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 6 784
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 2 13 2 2 15 43
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 0 1 1 0 1 7 7
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 0 8 2 2 4 25
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 0 2 2 5 12 22
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 1 1 4 74
Housing Market Microstructure 0 0 0 68 1 1 4 186
Inferring Financial Bubbles from Option Data 0 0 2 48 4 7 19 161
Informational Efficiency under Short Sale Constraints 0 0 0 20 3 4 7 64
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 641 2 4 6 1,961
Is there a bubble in LinkedIn's stock price? 0 0 0 65 2 2 6 249
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 4 4 11 343
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 4 4 7 749
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 297 4 4 8 1,813
Modeling Credit Risk with Partial Information 0 0 0 37 1 1 5 115
Modeling credit risk with partial information 0 0 0 5 1 2 8 60
Option pricing with random volatilities in complete markets 0 0 0 1 3 3 6 470
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 1 3 10 452
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 1 3 10 144
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 0 3 5 55
The economic default time and the Arcsine law 0 0 0 34 5 5 15 144
The effect of trading futures on short sale constraints 0 0 0 2 3 3 10 32
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 1 1 3 15
Total Working Papers 0 0 5 1,485 49 67 188 7,968

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 2 2 13 48
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 6 6 7 54
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 0 6 17 17 2 12 37 37
A Critique of Revised Basel II 0 0 0 232 1 2 6 546
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 1 2 2 31 5 7 19 103
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 16 33 95 3,416
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 1 1 4 595
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 0 1 2 56
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 4 4 6 286
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 0 3 10 18
A characterization theorem for unique risk neutral probability measures 0 0 0 27 1 1 8 114
A comparison of the APT and CAPM a note 0 0 1 1,274 1 1 5 3,266
A generalized coherent risk measure: The firm's perspective 0 0 0 85 0 1 5 188
A leverage ratio rule for capital adequacy 0 0 0 173 2 2 10 539
A liquidity-based model for asset price bubbles 0 0 0 31 4 6 11 87
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 2 4 13 33
A robust test of Merton's structural model for credit risk 0 0 3 4 1 1 9 13
A simple robust model for Cat bond valuation 0 2 5 241 4 10 38 528
A study on asset price bubble dynamics: explosive trend or quadratic variation? 1 1 2 2 2 2 9 10
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 1 4 40 5 8 34 161
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 0 4 21 0 2 11 50
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading 0 0 0 13 0 0 0 40
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles 0 0 0 18 5 10 19 93
An autoregressive jump process for common stock returns 0 0 0 141 3 4 8 273
An empirical investigation of large trader market manipulation in derivatives markets 0 2 4 39 3 8 21 129
An explosion time characterization of asset price bubbles 0 0 1 2 1 1 6 10
An improved test for statistical arbitrage 0 0 1 81 0 3 10 227
Approximate option valuation for arbitrary stochastic processes 1 4 6 974 2 10 25 1,624
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 3 3 11 222
Arbitrage, martingales, and private monetary value 0 0 0 0 2 2 9 10
Asset Price Bubbles 0 0 3 87 2 8 20 213
Asset market equilibrium with liquidity risk 0 0 0 10 0 2 8 65
Asset price bubbles and risk management 0 0 1 1 0 0 4 4
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 0 11 2 3 7 46
Bank runs and self-insured bank deposits 0 0 1 11 1 2 9 74
Bankruptcy Prediction with Industry Effects 3 6 19 120 12 23 73 446
Bayesian analysis of contingent claim model error 0 0 0 114 0 0 5 305
Beliefs and arbitrage pricing 0 1 1 17 1 2 4 48
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 122 5 8 14 359
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 4 12 24 5,210 24 46 112 10,965
CMBS market efficiency: The crisis and the recovery 0 0 2 24 5 7 21 97
