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 4 6 782
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk 0 0 2 13 0 4 15 41
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective 0 1 1 1 1 7 7 7
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples 0 0 1 8 0 2 6 23
Filtration Reduction and Completeness in Jump-Diffusion Models 0 0 0 2 1 7 9 18
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 23 0 0 3 73
Housing Market Microstructure 0 0 0 68 0 2 4 185
Inferring Financial Bubbles from Option Data 0 0 3 48 2 7 16 156
Informational Efficiency under Short Sale Constraints 0 0 0 20 1 3 4 61
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 641 0 1 3 1,957
Is there a bubble in LinkedIn's stock price? 0 0 0 65 0 3 4 247
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 5 7 339
Model Error in Contingent Claim Models (Dynamic Evaluation) 0 0 0 1 0 2 5 745
Model Error in Contingent Claim Models Dynamic Evaluation 0 0 0 297 0 3 4 1,809
Modeling Credit Risk with Partial Information 0 0 0 37 0 4 5 114
Modeling credit risk with partial information 0 0 0 5 0 5 6 58
Option pricing with random volatilities in complete markets 0 0 0 1 0 2 4 467
Restructuring Risk in Credit Default Swaps: An Empirical Analysis 0 0 0 141 2 6 9 451
Specification Tests of Calibrated Option Pricing Models 0 0 0 50 1 6 8 142
The Low-volatility Anomaly and the Adaptive Multi-Factor Model 0 0 0 20 2 3 4 54
The economic default time and the Arcsine law 0 0 0 34 0 5 11 139
The effect of trading futures on short sale constraints 0 0 0 2 0 4 7 29
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 6 0 1 2 14
Total Working Papers 0 1 7 1,485 10 86 149 7,911

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 0 6 11 46
A Characterization of Complete Security Markets On A Brownian Filtration1 0 0 0 14 0 1 1 48
A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 5 6 16 16 7 14 32 32
A Critique of Revised Basel II 0 0 0 232 0 1 4 544
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 0 0 0 29 1 6 13 97
A Markov Model for the Term Structure of Credit Risk Spreads 0 0 0 6 7 38 73 3,390
A Model of the Convenience Yields in On-the-Run Treasuries 0 0 0 158 0 2 3 594
A Reduced‐Form Model for Warrant Valuation 0 0 0 0 1 1 2 56
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 0 0 0 156 0 2 2 282
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital 0 0 0 2 1 3 9 16
A characterization theorem for unique risk neutral probability measures 0 0 0 27 0 4 7 113
A comparison of the APT and CAPM a note 0 0 1 1,274 0 2 4 3,265
A generalized coherent risk measure: The firm's perspective 0 0 0 85 1 4 5 188
A leverage ratio rule for capital adequacy 0 0 0 173 0 4 8 537
A liquidity-based model for asset price bubbles 0 0 0 31 0 4 7 81
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory 0 0 0 6 2 9 11 31
A robust test of Merton's structural model for credit risk 0 0 3 4 0 3 9 12
A simple robust model for Cat bond valuation 1 1 6 240 4 15 36 522
A study on asset price bubble dynamics: explosive trend or quadratic variation? 0 0 1 1 0 3 7 8
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 2 3 39 3 21 30 156
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 0 2 4 21 1 5 13 49
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 2 9 11 85
An autoregressive jump process for common stock returns 0 0 0 141 0 4 4 269
An empirical investigation of large trader market manipulation in derivatives markets 2 2 5 39 5 9 20 126
An explosion time characterization of asset price bubbles 0 0 1 2 0 2 5 9
An improved test for statistical arbitrage 0 0 1 81 1 5 8 225
Approximate option valuation for arbitrary stochastic processes 2 2 7 972 5 14 24 1,619
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 44 0 6 8 219
Arbitrage, martingales, and private monetary value 0 0 0 0 0 4 8 8
Asset Price Bubbles 0 1 3 87 6 12 18 211
Asset market equilibrium with liquidity risk 0 0 0 10 0 5 7 63
Asset price bubbles and risk management 0 0 1 1 0 2 4 4
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS 0 0 1 11 1 5 6 44
Bank runs and self-insured bank deposits 0 1 1 11 1 5 8 73
Bankruptcy Prediction with Industry Effects 0 4 17 114 3 19 66 426
Bayesian analysis of contingent claim model error 0 0 1 114 0 3 9 305
Beliefs and arbitrage pricing 0 0 0 16 0 2 2 46
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation 0 0 0 122 1 4 7 352
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 5 8 19 5,203 12 34 85 10,931
CMBS market efficiency: The crisis and the recovery 0 0 4 24 2 6 20 92
Capital adequacy rules, catastrophic firm failure, and systemic risk 0 0 0 11 0 4 7 73
Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information 0 3 4 100 2 9 11 346
Computing present values: Capital budgeting done correctly 0 0 0 13 0 3 6 54
Computing the probability of a financial market failure: a new measure of systemic risk 0 0 0 0 1 8 29 32
Concavity, stochastic utility, and risk aversion 0 0 0 4 0 5 8 29
Consensus Beliefs Equilibrium and Market Efficiency 0 0 0 28 4 8 9 121
Convenience yields 0 0 1 42 1 8 10 158
Counterparty Risk and the Pricing of Defaultable Securities 0 0 1 203 2 8 11 605
Credit Risk Models 0 1 5 261 1 5 12 523
Credit Risk, Liquidity, and Bubbles 0 0 0 8 0 1 3 27
