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 6 12 37
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 1 1 3 11
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 1 23 2 2 3 72
Housing Market Microstructure 0 0 0 68 0 0 2 183
Inferring Financial Bubbles from Option Data 0 2 3 48 1 3 7 146
Informational Efficiency under Short Sale Constraints 0 0 0 20 0 1 2 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 1 1 2 244
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 2 333
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 1 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 0 2 4 444
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 2 2 2 136
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 1 1 1 51
The economic default time and the Arcsine law 0 0 0 34 0 2 9 133
The effect of trading futures on short sale constraints 0 0 1 2 1 2 4 24
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 1 1 1 13
Total Working Papers 0 2 13 1,484 11 26 79 7,817

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 1 3 4 9 1 4 7 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 3 6 10 10 4 9 17 17
A Critique of Revised Basel II 0 0 0 232 0 0 2 540
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 0 29 0 3 5 87
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 6 11 53 3,347
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 2 280
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 0 2 6 12
A characterization theorem for unique risk neutral probability measures 0 0 0 27 0 0 1 107
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 0 0 1 183
A leverage ratio rule for capital adequacy 0 0 1 173 1 2 4 532
A liquidity-based model for asset price bubbles 0 0 1 31 0 0 5 77
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 1 1 2 21
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 0 0 5 237 1 4 20 501
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 0 0 0 1 2 3 4
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 1 1 37 2 3 7 131
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 1 1 3 19 3 3 8 43
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 1 2 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 1 2 5 37 2 5 17 117
An explosion time characterization of asset price bubbles 0 1 1 2 1 2 4 7
An improved test for statistical arbitrage 1 1 1 81 1 1 3 219
Approximate option valuation for arbitrary stochastic processes 0 1 5 969 1 3 18 1,603
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 1 1 2 213
Arbitrage, martingales, and private monetary value 0 0 0 0 3 3 4 4
Asset Price Bubbles 0 1 1 85 0 1 4 196
Asset market equilibrium with liquidity risk 0 0 0 10 0 0 2 57
Asset price bubbles and risk management 1 1 1 1 1 1 1 1
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 0 1 1 66
Bankruptcy Prediction with Industry Effects 0 4 18 108 8 16 73 402
Bayesian analysis of contingent claim model error 0 0 1 114 1 2 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 1 122 0 1 3 346
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2 4 17 5,193 14 23 62 10,886
CMBS market efficiency: The crisis and the recovery 1 1 4 24 2 5 16 86
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 1 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 2 3 4 51
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 1 15 19 22
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 1 5 24
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 1 1 3 113
Convenience yields 0 0 3 42 0 0 4 149
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 203 1 1 5 597
Credit Risk Models 0 0 7 258 1 1 14 516
Credit Risk, Liquidity, and Bubbles 0 0 0 8 0 0 1 24
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 2 150 1 2 10 382
Credit rating accuracy and incentives 0 0 0 0 1 1 1 1
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 112 1 2 6 299
Default Parameter Estimation Using Market Prices 0 0 1 1 0 0 1 1
Delta, gamma and bucket hedging of interest rate derivatives 0 1 5 105 0 2 9 354
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 3 99 1 2 8 260
Designing catastrophic bonds for catastrophic risks in agriculture 1 1 2 16 1 1 6 54
Digital assets, bubbles, and derivative prices 0 0 0 0 0 0 0 0
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 2 78 0 0 4 243
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 0 1 2 302
Downside Loss Aversion and Portfolio Management 0 0 2 28 1 2 7 127
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 0 0 0 0
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 0 0 3 126
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 487 1 1 5 1,857
Exploring Mispricing in the Term Structure of CDS Spreads 1 1 1 10 1 2 4 46
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 3 20 20 2 9 35 35
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 2 7 1 1 3 20
Fair Microfinance Loan Rates 0 0 0 10 0 0 4 53
