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 1 7 785
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 0 13 2 5 12 49
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 0 1 1 2 2 9 9
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 0 8 0 0 4 25
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 0 2 1 1 13 23
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 2 2 6 76
Housing Market Microstructure 0 0 0 68 0 0 4 187
Inferring Financial Bubbles from Option Data 1 1 1 49 2 9 25 170
Informational Efficiency under Short Sale Constraints 0 0 0 20 1 1 7 65
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 641 1 1 6 1,962
Is there a bubble in LinkedIn's stock price? 0 0 0 65 0 0 6 249
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 6 749
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 11 343
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 297 0 0 7 1,813
Modeling Credit Risk with Partial Information 0 0 0 37 0 0 7 117
Modeling credit risk with partial information 0 0 0 5 0 1 8 61
Option Pricing with Time-Changed Fractional Brownian Motion: A Fractional Variance Gamma Model 0 0 0 0 2 2 2 2
Option pricing with random volatilities in complete markets 0 0 0 1 0 1 6 471
P-Bubbles, Q-Bubbles, and Risk Premia 0 0 0 0 3 3 3 3
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 0 1 10 453
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 0 0 11 145
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 0 0 6 56
The economic default time and the Arcsine law 0 0 0 34 0 0 12 144
The effect of trading futures on short sale constraints 0 0 0 2 0 0 9 32
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 2 2 5 17
Total Working Papers 1 1 2 1,486 18 32 202 8,006

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 3 9 1 1 14 50
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 0 0 7 54
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 0 11 17 0 3 29 40
A Critique of Revised Basel II 0 0 0 232 1 1 8 548
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 2 31 0 1 18 105
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 3 22 106 3,445
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 0 0 4 596
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 56
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 1 1 7 287
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 0 0 8 19
A characterization theorem for unique risk neutral probability measures 0 0 0 27 0 1 8 115
A comparison of the APT and CAPM a note 0 0 0 1,274 0 1 4 3,267
A generalized coherent risk measure: The firm's perspective 0 0 0 85 0 0 6 189
A leverage ratio rule for capital adequacy 0 0 0 173 1 2 11 541
A liquidity-based model for asset price bubbles 0 0 0 31 0 1 11 88
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 1 1 7 0 1 14 34
A robust test of Merton's structural model for credit risk 0 1 2 5 1 2 7 15
A simple robust model for Cat bond valuation 0 1 6 243 1 4 43 541
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 2 4 4 0 7 14 17
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 5 41 0 1 35 163
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 0 3 21 0 1 11 51
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 13 0 2 2 42
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 0 18 1 2 21 96
An autoregressive jump process for common stock returns 0 0 0 141 1 2 11 276
An empirical investigation of large trader market manipulation in derivatives markets 0 1 5 40 0 5 22 135
An explosion time characterization of asset price bubbles 0 0 0 2 1 1 5 11
An improved test for statistical arbitrage 0 1 2 82 1 2 12 230
Approximate option valuation for arbitrary stochastic processes 1 1 6 975 3 5 28 1,630
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 1 3 13 225
Arbitrage, martingales, and private monetary value 0 0 0 0 0 1 10 11
Asset Price Bubbles 2 3 6 91 2 4 23 219
Asset market equilibrium with liquidity risk 0 0 0 10 2 3 13 70
Asset price bubbles and risk management 0 0 1 1 0 0 5 5
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 0 11 0 1 8 47
Bank runs and self-insured bank deposits 0 0 1 11 0 2 11 76
Bankruptcy Prediction with Industry Effects 1 5 22 129 4 13 76 467
Bayesian analysis of contingent claim model error 0 0 2 116 0 0 6 307
Beliefs and arbitrage pricing 0 0 1 17 0 1 5 49
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 1 1 1 123 1 1 15 361
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 4 27 5,216 6 16 122 10,988
