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 2 9 787
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 0 13 2 4 14 51
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 0 1 1 1 3 10 10
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 1 1 9 2 4 8 29
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 0 2 2 4 15 26
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 3 5 7 79
Housing Market Microstructure 0 0 0 68 3 3 7 190
Inferring Financial Bubbles from Option Data 0 1 1 49 1 4 26 172
Informational Efficiency under Short Sale Constraints 0 0 0 20 1 2 8 66
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 1 1 642 4 7 12 1,968
Is there a bubble in LinkedIn's stock price? 0 0 0 65 0 1 6 250
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 7 750
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 3 3 13 346
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 297 2 2 9 1,815
Modeling Credit Risk with Partial Information 0 0 0 37 1 1 8 118
Modeling credit risk with partial information 0 0 0 5 2 3 11 64
Option Pricing with Time-Changed Fractional Brownian Motion: A Fractional Variance Gamma Model 0 0 0 0 1 4 4 4
Option pricing with random volatilities in complete markets 0 0 0 1 1 1 7 472
P-Bubbles, Q-Bubbles, and Risk Premia 1 2 2 2 3 11 11 11
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 0 1 10 454
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 1 2 11 147
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 1 1 6 57
The economic default time and the Arcsine law 0 0 0 34 1 1 12 145
The effect of trading futures on short sale constraints 0 0 0 2 1 1 9 33
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 2 4 6 19
Total Working Papers 1 5 6 1,490 41 75 246 8,063

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 0 9 2 3 12 52
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 1 1 8 55
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 0 7 17 2 2 25 42
A Critique of Revised Basel II 0 0 0 232 0 2 9 549
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 2 31 3 3 21 108
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 9 21 116 3,463
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 2 2 6 598
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 2 9 21
A characterization theorem for unique risk neutral probability measures 0 0 0 27 1 1 9 116
A comparison of the APT and CAPM a note 0 0 0 1,274 1 1 5 3,268
A generalized coherent risk measure: The firm's perspective 0 0 0 85 2 2 8 191
A leverage ratio rule for capital adequacy 0 0 0 173 1 2 10 542
A liquidity-based model for asset price bubbles 0 0 0 31 3 3 14 91
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 1 7 2 3 16 37
A robust test of Merton's structural model for credit risk 0 0 1 5 0 1 6 15
A simple robust model for Cat bond valuation 0 0 6 243 8 10 49 550
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 0 4 4 0 0 13 17
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 2 7 11 48 7 13 45 176
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 0 2 21 0 3 11 54
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 13 1 1 3 43
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 0 18 1 2 21 97
An autoregressive jump process for common stock returns 0 0 0 141 1 2 12 277
An empirical investigation of large trader market manipulation in derivatives markets 0 1 4 41 4 5 23 140
An explosion time characterization of asset price bubbles 0 0 0 2 1 3 6 13
An improved test for statistical arbitrage 0 0 1 82 0 2 12 231
Approximate option valuation for arbitrary stochastic processes 1 2 7 976 5 9 33 1,636
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 1 2 13 226
Arbitrage, martingales, and private monetary value 0 0 0 0 0 0 7 11
Asset Price Bubbles 0 2 6 91 1 3 24 220
Asset market equilibrium with liquidity risk 0 0 0 10 2 4 15 72
Asset price bubbles and risk management 0 0 0 1 1 1 5 6
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 0 11 0 0 8 47
Bank runs and self-insured bank deposits 0 0 1 11 2 2 12 78
Bankruptcy Prediction with Industry Effects 2 4 24 132 11 22 83 485
Bayesian analysis of contingent claim model error 0 0 2 116 5 6 11 313
Beliefs and arbitrage pricing 0 0 1 17 2 2 7 51
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 1 1 123 2 3 17 363
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 3 26 5,219 7 26 122 11,008
