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 2 10 760
High Dimensional Estimation, Basis Assets, and Adaptive Multi-Factor Models 0 0 3 11 2 3 25 40
Housing Market Microstructure 0 0 4 67 1 2 13 172
Inferring Financial Bubbles from Option Data 1 6 10 10 4 21 31 31
Informational Efficiency under Short Sale Constraints 0 0 1 20 1 1 3 52
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 637 0 1 10 1,935
Is there a bubble in LinkedIn's stock price? 0 0 1 61 3 5 14 217
Low-volatility Anomaly and the Adaptive Multi-Factor Model 1 1 9 9 3 6 11 11
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 2 3 6 736
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 0 3 328
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 296 2 2 10 1,798
Modeling Credit Risk with Partial Information 0 0 1 35 0 2 5 97
Modeling credit risk with partial information 0 0 0 5 1 2 7 41
Option pricing with random volatilities in complete markets 0 0 0 1 1 2 7 451
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 140 0 2 10 430
Specification Tests of Calibrated Option Pricing Models 0 0 1 46 0 0 4 123
The economic default time and the Arcsine law 0 0 0 33 1 1 4 111
The effect of trading futures on short sale constraints 0 0 0 0 0 0 5 5
Total Working Papers 2 7 30 1,374 21 55 178 7,338


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 2 5 2 4 12 26
A Characterization of Complete Security Markets On A Brownian Filtration1 0 1 1 13 0 1 2 46
A Critique of Revised Basel II 0 0 0 230 0 0 6 528
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 1 7 15 2 3 16 38
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 13 25 73 2,962
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 1 154 0 0 6 577
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 1 4 46
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 1 150 0 0 4 267
A characterization theorem for unique risk neutral probability measures 0 0 0 25 1 1 3 103
A comparison of the APT and CAPM a note 0 0 7 1,258 0 1 13 3,241
A generalized coherent risk measure: The firm's perspective 0 0 0 85 0 0 2 180
A leverage ratio rule for capital adequacy 0 1 3 156 0 4 20 478
A liquidity-based model for asset price bubbles 0 0 0 26 0 0 1 63
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 2 2 1 3 8 8
A simple robust model for Cat bond valuation 1 1 7 187 1 7 26 400
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 27 0 0 4 93
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 1 1 4 8 3 4 10 25
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 1 2 3 10 2 5 12 45
An autoregressive jump process for common stock returns 0 1 3 131 0 2 5 247
An empirical investigation of large trader market manipulation in derivatives markets 0 1 4 14 2 3 23 49
An improved test for statistical arbitrage 0 0 2 73 2 6 14 199
Approximate option valuation for arbitrary stochastic processes 0 1 11 916 1 4 34 1,473
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 0 1 4 207
Asset Price Bubbles 0 1 4 48 3 6 21 116
Asset market equilibrium with liquidity risk 0 0 2 5 1 5 14 32
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 2 6 0 0 9 30
Bank runs and self-insured bank deposits 0 0 1 7 0 3 9 42
Bankruptcy Prediction with Industry Effects 2 3 13 29 3 20 51 106
Bayesian analysis of contingent claim model error 0 1 9 109 0 1 20 275
Beliefs and arbitrage pricing 0 0 2 16 0 0 3 43
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 2 4 5 103 4 9 21 286
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 3 16 40 4,992 8 38 150 10,202
CMBS market efficiency: The crisis and the recovery 0 1 3 11 0 1 10 41
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 9 0 0 2 55
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 0 92 1 1 5 318
Computing present values: Capital budgeting done correctly 0 0 1 12 0 0 3 41
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 27 0 0 6 105
Convenience yields 0 0 1 35 0 0 13 129
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 186 0 4 13 547
Credit Risk Models 2 4 7 212 2 7 20 427
Credit Risk Models with Incomplete Information 0 0 1 4 0 3 7 18
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 5 126 0 1 15 305
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 1 2 4 106 1 3 18 271
Delta, gamma and bucket hedging of interest rate derivatives 1 4 5 84 1 5 12 278