CMBS market efficiency: The crisis and the recovery 0 0 1 24 1 1 16 98
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 0 1 10 78
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 2 2 6 102 2 2 15 351
Computing present values: Capital budgeting done correctly 0 0 0 13 0 1 9 57
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 0 2 14 35
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 0 9 32
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 0 1 13 125
Convenience yields 0 0 0 42 0 1 12 161
Counterparty Risk and the Pricing of Defaultable Securities 0 1 1 204 0 2 12 608
Credit Risk Models 0 0 4 262 2 2 14 529
Credit Risk, Liquidity, and Bubbles 0 0 0 8 0 1 6 30
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 1 151 0 1 13 394
Credit rating accuracy and incentives 0 0 1 1 0 2 8 8
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 1 2 114 1 1 12 310
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 3 3 16 370
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 1 100 3 3 13 272
Designing catastrophic bonds for catastrophic risks in agriculture 0 0 3 18 0 3 22 75
Digital assets, bubbles, and derivative prices 0 1 1 1 0 1 8 8
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 79 0 1 21 264
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 1 9 57
Distressed debt prices and recovery rate estimation 0 0 0 92 1 1 7 309
Downside Loss Aversion and Portfolio Management 0 0 0 28 0 2 16 142
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 0 1 10 98
Endogenous liquidity risk and dealer market structure 0 0 0 2 0 0 6 14
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 0 2 9 9
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 1 1 13 139
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 488 0 2 12 1,868
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 10 0 1 10 55
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 2 7 26 0 2 26 56
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 7 0 0 11 30
Fair Microfinance Loan Rates 0 0 0 10 0 0 7 60
Financial crises and economic growth 1 1 1 39 4 5 14 117
Foreign currency bubbles 0 0 0 23 0 2 13 103
Forward Rate Curve Smoothing 0 0 4 33 1 1 16 127
Forward contracts and futures contracts 0 1 5 616 1 3 47 1,453
Funding shortages, expectations, and forward rate risk premium 0 0 1 2 1 1 12 20
Futures contract collateralization and its implications 0 0 1 2 0 0 27 35
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 1 1 15 77
Hedging contingent claims on semimartingales 0 0 0 176 0 0 6 696
Hedging derivatives with model error 0 0 1 11 0 0 6 51
Hedging in a HJM model 0 0 0 71 0 0 7 200
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 3 144 0 2 11 360
High frequency trading and standard asset pricing models 0 0 0 9 0 0 10 29
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 0 1 16 67
Housing prices and the optimal time-on-the-market decision 1 1 1 9 2 3 8 68
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 1 1 528 0 5 23 1,678
Index Design: Hedging and Manipulation 0 0 0 2 0 2 20 33
Inferring financial bubbles from option data 0 0 1 12 3 5 16 51
Inflation-Adjusted Bonds, Swaps, and Derivatives 2 3 13 15 3 4 30 40
Information reduction via level crossings in a credit risk model 0 0 0 26 0 0 1 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 1 1 76 0 1 27 280
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 1 1 2 15 1 1 15 47
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 1 12 0 0 14 53
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 245 0 2 29 647
Large traders, hidden arbitrage, and complete markets 0 1 1 58 1 3 14 174
Liquidity risk and arbitrage pricing theory 0 0 1 57 0 1 19 261
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 42 0 1 11 152
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 2 17 344
Market Manipulation, Bubbles, Corners, and Short Squeezes 2 5 11 354 2 7 24 852
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 1 2 57 3 4 16 175
Market Pricing of Deposit Insurance 0 0 0 78 0 0 11 204
Media trading groups and short selling manipulation 0 0 0 1 0 1 6 13
Modeling loan commitments 1 1 2 189 3 4 12 387
No arbitrage for a special class of filtration expansions 0 0 4 5 2 7 28 31
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 57 0 0 9 122
On Model Testing in Financial Economics 0 0 0 17 0 2 8 62
On aggregation and representative agent equilibria 0 0 0 14 0 0 8 49