CMBS market efficiency: The crisis and the recovery 0 0 0 24 1 2 13 99
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 1 1 10 79
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 2 5 102 3 6 18 355
Computing present values: Capital budgeting done correctly 0 0 0 13 2 2 8 59
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 1 1 14 36
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 0 8 32
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 3 3 15 128
Convenience yields 0 0 0 42 0 1 13 162
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 204 3 3 14 611
Credit Risk Models 1 1 5 263 3 5 16 532
Credit Risk, Liquidity, and Bubbles 0 0 0 8 1 1 7 31
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 1 151 4 6 18 400
Credit rating accuracy and incentives 0 0 1 1 0 0 7 8
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 2 114 3 7 17 316
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 1 4 17 371
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 1 100 4 7 16 276
Designing catastrophic bonds for catastrophic risks in agriculture 1 1 3 19 2 3 24 78
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 0 2 23 266
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 0 8 57
Distressed debt prices and recovery rate estimation 0 0 0 92 2 3 9 311
Downside Loss Aversion and Portfolio Management 0 0 0 28 1 1 16 143
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 3 3 12 101
Endogenous liquidity risk and dealer market structure 0 0 0 2 2 2 8 16
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 0 1 1 49 2 4 16 142
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 488 3 3 14 1,871
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 0 10 0 1 10 56
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 0 6 26 1 2 23 58
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 7 1 1 11 31
Fair Microfinance Loan Rates 0 0 0 10 2 3 10 63
Financial crises and economic growth 0 1 1 39 2 6 16 119
Foreign currency bubbles 0 0 0 23 1 2 12 105
Forward Rate Curve Smoothing 1 1 3 34 4 6 18 132
Forward contracts and futures contracts 1 1 4 617 4 5 46 1,457
Funding shortages, expectations, and forward rate risk premium 0 0 0 2 0 1 10 20
Futures contract collateralization and its implications 0 0 0 2 2 2 25 37
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 5 6 19 82
Hedging contingent claims on semimartingales 0 0 0 176 4 4 10 700
Hedging derivatives with model error 0 0 1 11 2 3 9 54
Hedging in a HJM model 0 0 0 71 2 2 9 202
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 2 145 1 2 11 362
High frequency trading and standard asset pricing models 0 0 0 9 2 2 11 31
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 1 1 9 0 1 14 68
Housing prices and the optimal time-on-the-market decision 0 1 1 9 0 2 8 68
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 1 528 2 2 22 1,680
Index Design: Hedging and Manipulation 0 0 0 2 4 4 22 37
Inferring financial bubbles from option data 0 0 1 12 0 3 16 51
Inflation-Adjusted Bonds, Swaps, and Derivatives 0 3 13 16 3 10 36 47
Information reduction via level crossings in a credit risk model 0 0 0 26 3 3 4 93
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 76 1 5 32 285
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 1 2 3 16 3 7 19 53
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 1 12 1 1 12 54
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 245 1 1 27 648
Large traders, hidden arbitrage, and complete markets 0 0 1 58 1 2 15 175
Liquidity risk and arbitrage pricing theory 0 0 1 57 4 4 20 265
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 42 2 2 11 154
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 2 16 345
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 3 11 355 5 9 28 859
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 2 57 2 7 20 179
Market Pricing of Deposit Insurance 0 1 1 79 2 5 15 209
Media trading groups and short selling manipulation 0 0 0 1 0 0 5 13
Modeling loan commitments 0 3 4 191 1 6 13 390
No arbitrage for a special class of filtration expansions 1 1 4 6 4 6 30 35
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 57 3 3 10 125
On Model Testing in Financial Economics 0 0 0 17 1 1 8 63
On aggregation and representative agent equilibria 0 0 0 14 1 1 8 50
Operational risk 0 0 5 236 1 1 28 609
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 3 3 10 27