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 1 4 85 1 3 15 210
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya 1 1 1 5 1 3 8 32
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 0 3 62 0 0 10 199
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 2 8 0 0 5 40
Distressed debt prices and recovery rate estimation 0 0 0 85 0 1 4 275
Downside Loss Aversion and Portfolio Management 0 0 2 23 0 2 13 100
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 19 0 0 2 74
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 1 48 0 0 5 118
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 0 3 477 0 1 15 1,825
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 3 0 3 13 18
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 2 0 0 3 7
Fair Microfinance Loan Rates 3 3 5 5 4 5 22 22
Financial crises and economic growth 1 2 4 31 2 5 11 81
Foreign currency bubbles 0 0 0 23 0 0 3 86
Forward Rate Curve Smoothing 1 1 2 8 1 2 7 59
Forward contracts and futures contracts 0 4 35 526 2 9 72 1,220
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 7 1 1 7 50
Hedging contingent claims on semimartingales 0 0 0 176 1 1 2 682
Hedging derivatives with model error 0 0 0 10 0 0 0 41
Hedging in a HJM model 1 1 1 68 1 2 7 184
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 1 3 131 0 1 8 323
Housing prices and the optimal time-on-the-market decision 0 0 0 6 1 4 7 50
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 0 0 15 1,633
Information reduction via level crossings in a credit risk model 0 0 0 25 0 0 3 82
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 75 0 0 10 238
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 1 6 0 0 1 21
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 4 231 1 2 10 581
Large traders, hidden arbitrage, and complete markets 0 1 2 52 0 5 10 143
Liquidity risk and arbitrage pricing theory 0 0 1 44 0 0 8 199
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 1 1 1 37 1 1 5 126
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 0 13 284
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 3 18 265 1 9 47 617
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 49 0 0 2 140
Market Pricing of Deposit Insurance 0 0 1 72 0 1 6 178
Modeling loan commitments 0 0 4 156 1 2 18 319
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 2 49 0 0 5 101
On Model Testing in Financial Economics 0 0 0 16 0 0 1 50
On aggregation and representative agent equilibria 0 0 3 8 0 0 6 25
Operational risk 0 1 10 163 3 8 32 399
Optimal cash holdings under heterogeneous beliefs 0 0 1 4 0 2 7 15
Option Pricing and Implicit Volatilities 0 0 0 0 0 1 1 163
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 0 1 1 1 1
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 48 0 0 1 248
Pricing Derivatives on Financial Securities Subject to Credit Risk 9 22 97 1,425 19 60 236 2,738
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 1 1 90 0 3 8 181
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 1 1 6 194 1 4 18 447
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 2 6 154 1 4 15 390
Pricing foreign currency options under stochastic interest rates 1 2 3 1,006 4 7 19 1,606
Put Option Premiums and Coherent Risk Measures 0 0 0 49 0 2 3 130
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 1 1 2 6
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 4 119 1 3 19 389
Relative asset price bubbles 0 0 1 21 1 6 15 87
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 13 0 1 8 69
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 1 3 192
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 2 71 0 2 7 220
Spanning and completeness in markets with contingent claims 2 4 10 176 2 4 13 290
Specification tests of calibrated option pricing models 0 0 0 5 0 0 4 51
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 5 0 2 6 38
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 1 5 0 3 6 15
Tax liens: a novel application of asset pricing theory 0 0 0 35 0 2 4 117
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 1 4 351 1 4 15 840
The Economics of Credit Default Swaps 1 3 4 43 2 5 13 137
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 1 4 9 9 1 7 24 24
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 1 4 1 5 9 24
The Liquidity Discount 0 0 1 214 0 0 4 738