Operational risk 0 0 5 236 0 3 28 608
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 0 1 7 24
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 1 172
Option Pricing in an Incomplete Market 0 0 2 5 1 4 26 36
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 0 1 4 19
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 2 4 265
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 6 40 1,772 5 16 127 3,639
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 0 1 10 212
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 1 2 10 483
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 9 205 3 5 31 525
Pricing foreign currency options under stochastic interest rates 0 0 3 1,026 0 2 17 1,684
Put Option Premiums and Coherent Risk Measures 0 0 0 54 1 1 5 152
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 1 8 17
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 4 11 149 2 8 43 497
Relative asset price bubbles 0 0 1 27 1 3 15 126
Restructuring risk in credit default swaps: An empirical analysis 0 0 1 16 0 0 19 98
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 2 7 210
Risk measures and the impact of asset price bubbles 0 0 1 2 0 1 21 22
Risk premia, asset price bubbles, and monetary policy 1 1 2 11 2 3 14 39
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 80 0 0 8 265
Risk‐neutral pricing techniques and examples 0 0 0 6 1 1 14 43
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 0 7 0 0 14 30
Spanning and completeness in markets with contingent claims 0 1 6 249 0 4 18 434
Specification tests of calibrated option pricing models 0 0 0 6 0 1 7 64
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 0 0 5 50
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 0 1 3 0 1 21 29
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 2 3 24 67
Tax liens: a novel application of asset pricing theory 0 0 0 36 0 0 5 134
Testing for Asset Price Bubbles Using Options Data 0 0 2 2 0 2 19 19
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 1 371 1 6 23 936
The Economics of Credit Default Swaps 0 1 2 67 0 4 15 207
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 0 0 7 33
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 0 2 43 0 2 22 132
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 0 15 0 0 9 67
The Liquidity Discount 0 0 1 225 1 1 12 791
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 48 0 0 7 194
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 139 0 0 10 566
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 1 7 41
The Second Fundamental Theorem of Asset Pricing 1 1 1 17 1 1 9 93
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 15 840
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 6 463 5 7 34 1,344
The Term Structure of Interest Rates 0 0 4 319 2 10 41 992
The Treasury — SOFR Swap Spread Puzzle Explained 1 3 7 7 32 46 74 74
The Valuation of Corporate Coupon Bonds 0 0 3 3 0 0 35 35
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 4 13 772 3 9 48 1,472
The cost of operational risk loss insurance 0 0 0 28 0 0 7 107
The economic default time and the arcsine law 0 0 0 3 0 0 9 41
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 5 65
The impact of quantitative easing on the US term structure of interest rates 0 0 1 72 2 2 19 249
The intersection of market and credit risk 1 1 3 720 3 3 23 1,335
The no-arbitrage pricing of non-traded assets 0 1 2 8 0 1 9 22
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 0 0 12 172
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 0 0 7 111
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 0 1 17 27
Understanding the risk of leveraged ETFs 1 2 11 283 3 11 42 652
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 1 3 31 1 2 18 101
Total Journal Articles 26 76 347 22,597 150 403 2,795 61,926
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 4 4 19 46 9 9 84 158
Continuous-Time Asset Pricing Theory 0 0 0 0 1 4 19 19
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 0 12 1 3 26 189
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 1 47 0 0 15 127
Total Books 4 4 20 105 11 16 144 493

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 2 11 122 3 7 37 328
A Representative Trader Economy 0 0 0 0 0 0 5 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 1 15 1 2 23 76
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 1 2 5 65 2 4 15 169
Arbitrage Pricing Theory 0 0 0 0 0 0 6 6
Arbitrage and Trading 0 0 0 0 0 0 5 7