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 2 2 8 75
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 0 4 100 1 5 14 349
Computing present values: Capital budgeting done correctly 0 0 0 13 2 2 8 56
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 1 2 29 33
Concavity, stochastic utility, and risk aversion 0 0 0 4 2 3 11 32
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 1 7 12 124
Convenience yields 0 0 1 42 2 3 12 160
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 203 1 3 11 606
Credit Risk Models 0 0 4 261 1 4 13 526
Credit Risk, Liquidity, and Bubbles 0 0 0 8 1 1 4 28
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 1 150 2 7 16 393
Credit rating accuracy and incentives 0 0 1 1 0 1 6 6
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 1 113 1 1 13 308
Default Parameter Estimation Using Market Prices 0 0 0 1 0 0 4 5
Delta, gamma and bucket hedging of interest rate derivatives 0 0 1 105 2 5 12 364
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 99 2 3 13 269
Designing catastrophic bonds for catastrophic risks in agriculture 0 1 2 17 1 3 19 71
Digital assets, bubbles, and derivative prices 0 0 0 0 1 2 5 5
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 0 1 1 79 4 8 19 262
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 5 5 8 56
Distressed debt prices and recovery rate estimation 0 0 0 92 0 0 7 308
Downside Loss Aversion and Portfolio Management 0 0 0 28 7 10 16 140
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 1 2 12 97
Endogenous liquidity risk and dealer market structure 0 0 0 2 4 5 6 14
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 5 5 7 7
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 0 3 13 138
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 0 1 2 488 2 4 12 1,866
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 10 2 2 9 53
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 0 15 24 5 8 40 54
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 0 7 5 5 10 29
Fair Microfinance Loan Rates 0 0 0 10 2 2 6 59
Financial crises and economic growth 0 0 0 38 2 4 10 112
Foreign currency bubbles 0 0 0 23 1 2 11 101
Forward Rate Curve Smoothing 0 1 7 33 4 6 19 125
Forward contracts and futures contracts 0 0 6 615 2 5 53 1,449
Funding shortages, expectations, and forward rate risk premium 0 0 2 2 3 7 14 19
Futures contract collateralization and its implications 0 0 1 2 3 10 25 31
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 2 2 14 76
Hedging contingent claims on semimartingales 0 0 0 176 2 3 7 696
Hedging derivatives with model error 0 1 1 11 1 4 6 51
Hedging in a HJM model 0 0 0 71 3 3 6 199
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 143 2 2 10 358
High frequency trading and standard asset pricing models 0 0 0 9 2 6 12 29
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 5 6 19 66
Housing prices and the optimal time-on-the-market decision 0 0 0 8 1 1 4 63
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 0 3 20 1,670
Index Design: Hedging and Manipulation 0 0 0 2 3 11 18 30
Inferring financial bubbles from option data 0 1 2 12 3 5 14 46
Inflation-Adjusted Bonds, Swaps, and Derivatives 1 6 10 11 2 17 28 35
Information reduction via level crossings in a credit risk model 0 0 0 26 0 0 2 90
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 4 6 27 279
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 0 3 14 3 4 17 46
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 1 1 2 12 1 4 15 53
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 245 5 5 29 644
Large traders, hidden arbitrage, and complete markets 0 0 0 57 2 6 12 171
Liquidity risk and arbitrage pricing theory 1 1 1 57 1 4 18 257
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 42 1 3 13 151
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 0 1 13 340
Market Manipulation, Bubbles, Corners, and Short Squeezes 1 2 8 349 3 9 23 845
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 1 1 1 56 3 5 12 171
Market Pricing of Deposit Insurance 0 0 0 78 1 4 9 202
Media trading groups and short selling manipulation 0 0 0 1 1 1 5 12
Modeling loan commitments 0 0 0 187 1 2 6 381
No arbitrage for a special class of filtration expansions 0 1 5 5 3 4 23 24
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 1 2 57 3 4 10 122
On Model Testing in Financial Economics 0 0 0 17 1 3 6 60
On aggregation and representative agent equilibria 0 0 1 14 2 3 11 49
Operational risk 1 2 7 236 5 11 32 604
