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 4 780
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 3 13 1 1 13 38
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 1 1 1 1 1 1 1 1
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 3 8 0 0 6 21
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 1 2 1 2 4 12
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 1 23 0 3 4 73
Housing Market Microstructure 0 0 0 68 1 1 3 184
Inferring Financial Bubbles from Option Data 0 0 3 48 1 5 11 150
Informational Efficiency under Short Sale Constraints 0 0 0 20 2 2 3 60
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 2 3 3 246
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 2 4 4 336
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 1 1 5 744
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 1 297 1 1 4 1,807
Modeling Credit Risk with Partial Information 0 0 0 37 1 1 2 111
Modeling credit risk with partial information 0 0 0 5 2 2 3 55
Option pricing with random volatilities in complete markets 0 0 0 1 1 1 3 466
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 2 3 5 447
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 3 5 5 139
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 1 2 2 52
The economic default time and the Arcsine law 0 0 0 34 1 2 10 135
The effect of trading futures on short sale constraints 0 0 1 2 2 4 6 27
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 1 2 2 14
Total Working Papers 1 1 14 1,485 29 48 106 7,854

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 1 3 9 2 3 8 42
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 1 1 1 48
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 1 4 11 11 5 10 23 23
A Critique of Revised Basel II 0 0 0 232 1 4 4 544
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 0 29 3 7 12 94
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 22 33 67 3,374
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 1 1 3 593
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 0 2 55
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 1 1 1 281
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 0 1 6 13
A characterization theorem for unique risk neutral probability measures 0 0 0 27 3 5 6 112
A comparison of the APT and CAPM a note 0 0 1 1,274 0 0 2 3,263
A generalized coherent risk measure: The firm's perspective 0 0 0 85 0 1 2 184
A leverage ratio rule for capital adequacy 0 0 0 173 3 5 7 536
A liquidity-based model for asset price bubbles 0 0 1 31 2 2 6 79
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 2 4 4 24
A robust test of Merton's structural model for credit risk 0 0 4 4 0 0 9 9
A simple robust model for Cat bond valuation 0 2 5 239 9 16 32 516
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 1 1 1 0 2 4 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 1 37 5 11 14 140
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 2 3 5 21 3 7 12 47
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 77
An autoregressive jump process for common stock returns 0 0 0 141 2 2 3 267
An empirical investigation of large trader market manipulation in derivatives markets 0 1 4 37 1 3 13 118
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 2 4 6 222
Approximate option valuation for arbitrary stochastic processes 0 1 6 970 4 7 22 1,609
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 1 2 3 214
Arbitrage, martingales, and private monetary value 0 0 0 0 2 5 6 6
Asset Price Bubbles 1 2 3 87 1 4 7 200
Asset market equilibrium with liquidity risk 0 0 0 10 2 3 4 60
Asset price bubbles and risk management 0 1 1 1 0 2 2 2
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 11 2 2 3 41
Bank runs and self-insured bank deposits 0 0 0 10 2 4 5 70
Bankruptcy Prediction with Industry Effects 1 3 17 111 6 19 66 413
Bayesian analysis of contingent claim model error 0 0 1 114 1 2 7 303
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 1 3 5 349
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 0 4 15 5,195 7 32 67 10,904
CMBS market efficiency: The crisis and the recovery 0 1 4 24 1 3 15 87
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 1 2 4 70
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 1 97 1 1 3 338
Computing present values: Capital budgeting done correctly 0 0 0 13 2 4 5 53
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 2 5 23 26
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 0 3 24
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 1 2 3 114
Convenience yields 0 0 2 42 2 3 5 152
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 203 4 5 8 601
Credit Risk Models 0 2 6 260 1 4 11 519
Credit Risk, Liquidity, and Bubbles 0 0 0 8 1 3 4 27
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 2 150 0 1 7 382
Credit rating accuracy and incentives 1 1 1 1 3 4 4 4
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 112 2 3 7 301
Default Parameter Estimation Using Market Prices 0 0 1 1 1 1 2 2
Delta, gamma and bucket hedging of interest rate derivatives 0 0 2 105 1 1 6 355
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 99 2 5 10 264
Designing catastrophic bonds for catastrophic risks in agriculture 0 1 2 16 1 3 7 56
Digital assets, bubbles, and derivative prices 0 0 0 0 1 2 2 2