Option Pricing and Implicit Volatilities 0 0 0 0 4 6 7 178
Option Pricing in an Incomplete Market 0 0 0 5 2 4 26 39
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 2 2 6 21
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 1 1 4 266
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 10 39 1,780 8 26 125 3,660
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 1 1 10 213
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 2 3 11 485
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 8 205 6 13 35 535
Pricing foreign currency options under stochastic interest rates 0 1 4 1,027 2 3 20 1,687
Put Option Premiums and Coherent Risk Measures 0 0 0 54 2 4 8 155
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 2 2 10 19
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 10 149 0 3 38 498
Relative asset price bubbles 0 0 1 27 2 3 16 128
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 16 3 4 22 102
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 2 3 9 212
Risk measures and the impact of asset price bubbles 0 0 1 2 0 0 21 22
Risk premia, asset price bubbles, and monetary policy 0 1 2 11 1 3 12 40
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 80 1 1 5 266
Risk‐neutral pricing techniques and examples 0 0 0 6 0 2 14 44
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 0 7 1 1 14 31
Spanning and completeness in markets with contingent claims 0 0 5 249 4 4 19 438
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 1 1 6 51
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 0 1 3 1 4 24 33
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 1 3 24 68
Tax liens: a novel application of asset pricing theory 0 0 0 36 2 2 6 136
Testing for Asset Price Bubbles Using Options Data 1 1 3 3 2 6 25 25
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 1 371 3 5 27 940
The Economics of Credit Default Swaps 0 0 2 67 4 4 19 211
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 2 3 9 36
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 0 2 43 3 3 25 135
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 15 2 2 11 69
The Liquidity Discount 1 1 2 226 2 3 13 793
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 48 0 0 6 194
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 139 0 0 9 566
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 2 8 42
The Second Fundamental Theorem of Asset Pricing 0 1 1 17 3 4 12 96
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 5 5 20 845
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 7 464 8 16 44 1,355
The Term Structure of Interest Rates 0 0 3 319 1 3 39 993
The Treasury — SOFR Swap Spread Puzzle Explained 0 2 8 8 7 43 85 85
The Valuation of Corporate Coupon Bonds 0 1 3 4 1 3 32 38
The arbitrage-free valuation and hedging of demand deposits and credit card loans 0 2 13 773 1 7 47 1,476
The cost of operational risk loss insurance 0 0 0 28 3 3 8 110
The economic default time and the arcsine law 0 0 0 3 2 2 10 43
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 1 6 66
The impact of quantitative easing on the US term structure of interest rates 0 0 0 72 2 4 18 251
The intersection of market and credit risk 0 1 3 720 0 3 22 1,335
The no-arbitrage pricing of non-traded assets 0 0 2 8 0 0 7 22
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 2 3 12 175
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 0 1 6 112
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 1 2 17 29
Understanding the risk of leveraged ETFs 0 1 7 283 8 14 48 663
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 0 3 31 1 3 19 103
Total Journal Articles 16 70 334 22,641 335 624 3,001 62,400
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 6 17 48 16 27 91 176
Continuous-Time Asset Pricing Theory 0 0 0 0 1 4 18 22
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 0 12 2 3 25 191
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 0 47 4 5 18 132
Total Books 1 6 17 107 23 39 152 521

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 13 124 5 11 44 336
A Representative Trader Economy 0 0 0 0 1 1 6 6
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 3 4 18 4 9 31 84
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 1 5 65 2 5 18 172
Arbitrage Pricing Theory 0 0 0 0 0 0 6 6
Arbitrage and Trading 0 0 0 0 2 2 7 9
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 0 0 8 31