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 0 0 4 21
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 2 172
Option Pricing in an Incomplete Market 0 0 4 5 9 11 29 32
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 0 1 3 18
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 1 4 263
Pricing Derivatives on Financial Securities Subject to Credit Risk 5 12 41 1,764 21 46 131 3,610
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 1 1 9 211
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 3 5 8 481
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 2 5 11 204 5 12 27 516
Pricing foreign currency options under stochastic interest rates 0 1 4 1,026 0 4 20 1,682
Put Option Premiums and Coherent Risk Measures 0 0 0 54 1 2 5 151
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 2 4 7 16
Reduced-form valuation of callable corporate bonds: Theory and evidence 2 4 7 144 7 20 37 487
Relative asset price bubbles 0 1 1 27 3 5 12 122
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 15 4 9 19 97
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 1 4 6 208
Risk measures and the impact of asset price bubbles 1 1 2 2 7 7 20 20
Risk premia, asset price bubbles, and monetary policy 1 1 1 10 1 2 11 36
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 0 80 1 1 10 265
Risk‐neutral pricing techniques and examples 0 0 0 6 0 3 12 41
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 1 7 2 7 16 30
Spanning and completeness in markets with contingent claims 1 2 3 246 4 6 15 427
Specification tests of calibrated option pricing models 0 0 0 6 0 2 7 63
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 1 1 3 48
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 1 2 3 1 16 23 27
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 3 8 21 63
Tax liens: a novel application of asset pricing theory 0 0 0 36 0 1 5 134
Testing for Asset Price Bubbles Using Options Data 0 2 2 2 2 7 15 15
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 0 370 1 5 19 930
The Economics of Credit Default Swaps 0 1 1 66 2 6 10 202
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 3 3 9 33
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 0 2 43 5 7 24 130
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 2 15 3 6 11 67
The Liquidity Discount 0 1 3 225 2 5 17 790
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 48 1 2 7 193
The Relationship between Yield, Risk and Return of Corporate Bonds 0 0 2 139 3 4 11 566
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 2 2 6 40
The Second Fundamental Theorem of Asset Pricing 0 0 1 16 2 4 8 91
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 1 5 16 839
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 2 5 462 5 11 28 1,334
The Term Structure of Interest Rates 0 2 5 319 8 17 39 982
The Treasury — SOFR Swap Spread Puzzle Explained 2 2 2 2 15 15 15 15
The Valuation of Corporate Coupon Bonds 1 1 2 2 6 9 33 33
The arbitrage-free valuation and hedging of demand deposits and credit card loans 1 6 13 767 5 16 48 1,460
The cost of operational risk loss insurance 0 0 0 28 0 0 8 107
The economic default time and the arcsine law 0 0 0 3 2 3 9 41
The error learning hypothesis: The evidence reexamined 0 0 0 8 3 3 4 64
The impact of quantitative easing on the US term structure of interest rates 0 0 2 72 4 6 19 247
The intersection of market and credit risk 1 1 5 719 3 6 24 1,331
The no-arbitrage pricing of non-traded assets 0 1 1 7 2 3 11 21
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 1 2 13 172
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 1 1 7 111
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 1 3 18 26
Understanding the risk of leveraged ETFs 1 2 12 281 1 5 37 637
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 0 2 30 2 6 16 98
Total Journal Articles 35 107 343 22,493 439 881 2,634 61,364
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 2 19 39 5 23 82 142
Continuous-Time Asset Pricing Theory 0 0 0 0 3 6 14 14
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 1 12 5 8 26 184
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 2 47 3 5 15 126
Total Books 1 2 22 98 16 42 137 466

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 3 5 11 119 6 15 35 319
A Representative Trader Economy 0 0 0 0 2 2 5 5
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 3 15 3 6 25 73
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 1 2 3 63 1 4 14 164
Arbitrage Pricing Theory 0 0 0 0 2 2 5 5
