 0 0 1 25
Market Risk (Equities, FX, Commodities) 0 0 1 2 0 0 1 15
Market Risk (Interest Rates) 0 0 0 0 0 0 0 5
Metallgesellschaft (1993) 0 0 0 3 0 1 2 16
Multiperiod Binomial HJM Model 0 0 0 0 1 1 3 3
Multiperiod Binomial Model 0 0 0 1 0 2 3 8
Operational Risk 0 0 0 8 1 1 3 42
Option Relations 0 0 0 1 0 3 3 6
Option Trading Strategies 0 0 1 5 1 2 5 12
Options 0 0 0 0 0 0 2 2
Options Markets and Trading 0 0 0 1 1 1 5 7
Orange County (1994) 0 0 1 2 0 0 2 7
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 8 1 2 2 50
Penn Square Bank (1982) 0 0 0 1 0 0 2 13
Portfolio Optimization 0 0 0 0 0 1 1 1
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 2 10 139 2 6 22 369
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 1 2 4 30
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 3 19 0 2 7 72
Pricing foreign currency options under stochastic interest rates 0 0 0 17 0 0 2 65
Primary Assets 0 0 2 3 0 0 3 5
Reduced Form Credit Risk Models 0 0 0 0 3 3 3 3
Risk Management Models 0 0 2 12 0 3 17 49
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 0 0 3 4
Single-Period Binomial Model 0 0 1 1 0 2 5 6
Static Hedging 0 0 1 1 0 0 2 5
Stochastic Processes 0 0 0 0 0 1 1 1
Stocks 0 1 3 3 0 1 4 5
Super- and Sub-Replication 0 0 0 0 0 1 1 1
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 1 9 1 2 3 31
The Auxiliary Markets 0 0 0 0 0 0 0 0
The Black Scholes Merton Model 0 0 0 0 0 0 0 0
The Black–Scholes–Merton Model 0 0 0 0 1 5 6 8
The Cost-of-Carry Model 1 2 3 3 1 3 8 12
The Credit Crisis (2007) 0 0 0 2 0 0 1 7
The Extended Cost-of-Carry Model 0 0 0 1 1 1 3 6
The Fundamental Theorems 0 0 0 0 0 0 0 0
The Heath Jarrow Morton Model 0 0 0 0 1 3 3 3
The Heath–Jarrow–Morton Libor Model 0 0 0 1 1 4 6 9
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 3 5 33 4 7 13 139
The Trading Constrained Market 0 0 0 0 1 1 1 1
Trading Constraints 0 0 0 1 1 1 1 10
Using the Black–Scholes–Merton Model 0 0 1 1 0 0 2 3
Utility Functions 0 0 0 0 0 0 0 0
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 0 0 1 2 0 1 3 4
Total Chapters 5 17 82 872 49 128 343 2,943

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Statistics updated 2025-12-06