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 4 45 0 3 12 168
The Relationship between Yield, Risk and Return of Corporate Bonds 0 1 4 118 1 3 13 512
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 0 2 29
The Second Fundamental Theorem of Asset Pricing 0 0 0 13 0 3 7 73
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 0 1 7 806
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 2 436 0 2 19 1,225
The Term Structure of Interest Rates 5 7 20 259 10 26 73 811
The arbitrage-free valuation and hedging of demand deposits and credit card loans 4 15 75 550 9 33 122 1,009
The cost of operational risk loss insurance 0 0 0 28 0 3 6 87
The economic default time and the arcsine law 0 0 0 1 0 0 5 8
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 0 1 55
The impact of quantitative easing on the US term structure of interest rates 0 0 5 56 0 0 18 185
The intersection of market and credit risk 1 2 4 664 3 6 21 1,199
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 0 2 5 149
The zero-lower bound on interest rates: Myth or reality? 0 0 2 34 1 2 9 89
Understanding the risk of leveraged ETFs 0 5 25 216 3 14 56 501
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 0 0 0 2 2 2 2
Total Journal Articles 49 137 571 19,854 142 483 1,994 51,864


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 14 40 40 14 37 98 101
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 1 1 4 1 6 39 73
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 1 4 24 0 2 7 44
Total Books 4 16 45 68 15 45 144 218


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 0 9 43 4 11 47 158
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 6 1 1 4 28
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 2 7 25 2 7 25 61
Arbitrage and Trading 0 0 6 10 0 2 13 18
Arbitrage, Continuous Trading, and Margin Requirements 0 1 1 3 1 2 4 17
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 0 3 8 15 1 9 39 74
Bankruptcy Prediction with Industry Effects 0 0 2 12 2 4 16 40
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 6 0 2 8 54
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 3 0 0 6 16
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 2 0 1 9 24
Derivatives and Risk Management 0 1 18 25 0 9 71 91
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 1 1 1 5 13
FORWARD CONTRACTS AND FUTURES CONTRACTS 3 7 34 63 7 22 80 154
Financial Engineering and Swaps 1 1 8 11 1 2 22 29
Forwards and Futures 0 1 3 3 1 4 20 22
Forwards and Futures Markets 0 0 11 13 2 4 35 38
Futures Hedging 1 2 11 12 3 10 44 46
Futures Regulations 0 0 6 8 0 2 13 21
Futures Trading 0 0 1 1 1 3 10 13
Interest Rate Swaps 1 1 10 10 5 6 29 33
Interest Rates 0 0 1 1 0 1 11 13
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 1 0 0 3 10
Liquidity risk and arbitrage pricing theory 0 0 1 4 1 2 10 35
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 2 1 3 5 21
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 3 6 16 1 3 15 42
Market Pricing of Deposit Insurance 0 1 2 4 0 2 7 18
Multiperiod Binomial HJM Model 1 2 4 5 3 5 31 33
Multiperiod Binomial Model 2 3 7 7 4 9 22 25
Option Relations 0 0 0 0 0 2 4 7
Option Trading Strategies 0 1 20 26 2 8 63 81
Options 0 0 7 8 1 4 23 34
Options Markets and Trading 0 0 4 4 0 2 17 22
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 7 0 0 1 35
Pricing Derivatives on Financial Securities Subject to Credit Risk 4 10 29 64 8 25 90 214
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 1 2 0 0 6 19
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 0 1 4 0 2 6 33
Pricing foreign currency options under stochastic interest rates 2 3 4 6 2 5 16 27
Risk Management Models 1 1 64 82 3 10 206 246
Single-Period Binomial Heath–Jarrow–Morton Model 1 2 3 3 4 6 14 14
Single-Period Binomial Model 0 0 2 2 0 2 22 23
Stocks 0 0 2 2 0 1 7 10
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 4 1 3 3 14
The Black–Scholes–Merton Model 1 3 7 10 1 5 15 18
The Cost-of-Carry Model 0 0 1 2 3 7 45 46
The Extended Cost-of-Carry Model 0 0 1 2 1 3 10 11
The Heath–Jarrow–Morton Libor Model 0 0 6 10 1 1 24 30
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 2 10 17 3 9 40 73
Using the Black–Scholes–Merton Model 0 1 17 19 2 5 49 64
Yields and Forward Rates 0 0 2 3 2 3 10 13
Total Chapters 19 51 338 589 76 230 1,275 2,181


Statistics updated 2020-09-04