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 2 2 4 752
High Dimensional Estimation and Multi-Factor Models 0 1 6 9 6 8 19 23
Housing Market Microstructure 1 2 4 65 2 3 7 162
Informational Efficiency under Short Sale Constraints 0 0 2 19 0 0 5 49
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 637 1 2 3 1,927
Is there a bubble in LinkedIn's stock price? 0 0 2 60 3 4 6 207
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 0 325
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 1 730
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 296 0 0 3 1,788
Modeling Credit Risk with Partial Information 0 0 0 34 1 1 5 93
Modeling credit risk with partial information 0 0 0 5 2 7 11 37
Option pricing with random volatilities in complete markets 0 0 0 1 1 1 2 445
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 140 3 3 6 423
Specification Tests of Calibrated Option Pricing Models 0 0 0 45 0 0 2 119
The economic default time and the Arcsine law 0 0 1 33 0 1 2 108
The effect of trading futures on short sale constraints 0 0 0 0 1 1 1 1
Total Working Papers 1 3 15 1,347 22 33 77 7,189


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 1 3 1 4 7 16
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 12 0 1 1 45
A Critique of Revised Basel II 0 0 0 230 2 2 3 524
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 3 8 0 2 10 23
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 5 11 111 2,897
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 153 0 2 5 573
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 2 2 2 44
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 149 1 2 3 265
A characterization theorem for unique risk neutral probability measures 0 0 0 25 1 1 1 101
A comparison of the APT and CAPM a note 0 0 5 1,251 0 0 7 3,228
A generalized coherent risk measure: The firm's perspective 0 0 0 85 1 1 1 179
A leverage ratio rule for capital adequacy 0 0 4 153 3 8 18 464
A liquidity-based model for asset price bubbles 0 0 0 26 0 1 5 63
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 1 1 1 1 2 3 3 3
A simple robust model for Cat bond valuation 0 1 8 180 1 2 16 375
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 27 2 2 3 91
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 2 5 5 2 4 9 17
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 5 7 0 2 25 35
An autoregressive jump process for common stock returns 0 1 4 129 0 1 4 243
An empirical investigation of large trader market manipulation in derivatives markets 0 2 9 11 2 9 31 33
An improved test for statistical arbitrage 0 1 1 71 1 2 6 186
Approximate option valuation for arbitrary stochastic processes 1 1 7 906 5 12 29 1,447
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 1 1 2 204
Asset Price Bubbles 1 2 7 45 3 6 14 99
Asset market equilibrium with liquidity risk 1 2 4 4 2 5 18 22
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 2 4 2 3 10 23
Bank runs and self-insured bank deposits 1 1 2 7 4 4 6 37
Bankruptcy Prediction with Industry Effects 0 1 9 17 2 6 31 59
Bayesian analysis of contingent claim model error 1 1 2 101 4 5 7 260
Beliefs and arbitrage pricing 0 0 0 14 0 0 1 40
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 1 1 5 99 2 5 18 269
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 4 9 27 4,958 14 29 113 10,075
CMBS market efficiency: The crisis and the recovery 1 1 7 9 1 5 27 32
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 9 0 0 2 53
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 92 1 1 5 314
Computing present values: Capital budgeting done correctly 0 1 1 12 0 1 1 39
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 1 2 2 100
Convenience yields 0 1 5 35 1 8 31 118
Credit Risk Models 0 0 9 205 2 3 17 410
Credit Risk Models with Incomplete Information 0 0 0 3 2 2 6 13
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 1 8 122 2 4 14 293
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 2 5 103 2 6 10 258
Delta, gamma and bucket hedging of interest rate derivatives 0 0 3 79 1 2 11 268
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 1 1 1 82 3 5 8 199
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya 0 0 1 4 0 1 9 25
