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 0 1 4 770
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 1 7 7 2 5 14 14
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 1 6 20 0 1 9 64
Housing Market Microstructure 0 0 0 68 0 2 5 180
Inferring Financial Bubbles from Option Data 0 0 10 40 0 0 22 117
Informational Efficiency under Short Sale Constraints 0 0 0 20 0 0 0 56
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 638 0 0 4 1,944
Is there a bubble in LinkedIn's stock price? 0 1 3 64 0 2 9 238
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 1 3 331
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 0 739
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 296 0 0 0 1,800
Modeling Credit Risk with Partial Information 0 0 0 35 1 1 6 107
Modeling credit risk with partial information 0 0 0 5 0 0 7 52
Option pricing with random volatilities in complete markets 0 0 0 1 0 0 2 458
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 140 1 1 5 437
Specification Tests of Calibrated Option Pricing Models 0 0 0 48 0 0 1 128
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 2 16 0 1 11 38
The economic default time and the Arcsine law 0 0 1 34 0 0 6 121
The effect of trading futures on short sale constraints 0 0 0 1 0 0 7 20
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 1 5 0 0 4 10
Total Working Papers 0 3 30 1,441 4 15 119 7,624


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 5 0 0 1 31
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 13 0 0 0 46
A Critique of Revised Basel II 0 1 1 232 0 1 5 536
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 4 20 1 1 11 62
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 4 20 62 3,095
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 154 0 1 1 579
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 3 50
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 1 3 153 0 1 6 273
A characterization theorem for unique risk neutral probability measures 0 1 2 27 0 1 2 105
A comparison of the APT and CAPM a note 0 3 5 1,265 0 3 5 3,251
A generalized coherent risk measure: The firm's perspective 0 0 0 85 0 0 1 182
A leverage ratio rule for capital adequacy 0 2 4 165 0 3 12 506
A liquidity-based model for asset price bubbles 1 1 3 29 1 1 5 69
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 1 6 0 0 2 16
A simple robust model for Cat bond valuation 0 4 8 210 1 7 21 448
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 28 0 1 4 102
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 1 10 0 1 5 36
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 2 15 1 1 10 63
An autoregressive jump process for common stock returns 0 0 3 138 0 1 5 258
An empirical investigation of large trader market manipulation in derivatives markets 0 0 1 23 1 1 8 74
An improved test for statistical arbitrage 0 0 0 75 0 0 0 205
Approximate option valuation for arbitrary stochastic processes 1 2 14 942 1 3 38 1,533
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 0 0 0 210
Asset Price Bubbles 0 3 10 73 0 7 25 165
Asset market equilibrium with liquidity risk 0 1 1 9 0 2 6 50
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 9 0 0 1 34
Bank runs and self-insured bank deposits 0 0 1 9 0 1 8 57
Bankruptcy Prediction with Industry Effects 0 4 9 46 1 10 31 169
Bayesian analysis of contingent claim model error 0 1 3 113 0 2 8 291
Beliefs and arbitrage pricing 0 0 0 16 0 0 1 44
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 2 115 0 0 10 324
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 7 13 44 5,073 19 44 149 10,528
CMBS market efficiency: The crisis and the recovery 0 0 2 14 0 0 5 57
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 9 0 0 1 61
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 1 1 94 0 1 7 326
Computing present values: Capital budgeting done correctly 0 0 0 12 0 0 1 45
Concavity, stochastic utility, and risk aversion 0 0 2 2 0 1 11 13
Consensus Beliefs Equilibrium and Market Efficiency 0 0 1 28 0 1 3 110
Convenience yields 0 0 0 36 0 1 6 139
Counterparty Risk and the Pricing of Defaultable Securities 0 2 5 195 0 3 15 578
Credit Risk Models 0 1 11 228 1 4 19 458
Credit Risk Models with Incomplete Information 0 0 0 5 0 0 1 25
Credit Risk, Liquidity, and Bubbles 0 0 2 6 0 0 6 16
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 4 134 0 2 9 326
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 1 1 109 2 4 5 282