Financial crises and economic growth 0 0 0 38 0 0 2 103
Foreign currency bubbles 0 0 0 23 3 3 3 93
Forward Rate Curve Smoothing 1 3 7 31 2 4 15 114
Forward contracts and futures contracts 1 2 12 613 2 6 34 1,411
Funding shortages, expectations, and forward rate risk premium 1 2 2 2 2 3 5 10
Futures contract collateralization and its implications 1 1 1 2 3 5 8 12
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 1 1 1 63
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 0 0 0 193
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 2 2 143 0 3 3 351
High frequency trading and standard asset pricing models 0 0 2 9 1 2 5 20
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 3 5 10 54
Housing prices and the optimal time-on-the-market decision 0 0 0 8 0 1 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 1 527 3 4 10 1,658
Index Design: Hedging and Manipulation 0 0 0 2 1 2 5 15
Inferring financial bubbles from option data 0 1 2 11 0 1 7 35
Inflation-Adjusted Bonds, Swaps, and Derivatives 1 1 3 3 1 2 11 11
Information reduction via level crossings in a credit risk model 0 0 0 26 0 1 1 89
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 0 0 2 253
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 1 4 13 0 3 10 34
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 2 11 3 3 5 42
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 1 245 3 3 9 621
Large traders, hidden arbitrage, and complete markets 0 0 0 57 0 0 3 160
Liquidity risk and arbitrage pricing theory 0 0 0 56 2 3 9 245
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 42 2 3 7 143
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 2 11 329
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 6 344 3 4 15 831
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 55 0 0 1 159
Market Pricing of Deposit Insurance 0 0 1 78 1 1 2 194
Media trading groups and short selling manipulation 0 0 0 1 0 1 3 8
Modeling loan commitments 0 0 2 187 2 2 7 377
No arbitrage for a special class of filtration expansions 1 1 2 2 2 2 5 5
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 56 2 2 3 115
On Model Testing in Financial Economics 0 0 0 17 1 1 2 55
On aggregation and representative agent equilibria 0 1 1 14 1 2 5 42
Operational risk 0 0 4 231 0 2 13 581
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 0 0 0 17
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 1 171
Option Pricing in an Incomplete Market 0 2 5 5 0 3 13 13
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 1 5 0 0 1 15
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 1 1 4 262
Pricing Derivatives on Financial Securities Subject to Credit Risk 3 11 34 1,741 11 31 97 3,535
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 1 1 2 203
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 1 1 1 474
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 1 7 197 5 8 21 500
Pricing foreign currency options under stochastic interest rates 0 0 2 1,023 0 2 7 1,667
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 1 1 3 139 6 7 14 460
Relative asset price bubbles 0 0 0 26 0 1 3 112
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 15 1 1 4 80
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 2 3 5 28
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 2 80 3 5 11 261
Risk‐neutral pricing techniques and examples 0 0 1 6 1 1 5 30
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 3 7 0 1 9 17
Spanning and completeness in markets with contingent claims 1 1 6 244 3 4 15 419
Specification tests of calibrated option pricing models 0 0 1 6 0 0 2 57
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 6 9
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 1 2 3 44
Tax liens: a novel application of asset pricing theory 0 0 0 36 1 1 4 130
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 1 370 0 0 11 913
The Economics of Credit Default Swaps 0 0 5 65 0 0 7 192
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 1 2 5 27
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 0 2 41 0 1 8 110
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 2 15 0 0 3 58
The Liquidity Discount 0 0 2 224 0 2 10 780
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 48 1 1 5 188
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 138 1 1 5 557
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 0 34
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 0 0 3 457 1 3 19 1,311
The Term Structure of Interest Rates 1 1 7 316 3 4 25 954
The Valuation of Corporate Coupon Bonds 1 1 1 1 6 6 6 6
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 1 22 760 4 7 46 1,429
The cost of operational risk loss insurance 0 0 0 28 1 2 6 102
The economic default time and the arcsine law 0 0 0 3 1 1 5 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 1 2 3 72 3 4 8 233