Asset Price Bubbles 0 0 0 0 2 2 22 23
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 1 1 1 12 4 4 13 38
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 1 2 11 78 2 9 54 258
Bankruptcy Prediction with Industry Effects 0 0 2 30 2 4 40 136
Banks 0 0 0 0 4 4 5 32
Barings Bank (1995) 0 0 0 4 3 3 10 28
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 0 4 5
Characterizing the Equilibrium 0 0 0 0 0 1 4 5
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 1 1 12 12
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 2 2 17 19
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 13 3 3 10 96
Credit Risk 0 0 0 19 0 0 16 74
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 1 3 15 37
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 1 8 0 1 5 44
Derivatives 0 0 0 11 4 5 10 39
Derivatives and Risk Management 1 2 3 10 1 5 15 36
Diversification 0 0 0 3 0 1 3 9
Dynamic Hedging 0 0 0 4 1 1 4 13
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 0 0 7 8
Equilibrium 0 0 0 0 0 0 4 5
Equilibrium 0 0 0 0 1 1 4 4
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 7 3 4 23 58
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 0 4 137 2 5 24 366
Financial Engineering and Swaps 0 0 0 3 1 1 7 11
Firms 0 0 0 1 1 1 6 11
Forwards and Futures 1 1 2 2 1 1 13 18
Forwards and Futures Markets 0 0 0 0 2 2 9 12
Futures Hedging 1 1 1 3 3 3 13 18
Futures Regulations 0 0 0 0 1 1 15 16
Futures Trading 0 0 0 0 3 6 11 17
Incomplete Markets 0 0 0 0 1 1 9 9
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 1 2 4 4
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 1 5 6
Individuals 0 0 0 0 3 3 7 12
Interest Rate Swaps 0 0 1 2 0 6 23 30
Interest Rates 1 3 3 4 4 6 14 17
Introduction 0 0 0 2 2 2 7 11
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 1 1 6 25
Liquidity Risk 0 0 0 2 3 3 10 24
Liquidity risk and arbitrage pricing theory 0 0 0 10 1 1 19 92
Long Term Capital Management (1998) 0 0 0 2 1 1 4 10
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 2 3 15 45
Market Informational Efficiency 0 0 0 0 0 0 10 10
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 1 44 2 3 18 131
Market Pricing of Deposit Insurance 0 0 0 4 2 2 12 37
Market Risk (Equities, FX, Commodities) 0 0 0 2 1 1 8 23
Market Risk (Interest Rates) 0 0 0 0 3 4 5 10
Metallgesellschaft (1993) 0 0 0 3 0 0 2 18
Multiperiod Binomial HJM Model 0 0 0 0 1 2 7 9
Multiperiod Binomial Model 0 0 0 1 3 4 5 13
Operational Risk 0 0 0 8 2 2 11 52
Option Relations 0 0 0 1 1 1 5 11
Option Trading Strategies 0 0 1 6 1 4 13 24
Options 0 0 0 0 2 2 8 10
Options Markets and Trading 0 0 0 1 3 4 18 24
Orange County (1994) 0 0 0 2 2 3 10 17
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 1 9 1 1 7 56
Penn Square Bank (1982) 0 0 0 1 0 0 4 17
Portfolio Optimization 0 0 0 0 5 5 9 10
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 1 7 146 4 8 63 430
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 1 1 18 47
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 3 22 2 3 19 91
Pricing foreign currency options under stochastic interest rates 0 0 0 17 0 0 10 75
Primary Assets 0 0 0 3 2 3 8 13
Reduced Form Credit Risk Models 0 0 0 0 4 10 50 50
Risk Management Models 0 0 0 12 1 1 3 52
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 0 1 3 4 7 11
Single-Period Binomial Model 0 0 0 1 1 1 5 11
Static Hedging 0 0 0 1 1 2 3 8
Stochastic Processes 0 0 0 0 0 1 8 9
Stocks 1 1 1 4 3 3 15 20
Super- and Sub-Replication 0 0 0 0 2 2 10 11
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 1 1 1 10 1 2 9 39
The Auxiliary Markets 0 0 0 0 1 1 3 3
The Black Scholes Merton Model 0 0 0 0 1 2 6 6
The Black–Scholes–Merton Model 0 0 1 1 3 4 30 37
The Cost-of-Carry Model 0 1 3 5 1 2 20 31
The Credit Crisis (2007) 0 0 0 2 0 1 3 10
The Extended Cost-of-Carry Model 0 1 1 2 3 4 13 18
The Fundamental Theorems 0 0 0 0 2 2 5 5
The Heath Jarrow Morton Model 0 0 0 0 1 2 16 18
The Heath–Jarrow–Morton Libor Model 0 0 0 1 4 4 13 21
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 4 36 2 9 38 173
The Trading Constrained Market 0 0 0 0 1 1 6 6
Trading Constraints 0 0 0 1 2 2 10 19
Using the Black–Scholes–Merton Model 0 0 1 2 3 5 11 14
Utility Functions 0 0 0 0 1 1 12 12
Washington Mutual (2008) 0 0 0 2 10 10 10 15
Yields and Forward Rates 0 0 1 3 1 1 20 24
Total Chapters 9 23 79 946 171 262 1,234 4,128

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-11-12