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 4 59 1 3 9 190
Discretely sampled variance and volatility swaps versus their continuous approximations 1 2 3 8 2 5 6 40
Distressed debt prices and recovery rate estimation 0 0 1 85 2 3 4 273
Downside Loss Aversion and Portfolio Management 0 0 1 21 0 2 8 88
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 19 1 1 3 73
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 47 1 3 7 115
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 3 474 1 4 13 1,812
Exploring Mispricing in the Term Structure of CDS Spreads 1 2 3 3 3 6 10 10
FORWARD AND FUTURES PRICES WITH BUBBLES 1 1 1 2 2 2 3 6
Financial crises and economic growth 0 2 5 27 0 5 11 70
Foreign currency bubbles 0 0 0 23 1 4 5 86
Forward Rate Curve Smoothing 0 0 3 6 0 1 5 53
Forward contracts and futures contracts 6 11 16 500 12 21 46 1,166
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 7 1 2 5 45
Hedging contingent claims on semimartingales 0 0 0 176 0 0 0 680
Hedging derivatives with model error 0 0 0 10 0 0 1 41
Hedging in a HJM model 0 0 1 67 0 2 5 179
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 128 2 4 9 317
Housing prices and the optimal time-on-the-market decision 0 0 1 6 0 0 1 43
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World 0 0 0 524 4 8 10 1,626
Information reduction via level crossings in a credit risk model 0 0 1 25 2 2 3 81
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 74 2 2 3 230
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 2 5 0 0 5 20
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 6 227 0 1 14 572
Large traders, hidden arbitrage, and complete markets 0 0 0 50 1 1 1 134
Liquidity risk and arbitrage pricing theory 0 1 1 44 0 2 6 193
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 0 36 3 4 7 125
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 1 3 272
Market Manipulation, Bubbles, Corners, and Short Squeezes 4 5 15 251 9 19 55 583
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 49 2 2 4 140
Market Pricing of Deposit Insurance 0 0 0 71 1 1 4 173
Modeling loan commitments 1 1 3 153 4 6 8 305
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 1 1 48 2 5 7 99
On Model Testing in Financial Economics 0 0 0 16 0 0 1 49
On aggregation and representative agent equilibria 0 2 4 6 0 2 11 20
Operational risk 1 1 6 154 3 6 22 372
Optimal cash holdings under heterogeneous beliefs 0 0 2 3 0 0 5 8
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 0 162
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 48 0 0 0 247
Pricing Derivatives on Financial Securities Subject to Credit Risk 8 22 83 1,341 15 50 193 2,530
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 3 89 0 1 7 174
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 2 188 2 7 11 431
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 9 149 1 6 26 380
Pricing foreign currency options under stochastic interest rates 0 0 0 1,003 2 4 16 1,590
Put Option Premiums and Coherent Risk Measures 0 1 1 49 1 2 2 128
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 0 0 2 4
Reduced-form valuation of callable corporate bonds: Theory and evidence 1 2 4 117 3 4 34 374
Relative asset price bubbles 0 0 3 20 0 1 9 73
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 13 2 2 2 63
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 0 0 3 189
Risky coupon bonds as a portfolio of zero-coupon bonds 0 1 1 70 0 1 1 214
Spanning and completeness in markets with contingent claims 0 1 1 167 0 3 6 279
Specification tests of calibrated option pricing models 0 0 0 5 0 0 3 47
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 5 1 3 5 33
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 3 4 0 0 5 9
Tax liens: a novel application of asset pricing theory 0 0 0 35 0 0 2 113
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 5 347 2 4 13 827
The Economics of Credit Default Swaps 0 0 3 39 0 0 7 124
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 1 3 0 1 5 15
The Liquidity Discount 0 0 2 213 0 0 5 734
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 4 41 2 2 11 158