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 1 78 3 6 8 249
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 0 2 49
Distressed debt prices and recovery rate estimation 0 0 1 92 1 2 4 304
Downside Loss Aversion and Portfolio Management 0 0 2 28 1 2 6 128
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 3 3 8 92
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 2 2 2
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 2 4 7 130
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 487 2 4 8 1,860
Exploring Mispricing in the Term Structure of CDS Spreads 0 1 1 10 1 2 5 47
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 3 4 21 24 7 11 41 44
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 7 1 3 4 22
Fair Microfinance Loan Rates 0 0 0 10 1 1 3 54
Financial crises and economic growth 0 0 0 38 2 3 5 106
Foreign currency bubbles 0 0 0 23 0 3 3 93
Forward Rate Curve Smoothing 0 1 7 31 3 5 16 117
Forward contracts and futures contracts 1 2 9 614 12 17 41 1,426
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 6 9 14 18
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 3 6 6 68
Hedging contingent claims on semimartingales 0 0 0 176 1 1 2 691
Hedging derivatives with model error 0 0 0 10 0 0 0 45
Hedging in a HJM model 0 0 0 71 0 1 1 194
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 143 3 5 8 356
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 3 7 12 58
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 2 6 11 1,661
Index Design: Hedging and Manipulation 0 0 0 2 1 2 6 16
Inferring financial bubbles from option data 0 0 2 11 3 5 12 40
Inflation-Adjusted Bonds, Swaps, and Derivatives 1 3 5 5 3 6 14 16
Information reduction via level crossings in a credit risk model 0 0 0 26 0 1 2 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 2 3 5 256
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 1 1 3 14 3 4 12 38
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 10 16 21 634
Large traders, hidden arbitrage, and complete markets 0 0 0 57 0 1 3 161
Liquidity risk and arbitrage pricing theory 0 0 0 56 3 6 12 249
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 2 42 1 3 8 144
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 3 4 12 333
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 7 345 1 5 16 833
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 55 0 2 3 161
Market Pricing of Deposit Insurance 0 0 1 78 3 4 5 197
Media trading groups and short selling manipulation 0 0 0 1 1 1 2 9
Modeling loan commitments 0 0 1 187 0 3 5 378
No arbitrage for a special class of filtration expansions 0 2 3 3 6 12 15 15
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 1 2 6 43
Operational risk 0 2 4 233 3 9 20 590
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 1 1 1 18
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 2 172
Option Pricing in an Incomplete Market 0 0 5 5 2 3 16 16
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 1 1 1 16
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 1 4 262
Pricing Derivatives on Financial Securities Subject to Credit Risk 3 7 35 1,745 9 25 96 3,549
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 1 5 6 207
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 2 3 7 199 2 7 18 502
Pricing foreign currency options under stochastic interest rates 2 2 4 1,025 4 7 14 1,674
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 1 1 1 10
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 1 3 139 1 8 15 462
Relative asset price bubbles 0 0 0 26 3 3 5 115
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 15 1 3 5 82
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 1 2 204
Risk measures and the impact of asset price bubbles 0 0 1 1 4 4 5 5
Risk premia, asset price bubbles, and monetary policy 0 0 1 9 2 7 9 33
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 1 80 1 4 8 262
Risk‐neutral pricing techniques and examples 0 0 0 6 1 5 7 34
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 2 7 0 1 9 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 0 6 0 1 2 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 0 2 7 10
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 7 9 11 52
Tax liens: a novel application of asset pricing theory 0 0 0 36 0 2 5 131
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 1 370 7 8 14 921
The Economics of Credit Default Swaps 0 0 4 65 2 2 8 194
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 0 1 3 42 7 8 16 118
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 2 15 0 1 4 59
The Liquidity Discount 0 0 2 224 1 2 11 782
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 1 48 1 3 6 190
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 1 138 1 2 6 558
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 1 3 3 37
The Second Fundamental Theorem of Asset Pricing 0 0 1 16 0 0 2 84
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 6 6 8 831
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 3 4 460 6 11 24 1,321
The Term Structure of Interest Rates 0 2 7 317 2 7 24 958
The Valuation of Corporate Coupon Bonds 0 1 1 1 5 13 13 13
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 2 18 761 6 15 48 1,440
The cost of operational risk loss insurance 0 0 0 28 3 4 9 105