The intersection of market and credit risk 0 0 6 717 1 2 17 1,313
The no-arbitrage pricing of non-traded assets 0 0 0 6 1 2 6 15
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 3 3 5 163
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 1 2 3 106
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 2 3 4 12
Understanding the risk of leveraged ETFs 3 4 11 276 3 8 21 615
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 0 0 28 1 2 2 84
Total Journal Articles 34 78 338 22,307 190 373 1,258 59,399
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 8 24 31 3 17 62 85
Continuous-Time Asset Pricing Theory 0 0 0 0 3 4 4 4
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 2 12 2 5 16 166
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 1 3 47 1 2 11 114
Total Books 0 9 29 90 9 28 93 369

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 8 111 1 2 20 292
A Representative Trader Economy 0 0 0 0 0 0 0 0
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 2 2 14 0 3 6 53
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 0 7 60 0 2 15 154
Arbitrage Pricing Theory 0 0 0 0 0 0 0 0
Arbitrage and Trading 0 0 0 0 0 0 2 2
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 1 1 1 23
Asset Price Bubbles 0 0 0 0 0 1 1 1
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 2 2 5 67 2 5 14 204
Bankruptcy Prediction with Industry Effects 1 2 4 28 1 5 13 96
Banks 0 0 0 0 0 0 3 27
Barings Bank (1995) 0 0 1 4 0 1 4 18
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 1 1 1 1
Characterizing the Equilibrium 0 0 0 0 1 1 1 1
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 0 0 0
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 1 2 2 2
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 1 1 3 86
Credit Risk 1 2 2 19 1 3 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 1 1 1 39
Derivatives 0 0 0 11 0 0 0 29
Derivatives and Risk Management 0 1 4 7 1 3 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 1 1 1 1
Equilibrium 0 0 0 0 0 1 1 1
Equilibrium 0 0 0 0 0 0 0 0
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 6 0 1 4 35
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 0 4 133 1 1 10 342
Financial Engineering and Swaps 0 2 3 3 0 2 3 4
Firms 0 0 0 1 0 0 0 5
Forwards and Futures 0 0 0 0 1 3 4 5
Forwards and Futures Markets 0 0 0 0 0 0 2 3
Futures Hedging 0 0 1 2 0 1 2 5
Futures Regulations 0 0 0 0 0 0 1 1
Futures Trading 0 0 0 0 3 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 1 1 2 5
Interest Rate Swaps 0 0 1 1 2 2 6 7
Interest Rates 0 1 1 1 1 3 3 3
Introduction 0 0 1 2 0 1 2 4
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 1 1 3 19
Liquidity Risk 0 0 0 2 0 0 0 14
Liquidity risk and arbitrage pricing theory 0 0 1 10 2 3 8 73
Long Term Capital Management (1998) 0 0 0 2 0 0 0 6
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 1 1 1 30
Market Informational Efficiency 0 0 0 0 0 0 0 0
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 1 43 0 1 4 113
Market Pricing of Deposit Insurance 0 0 0 4 0 1 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 0 0 2 2
Multiperiod Binomial Model 0 0 0 1 2 2 3 8
Operational Risk 0 0 0 8 0 1 2 41
Option Relations 0 0 0 1 3 3 3 6
Option Trading Strategies 0 0 3 5 0 1 6 11
Options 0 0 0 0 0 0 2 2
Options Markets and Trading 0 0 1 1 0 1 5 6
Orange County (1994) 0 0 1 2 0 1 2 7
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 8 1 1 1 49
Penn Square Bank (1982) 0 0 0 1 0 0 2 13
Portfolio Optimization 0 0 0 0 1 1 1 1
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 3 15 139 3 6 27 367
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 0 2 3 29
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 1 4 19 2 2 9 72
Pricing foreign currency options under stochastic interest rates 0 0 0 17 0 2 2 65
Primary Assets 0 0 2 3 0 0 3 5
Reduced Form Credit Risk Models 0 0 0 0 0 0 0 0
Risk Management Models 0 0 4 12 3 4 26 49
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 0 0 3 4
Single-Period Binomial Model 0 0 1 1 2 2 5 6
Static Hedging 0 0 1 1 0 0 2 5
Stochastic Processes 0 0 0 0 1 1 1 1
Stocks 0 2 3 3 0 2 4 5
Super- and Sub-Replication 0 0 0 0 1 1 1 1
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 1 9 0 1 2 30
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 3 4 5 7
The Cost-of-Carry Model 1 1 2 2 2 2 8 11
The Credit Crisis (2007) 0 0 0 2 0 0 1 7
The Extended Cost-of-Carry Model 0 0 0 1 0 0 2 5
The Fundamental Theorems 0 0 0 0 0 0 0 0
The Heath Jarrow Morton Model 0 0 0 0 1 2 2 2
The Heath–Jarrow–Morton Libor Model 0 0 0 1 2 3 5 8
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 4 5 32 2 6 11 135
The Trading Constrained Market 0 0 0 0 0 0 0 0
Trading Constraints 0 0 0 1 0 0 1 9
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 1 2 3 4
Total Chapters 9 24 94 867 56 114 334 2,894

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Statistics updated 2025-11-08