The Relationship between Yield, Risk and Return of Corporate Bonds 1 1 4 115 2 3 12 502
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 2 2 2 29
The Second Fundamental Theorem of Asset Pricing 0 0 0 13 2 2 2 68
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 0 0 799
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 1 4 435 2 4 15 1,208
The Term Structure of Interest Rates 2 3 7 242 8 22 47 753
The arbitrage-free valuation and hedging of demand deposits and credit card loans 10 19 45 490 14 31 81 910
The cost of operational risk loss insurance 0 0 0 28 0 0 1 81
The economic default time and the arcsine law 0 0 0 1 0 0 1 3
The error learning hypothesis: The evidence reexamined 0 0 0 8 1 1 3 55
The impact of quantitative easing on the US term structure of interest rates 0 0 2 51 0 5 15 170
The intersection of market and credit risk 0 1 15 661 3 6 42 1,184
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 0 0 0 144
The zero-lower bound on interest rates: Myth or reality? 0 0 0 32 1 1 3 81
Understanding the risk of leveraged ETFs 1 3 13 194 4 8 40 453
Total Journal Articles 53 121 452 19,184 213 484 1,615 49,689


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 2 2 2 2 3 5 6 6
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 1 3 1 3 14 37
The Economic Foundations of Risk Management:Theory, Practice, and Applications 1 1 4 21 1 1 9 38
Total Books 3 3 7 26 5 9 29 81


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 19 36 3 6 69 116
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 6 0 2 7 25
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 2 9 19 1 6 16 40
Arbitrage and Trading 2 4 7 7 3 6 10 10
Arbitrage, Continuous Trading, and Margin Requirements 0 0 1 2 1 2 3 14
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 2 2 3 9 7 10 19 44
Bankruptcy Prediction with Industry Effects 1 1 5 11 2 3 12 27
Counterparty Risk and the Pricing of Defaultable Securities 0 0 2 6 1 1 34 47
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 3 0 0 2 10
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 2 0 1 5 16
Derivatives and Risk Management 2 10 15 15 11 34 45 45
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 0 0 0 0 3 8
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 1 15 29 2 7 41 77
Financial Engineering and Swaps 3 4 7 7 4 6 12 12
Forwards and Futures 0 0 0 0 1 1 3 3
Forwards and Futures Markets 2 4 6 6 4 8 10 10
Futures Hedging 2 6 6 6 6 14 15 15
Futures Regulations 2 2 4 4 3 7 11 11
Futures Trading 0 0 0 0 1 1 4 4
Interest Rate Swaps 2 2 2 2 4 6 9 9
Interest Rates 0 0 0 0 1 3 4 4
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 1 1 1 1 3 8
Liquidity risk and arbitrage pricing theory 0 0 1 3 0 3 11 25
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 1 2 0 1 6 16
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 1 10 1 7 12 31
Market Pricing of Deposit Insurance 0 0 1 2 0 1 4 12
Multiperiod Binomial HJM Model 0 0 1 1 1 1 3 3
Multiperiod Binomial Model 0 2 2 2 0 3 5 5
Option Relations 0 0 0 0 2 2 5 5
Option Trading Strategies 2 3 8 8 9 21 33 33
Options 2 3 4 4 2 9 15 15
Options Markets and Trading 1 1 1 1 3 5 8 8
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 3 7 0 0 16 34
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 6 25 38 6 19 97 134
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 1 1 1 2 3 4 15
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 2 3 0 2 9 27
Pricing foreign currency options under stochastic interest rates 0 0 1 2 2 5 8 15
Risk Management Models 13 34 43 43 45 96 122 122
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 0 0 2 2 2 2
Single-Period Binomial Model 0 0 0 0 2 4 4 4
Stocks 0 0 0 0 0 0 3 3
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 4 0 1 1 11
The Black–Scholes–Merton Model 0 3 4 4 0 3 4 4
The Cost-of-Carry Model 0 0 1 1 0 0 1 1
The Extended Cost-of-Carry Model 0 0 1 1 0 0 1 1
The Heath–Jarrow–Morton Libor Model 0 1 5 5 2 8 14 14
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 2 4 7 11 4 6 15 39
Using the Black–Scholes–Merton Model 2 4 5 5 4 14 22 22
Yields and Forward Rates 1 1 2 2 2 3 6 6
Total Chapters 43 104 224 331 145 344 768 1,162


Statistics updated 2019-11-03