Delta, gamma and bucket hedging of interest rate derivatives 0 0 1 91 1 3 19 322
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 4 4 93 0 5 15 241
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya 0 0 2 12 0 1 4 44
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 6 70 0 1 16 221
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 8 0 0 2 43
Distressed debt prices and recovery rate estimation 0 0 0 87 0 0 6 291
Downside Loss Aversion and Portfolio Management 0 0 0 25 0 0 6 116
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 19 0 0 2 82
Endogenous liquidity risk and dealer market structure 0 0 1 1 1 1 6 6
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 0 0 1 120
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 3 481 0 1 8 1,839
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 7 0 1 5 34
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 3 0 0 6 15
Fair Microfinance Loan Rates 0 0 0 7 0 0 4 36
Financial crises and economic growth 0 1 4 37 0 4 11 96
Foreign currency bubbles 0 0 0 23 0 0 1 89
Forward Rate Curve Smoothing 0 0 0 11 0 0 5 72
Forward contracts and futures contracts 0 0 9 567 0 6 28 1,308
Funding shortages, expectations, and forward rate risk premium 0 0 0 0 1 1 1 1
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 1 1 4 58
Hedging contingent claims on semimartingales 0 0 0 176 0 0 4 688
Hedging derivatives with model error 0 0 0 10 0 0 1 44
Hedging in a HJM model 0 0 2 70 0 0 3 188
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 3 139 0 1 5 343
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 2 4 7 0 2 11 35
Housing prices and the optimal time-on-the-market decision 0 0 2 8 0 0 4 58
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 1 525 0 0 4 1,643
Inferring financial bubbles from option data 0 0 2 2 0 1 9 9
Information reduction via level crossings in a credit risk model 0 0 1 26 0 0 5 88
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 0 0 3 246
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 2 8 0 0 7 35
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 1 2 235 0 2 5 599
Large traders, hidden arbitrage, and complete markets 0 0 1 56 0 0 5 154
Liquidity risk and arbitrage pricing theory 0 1 1 46 1 2 7 211
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 38 0 0 1 130
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 2 15 306
Market Manipulation, Bubbles, Corners, and Short Squeezes 4 6 22 310 6 14 65 746
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 3 53 0 1 8 151
Market Pricing of Deposit Insurance 0 0 0 76 1 1 3 190
Modeling loan commitments 0 1 8 167 0 2 11 342
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 1 1 51 0 1 2 105
On Model Testing in Financial Economics 0 0 1 17 0 0 2 53
On aggregation and representative agent equilibria 0 0 3 12 0 0 6 35
Operational risk 0 4 19 200 2 8 48 490
Optimal cash holdings under heterogeneous beliefs 0 0 0 4 0 0 0 15
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 1 165
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 1 3 0 0 2 7
Preferences, Continuity, and the Arbitrage Pricing Theory 0 1 1 49 0 1 1 252
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 10 68 1,580 3 24 173 3,155
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 1 92 0 0 7 198
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 3 199 1 5 11 469
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 3 7 167 1 4 15 420
Pricing foreign currency options under stochastic interest rates 1 1 2 1,012 1 2 10 1,635
Put Option Premiums and Coherent Risk Measures 0 0 0 50 0 3 7 138
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 0 0 8
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 3 6 130 1 3 18 424
Relative asset price bubbles 0 1 4 25 1 2 9 104
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 14 0 0 6 76
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 1 5 202
Risk premia, asset price bubbles, and monetary policy 0 0 0 0 1 3 3 3
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 1 73 0 1 4 229
Risk‐neutral pricing techniques and examples 0 0 2 2 1 3 12 12
Spanning and completeness in markets with contingent claims 4 10 27 216 5 11 44 366
Specification tests of calibrated option pricing models 0 0 0 5 0 0 1 52
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 1 6 0 0 5 44
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 1 1 1 6 2 3 4 27