The economic default time and the arcsine law 0 0 0 3 1 2 4 34
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 1 6 10 236
The intersection of market and credit risk 0 0 6 717 5 7 21 1,319
The no-arbitrage pricing of non-traded assets 0 0 0 6 0 2 7 16
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 0 5 7 165
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 0 1 2 106
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 1 3 5 13
Understanding the risk of leveraged ETFs 1 5 13 278 5 13 29 625
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 2 2 30 3 7 8 90
Total Journal Articles 23 81 327 22,354 333 702 1,558 59,911
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 1 20 32 6 11 60 93
Continuous-Time Asset Pricing Theory 0 0 0 0 0 4 5 5
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 2 12 4 6 18 170
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 2 47 1 2 8 115
Total Books 1 1 24 91 11 23 91 383

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 8 113 4 9 25 300
A Representative Trader Economy 0 0 0 0 1 1 1 1
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 14 0 0 5 53
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 0 5 60 0 0 12 154
Arbitrage Pricing Theory 0 0 0 0 1 1 1 1
Arbitrage and Trading 0 0 0 0 1 1 1 3
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 1 3 3 25
Asset Price Bubbles 0 0 0 0 2 3 4 4
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 0 0 3 25
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 3 5 68 8 12 22 214
Bankruptcy Prediction with Industry Effects 0 1 3 28 5 9 19 104
Banks 0 0 0 0 0 0 2 27
Barings Bank (1995) 0 0 0 4 1 1 3 19
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 0 2 2 2
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 12 13 14 14
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 0 3 4 88
Credit Risk 0 1 2 19 4 5 8 62
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 3 3 4 25
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 7 1 2 2 40
Derivatives 0 0 0 11 1 1 1 30
Derivatives and Risk Management 0 0 4 7 2 3 15 23
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 1 1
Equilibrium 0 0 0 0 0 0 0 0
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 1 1 2 7 2 2 4 37
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 1 5 134 2 4 12 345
Financial Engineering and Swaps 0 0 3 3 1 1 4 5
Firms 0 0 0 1 1 1 1 6
Forwards and Futures 0 0 0 0 0 2 5 6
Forwards and Futures Markets 0 0 0 0 1 2 4 5
Futures Hedging 0 0 1 2 1 1 3 6
Futures Regulations 0 0 0 0 3 5 6 6
Futures Trading 0 0 0 0 0 3 4 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 0 1 1
Individuals 0 0 0 0 0 1 2 5
Interest Rate Swaps 0 1 1 2 1 5 8 10
Interest Rates 0 0 1 1 1 2 4 4
Introduction 0 0 1 2 1 1 3 5
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 1 2 3 20
Liquidity Risk 0 0 0 2 1 2 2 16
Liquidity risk and arbitrage pricing theory 0 0 1 10 1 3 9 74
Long Term Capital Management (1998) 0 0 0 2 1 2 2 8
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 2 4 4 33
Market Informational Efficiency 0 0 0 0 0 0 0 0
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 1 2 44 3 4 8 117
Market Pricing of Deposit Insurance 0 0 0 4 6 6 7 31
Market Risk (Equities, FX, Commodities) 0 0 1 2 2 2 3 17
Market Risk (Interest Rates) 0 0 0 0 0 0 0 5
Metallgesellschaft (1993) 0 0 0 3 1 1 3 17
Multiperiod Binomial HJM Model 0 0 0 0 0 1 3 3
Multiperiod Binomial Model 0 0 0 1 0 2 3 8
Operational Risk 0 0 0 8 1 2 4 43
Option Relations 0 0 0 1 1 4 4 7
Option Trading Strategies 0 0 1 5 0 1 5 12
Options 0 0 0 0 2 2 4 4
Options Markets and Trading 0 0 0 1 2 3 7 9
Orange County (1994) 0 0 0 2 1 1 2 8
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 8 1 3 3 51
Penn Square Bank (1982) 0 0 0 1 1 1 3 14
Portfolio Optimization 0 0 0 0 0 1 1 1
Pricing Derivatives on Financial Securities Subject to Credit Risk 2 4 11 141 4 9 25 373
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 4 5 8 34
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 3 19 2 4 9 74
Pricing foreign currency options under stochastic interest rates 0 0 0 17 4 4 6 69
Primary Assets 0 0 2 3 0 0 3 5
Reduced Form Credit Risk Models 0 0 0 0 3 6 6 6
Risk Management Models 0 0 1 12 0 3 10 49
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 1 1 4 5
Single-Period Binomial Model 0 0 1 1 0 2 5 6
Static Hedging 0 0 0 1 0 0 1 5
Stochastic Processes 0 0 0 0 1 2 2 2
Stocks 0 0 3 3 3 3 6 8
Super- and Sub-Replication 0 0 0 0 1 2 2 2
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 1 9 3 4 6 34
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 7 9
The Cost-of-Carry Model 1 3 3 4 4 7 11 16
The Credit Crisis (2007) 0 0 0 2 0 0 1 7
The Extended Cost-of-Carry Model 0 0 0 1 2 3 4 8
The Fundamental Theorems 0 0 0 0 0 0 0 0
The Heath Jarrow Morton Model 0 0 0 0 3 5 6 6
The Heath–Jarrow–Morton Libor Model 0 0 0 1 3 6 9 12
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 3 6 34 8 14 20 147
The Trading Constrained Market 0 0 0 0 0 1 1 1
Trading Constraints 0 0 0 1 4 5 5 14
Using the Black–Scholes–Merton Model 0 0 0 1 1 1 2 4
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 8 22 81 880 140 245 458 3,083

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Statistics updated 2026-01-09