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 0 2 9 31
Asset Price Bubbles 0 0 0 0 0 0 21 21
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 0 1 9 34
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 1 5 12 77 4 10 52 253
Bankruptcy Prediction with Industry Effects 0 0 3 30 2 2 40 134
Banks 0 0 0 0 0 0 1 28
Barings Bank (1995) 0 0 0 4 0 1 8 25
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 0 5 5
Characterizing the Equilibrium 0 0 0 0 0 0 4 4
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 0 11 11
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 0 0 17 17
Counterparty Risk and the Pricing of Defaultable Securities 0 1 1 13 0 1 8 93
Credit Risk 0 0 2 19 0 0 18 74
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 2 3 14 36
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 1 8 1 1 6 44
Derivatives 0 0 0 11 1 1 6 35
Derivatives and Risk Management 1 1 2 9 4 6 16 35
Diversification 0 0 0 3 1 1 3 9
Dynamic Hedging 0 0 0 4 0 0 3 12
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 0 0 8 8
Equilibrium 0 0 0 0 0 0 5 5
Equilibrium 0 0 0 0 0 0 3 3
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 7 0 2 20 54
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 0 4 137 3 3 23 364
Financial Engineering and Swaps 0 0 0 3 0 2 6 10
Firms 0 0 0 1 0 0 5 10
Forwards and Futures 0 0 1 1 0 0 14 17
Forwards and Futures Markets 0 0 0 0 0 0 7 10
Futures Hedging 0 0 0 2 0 0 11 15
Futures Regulations 0 0 0 0 0 0 14 15
Futures Trading 0 0 0 0 2 2 10 13
Incomplete Markets 0 0 0 0 0 0 8 8
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 1 1 3 3
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 1 1 6 6
Individuals 0 0 0 0 0 0 5 9
Interest Rate Swaps 0 0 1 2 5 6 24 29
Interest Rates 2 2 2 3 2 2 11 13
Introduction 0 0 0 2 0 0 5 9
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 0 0 6 24
Liquidity Risk 0 0 0 2 0 0 7 21
Liquidity risk and arbitrage pricing theory 0 0 0 10 0 1 21 91
Long Term Capital Management (1998) 0 0 0 2 0 0 3 9
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 0 0 13 42
Market Informational Efficiency 0 0 0 0 0 0 10 10
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 1 44 1 2 16 129
Market Pricing of Deposit Insurance 0 0 0 4 0 0 10 35
Market Risk (Equities, FX, Commodities) 0 0 0 2 0 0 7 22
Market Risk (Interest Rates) 0 0 0 0 1 1 2 7
Metallgesellschaft (1993) 0 0 0 3 0 1 3 18
Multiperiod Binomial HJM Model 0 0 0 0 1 1 6 8
Multiperiod Binomial Model 0 0 0 1 0 0 3 9
Operational Risk 0 0 0 8 0 1 9 50
Option Relations 0 0 0 1 0 0 7 10
Option Trading Strategies 0 0 1 6 2 3 12 22
Options 0 0 0 0 0 0 6 8
Options Markets and Trading 0 0 0 1 1 4 15 21
Orange County (1994) 0 0 0 2 1 1 8 15
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 1 9 0 0 7 55
Penn Square Bank (1982) 0 0 0 1 0 0 4 17
Portfolio Optimization 0 0 0 0 0 0 5 5
Pricing Derivatives on Financial Securities Subject to Credit Risk 0 0 8 145 2 4 61 424
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 0 1 18 46
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 4 22 1 3 19 89
Pricing foreign currency options under stochastic interest rates 0 0 0 17 0 0 10 75
Primary Assets 0 0 0 3 1 2 6 11
Reduced Form Credit Risk Models 0 0 0 0 3 3 43 43
Risk Management Models 0 0 0 12 0 0 5 51
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 0 1 1 1 4 8
Single-Period Binomial Model 0 0 0 1 0 0 6 10
Static Hedging 0 0 0 1 1 1 2 7
Stochastic Processes 0 0 0 0 0 0 8 8
Stocks 0 0 1 3 0 0 13 17
Super- and Sub-Replication 0 0 0 0 0 0 9 9
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 9 0 1 8 37
The Auxiliary Markets 0 0 0 0 0 0 2 2
The Black Scholes Merton Model 0 0 0 0 1 2 5 5
The Black–Scholes–Merton Model 0 0 1 1 1 6 31 34
The Cost-of-Carry Model 0 0 3 4 0 0 20 29
The Credit Crisis (2007) 0 0 0 2 1 1 3 10
The Extended Cost-of-Carry Model 1 1 1 2 1 2 10 15
The Fundamental Theorems 0 0 0 0 0 1 3 3
The Heath Jarrow Morton Model 0 0 0 0 0 0 16 16
The Heath–Jarrow–Morton Libor Model 0 0 0 1 0 0 12 17
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 6 36 6 8 38 170
The Trading Constrained Market 0 0 0 0 0 0 5 5
Trading Constraints 0 0 0 1 0 1 8 17
Using the Black–Scholes–Merton Model 0 0 1 2 2 4 8 11
Utility Functions 0 0 0 0 0 0 11 11
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 0 0 1 3 0 10 20 23
Total Chapters 8 17 76 931 63 127 1,114 3,929

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