Tax liens: a novel application of asset pricing theory 0 0 0 35 0 0 2 122
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 6 361 1 2 19 868
The Economics of Credit Default Swaps 1 2 5 56 2 3 9 164
The Economics of Insurance: A Derivatives-Based Approach 0 0 1 1 0 1 10 10
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 1 3 29 0 3 17 86
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 1 3 10 1 2 9 52
The Liquidity Discount 0 0 2 217 0 1 10 759
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 46 0 0 4 178
The Relationship between Yield, Risk and Return of Corporate Bonds 0 2 8 130 1 7 18 540
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 3 33
The Second Fundamental Theorem of Asset Pricing 0 0 1 14 0 0 2 78
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 4 815
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 2 3 441 1 4 12 1,252
The Term Structure of Interest Rates 1 1 11 280 2 2 24 876
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 4 41 639 1 6 76 1,173
The cost of operational risk loss insurance 0 0 0 28 0 0 2 94
The economic default time and the arcsine law 0 0 0 1 1 1 5 19
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 0 1 57
The impact of quantitative easing on the US term structure of interest rates 0 1 2 64 0 4 10 212
The intersection of market and credit risk 2 4 12 685 3 6 25 1,240
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 0 0 0 155
The zero-lower bound on interest rates: Myth or reality? 0 0 0 36 0 0 1 97
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 1 1 1 0 1 6 6
Understanding the risk of leveraged ETFs 0 3 8 237 2 6 22 548
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 1 6 13 2 5 30 52
Total Journal Articles 28 119 503 20,902 81 312 1,578 55,238


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 1 1 1 5 1 2 12 117
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 2 28 0 0 12 70
Total Books 1 1 3 33 1 2 24 187


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 4 15 64 2 8 24 207
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 7 0 0 4 37
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 2 3 7 39 2 4 23 98
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 0 1 2 22
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 1 7 18 39 5 12 35 134
Bankruptcy Prediction with Industry Effects 0 0 1 16 0 0 8 61
Banks 0 0 0 0 1 2 8 12
Barings Bank (1995) 0 0 0 1 0 1 4 5
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 7 0 1 5 66
Credit Risk 0 0 6 10 3 4 28 35
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 3 0 0 1 17
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 2 2 4 0 2 4 33
Derivatives 0 1 5 7 0 2 12 18
Diversification 0 0 0 2 0 0 1 3
Dynamic Hedging 0 0 0 0 0 0 1 2
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 2 3 0 2 9 24
FORWARD CONTRACTS AND FUTURES CONTRACTS 2 4 15 106 2 8 33 281
Firms 0 0 0 0 0 0 2 3
Individuals 0 0 0 0 0 0 2 2
Introduction 0 0 0 0 0 0 0 0
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 1 0 0 0 13
Liquidity Risk 0 0 1 1 0 0 9 9
Liquidity risk and arbitrage pricing theory 0 0 1 5 0 0 11 57
Long Term Capital Management (1998) 0 0 1 2 0 0 4 6
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 0 0 2 29
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 3 8 29 3 7 25 83
Market Pricing of Deposit Insurance 0 0 0 4 0 0 1 23
Market Risk (Equities, FX, Commodities) 0 0 1 1 0 0 8 9
Market Risk (Interest Rates) 0 0 0 0 1 1 4 5
Metallgesellschaft (1993) 0 1 1 1 0 1 9 10
Operational Risk 0 1 3 4 1 5 15 17
Orange County (1994) 0 0 1 1 0 1 3 3
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 8 0 0 1 43
Penn Square Bank (1982) 0 0 0 0 0 2 7 7
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 3 11 90 0 5 29 275
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 2 0 0 2 25
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 1 2 6 2 2 6 43
Pricing foreign currency options under stochastic interest rates 0 0 1 13 3 3 8 50
Primary Assets 0 0 0 0 0 0 0 0
Static Hedging 0 0 0 0 0 0 1 2
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 1 5 1 1 6 23
The Credit Crisis (2007) 0 0 0 0 0 0 3 4
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 2 5 27 2 7 14 107
Trading Constraints 0 0 0 0 0 0 0 1
Washington Mutual (2008) 0 0 0 0 0 0 2 2
Total Chapters 8 32 108 514 28 82 376 1,906


Statistics updated 2022-08-04