Arbitrage and Trading 0 0 0 0 2 2 4 6
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 1 1 5 27
Asset Price Bubbles 0 0 0 0 3 11 21 21
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 4 5 10 33
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 1 4 8 72 6 16 47 242
Bankruptcy Prediction with Industry Effects 0 1 4 30 2 12 39 129
Banks 0 0 0 0 1 1 1 28
Barings Bank (1995) 0 0 0 4 2 3 8 24
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 3 4 5 5
Characterizing the Equilibrium 0 0 0 0 0 2 4 4
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 5 5 10 10
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 1 2 17 17
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 0 1 8 92
Credit Risk 0 0 2 19 5 8 20 74
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 3 4 10 31
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 7 0 0 4 42
Derivatives 0 0 0 11 0 2 5 34
Derivatives and Risk Management 0 0 3 8 2 3 17 28
Diversification 0 0 0 3 2 2 2 8
Dynamic Hedging 0 0 0 4 1 1 3 12
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 1 3 8 8
Equilibrium 0 0 0 0 2 2 2 2
Equilibrium 0 0 0 0 1 3 5 5
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 0 1 7 5 9 16 50
FORWARD CONTRACTS AND FUTURES CONTRACTS 0 2 4 137 4 9 20 359
Financial Engineering and Swaps 0 0 2 3 1 2 6 8
Firms 0 0 0 1 0 2 5 10
Forwards and Futures 0 0 0 0 5 6 13 14
Forwards and Futures Markets 0 0 0 0 3 3 8 10
Futures Hedging 0 0 0 2 4 6 10 14
Futures Regulations 0 0 0 0 3 5 13 13
Futures Trading 0 0 0 0 2 3 8 11
Incomplete Markets 0 0 0 0 3 4 8 8
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 0 0 2 2
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 1 2 5 5
Individuals 0 0 0 0 1 1 4 8
Interest Rate Swaps 0 0 1 2 2 9 17 21
Interest Rates 0 0 1 1 1 3 11 11
Introduction 0 0 0 2 4 4 6 9
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 0 0 6 24
Liquidity Risk 0 0 0 2 1 2 7 21
Liquidity risk and arbitrage pricing theory 0 0 1 10 6 9 22 89
Long Term Capital Management (1998) 0 0 0 2 0 1 3 9
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 2 5 11 40
Market Informational Efficiency 0 0 0 0 6 7 10 10
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 0 2 44 3 4 15 126
Market Pricing of Deposit Insurance 0 0 0 4 2 3 11 35
Market Risk (Equities, FX, Commodities) 0 0 0 2 1 2 6 21
Market Risk (Interest Rates) 0 0 0 0 0 0 1 6
Metallgesellschaft (1993) 0 0 0 3 0 0 2 17
Multiperiod Binomial HJM Model 0 0 0 0 1 1 6 6
Multiperiod Binomial Model 0 0 0 1 1 1 3 9
Operational Risk 0 0 0 8 3 4 8 48
Option Relations 0 0 0 1 2 2 7 10
Option Trading Strategies 0 0 0 5 3 5 7 17
Options 0 0 0 0 3 3 6 8
Options Markets and Trading 0 0 0 1 1 1 13 17
Orange County (1994) 0 0 0 2 2 3 8 14
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 1 1 9 2 4 7 55
Penn Square Bank (1982) 0 0 0 1 2 3 4 17
Portfolio Optimization 0 0 0 0 3 4 5 5
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 3 11 144 8 20 58 415
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 5 6 17 43
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 0 1 2 20 3 9 17 85
Pricing foreign currency options under stochastic interest rates 0 0 0 17 2 5 11 74
Primary Assets 0 0 1 3 0 2 6 9
Reduced Form Credit Risk Models 0 0 0 0 7 25 39 39
Risk Management Models 0 0 0 12 0 0 6 51
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 0 0 4 7
Single-Period Binomial Model 0 0 0 1 2 3 6 10
Static Hedging 0 0 0 1 0 0 2 6
Stochastic Processes 0 0 0 0 0 4 7 7
Stocks 0 0 2 3 5 7 14 17
Super- and Sub-Replication 0 0 0 0 5 5 8 8
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 9 1 1 7 36
The Auxiliary Markets 0 0 0 0 0 1 2 2
The Black Scholes Merton Model 0 0 0 0 2 3 3 3
The Black–Scholes–Merton Model 0 1 1 1 4 11 22 24
The Cost-of-Carry Model 0 0 3 4 4 5 20 26
The Credit Crisis (2007) 0 0 0 2 0 0 2 8
The Extended Cost-of-Carry Model 0 0 0 1 3 4 9 13
The Fundamental Theorems 0 0 0 0 0 1 2 2
The Heath Jarrow Morton Model 0 0 0 0 1 7 15 15
The Heath–Jarrow–Morton Libor Model 0 0 0 1 0 2 12 16
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 7 35 5 10 32 159
The Trading Constrained Market 0 0 0 0 2 3 4 4
Trading Constraints 0 0 0 1 1 1 7 16
Using the Black–Scholes–Merton Model 0 1 1 2 0 1 5 7
Utility Functions 0 0 0 0 2 6 8 8
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 1 1 1 3 6 8 11 13
Total Chapters 7 23 77 909 212 404 1,015 3,733

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Statistics updated 2026-05-06