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate 0 0 1 150 1 5 11 387
Credit rating accuracy and incentives 0 1 1 1 0 4 5 5
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 1 1 113 0 8 12 307
Default Parameter Estimation Using Market Prices 0 0 0 1 0 4 4 5
Delta, gamma and bucket hedging of interest rate derivatives 0 0 1 105 1 6 8 360
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 3 99 1 5 12 267
Designing catastrophic bonds for catastrophic risks in agriculture 1 1 2 17 2 15 19 70
Digital assets, bubbles, and derivative prices 0 0 0 0 1 3 4 4
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory 1 1 2 79 1 9 14 255
Discretely sampled variance and volatility swaps versus their continuous approximations 0 0 0 10 0 2 4 51
Distressed debt prices and recovery rate estimation 0 0 1 92 0 5 8 308
Downside Loss Aversion and Portfolio Management 0 0 0 28 0 3 6 130
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS 0 0 0 20 1 7 12 96
Endogenous liquidity risk and dealer market structure 0 0 0 2 0 1 1 9
Estimating expected losses and liquidity discounts implicit in debt prices 0 0 0 0 0 1 2 2
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model 0 0 0 48 2 9 14 137
Ex-dividend Stock Price Behavior and Arbitrage Opportunities 1 1 2 488 2 6 11 1,864
Exploring Mispricing in the Term Structure of CDS Spreads 0 0 1 10 0 5 7 51
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 0 3 20 24 2 11 42 48
FORWARD AND FUTURES PRICES WITH BUBBLES 0 0 1 7 0 3 6 24
Fair Microfinance Loan Rates 0 0 0 10 0 4 6 57
Financial crises and economic growth 0 0 0 38 2 6 8 110
Foreign currency bubbles 0 0 0 23 1 7 10 100
Forward Rate Curve Smoothing 0 1 8 32 1 6 17 120
Forward contracts and futures contracts 0 2 10 615 0 30 59 1,444
Funding shortages, expectations, and forward rate risk premium 0 0 2 2 3 5 10 15
Futures contract collateralization and its implications 0 0 1 2 3 12 18 24
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices 0 0 0 9 0 9 12 74
Hedging contingent claims on semimartingales 0 0 0 176 1 4 5 694
Hedging derivatives with model error 0 0 0 10 0 2 2 47
Hedging in a HJM model 0 0 0 71 0 2 3 196
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices 0 0 2 143 0 3 8 356
High frequency trading and standard asset pricing models 0 0 0 9 2 5 8 25
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model 0 0 0 8 1 6 14 61
Housing prices and the optimal time-on-the-market decision 0 0 0 8 0 2 3 62
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 1 9 18 1,668
Index Design: Hedging and Manipulation 0 0 0 2 3 7 10 22
Inferring financial bubbles from option data 1 1 3 12 1 5 11 42
Inflation-Adjusted Bonds, Swaps, and Derivatives 3 4 8 8 11 16 24 29
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 2 21 23 275
Interest rate swaps: a comparison of compounded daily versus discrete reference rates 0 1 3 14 1 8 14 43
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? 0 0 2 11 2 9 14 51
Jump Risks and the Intertemporal Capital Asset Pricing Model 0 0 0 245 0 15 24 639
Large traders, hidden arbitrage, and complete markets 0 0 0 57 2 6 9 167
Liquidity risk and arbitrage pricing theory 0 0 0 56 2 9 17 255
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL 0 0 1 42 1 6 12 149
Market Manipulation and Corporate Finance: A New Perspective 0 0 0 0 1 10 16 340
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 3 6 347 1 5 16 837
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market 0 0 0 55 2 7 9 168
Market Pricing of Deposit Insurance 0 0 1 78 2 6 8 200
Media trading groups and short selling manipulation 0 0 0 1 0 3 4 11
Modeling loan commitments 0 0 1 187 1 2 7 380
No arbitrage for a special class of filtration expansions 0 1 4 4 0 11 20 20
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 0 0 1 56 0 3 6 118
On Model Testing in Financial Economics 0 0 0 17 0 2 3 57
On aggregation and representative agent equilibria 0 0 1 14 0 4 9 46
Operational risk 0 1 5 234 3 9 24 596
Optimal cash holdings under heterogeneous beliefs 0 0 0 5 0 4 4 21
Option Pricing and Implicit Volatilities 0 0 0 0 0 0 2 172
Option Pricing in an Incomplete Market 0 0 5 5 1 8 21 22
Portfolio balance effects and the Federal Reserve’s large-scale asset purchases 0 0 0 5 1 3 3 18
Preferences, Continuity, and the Arbitrage Pricing Theory 0 0 0 51 0 0 3 262
Pricing Derivatives on Financial Securities Subject to Credit Risk 4 14 38 1,756 12 36 109 3,576
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 0 0 0 92 0 4 8 210
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 201 1 3 4 477
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 3 8 200 4 8 22 508
Pricing foreign currency options under stochastic interest rates 1 3 4 1,026 3 11 19 1,681
Put Option Premiums and Coherent Risk Measures 0 0 0 54 1 3 4 150
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS 0 0 0 0 1 4 4 13
Reduced-form valuation of callable corporate bonds: Theory and evidence 2 3 6 142 9 15 27 476
Relative asset price bubbles 1 1 1 27 1 6 8 118
Restructuring risk in credit default swaps: An empirical analysis 0 0 0 15 4 11 15 92
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? 0 0 0 0 3 4 5 207
Risk measures and the impact of asset price bubbles 0 0 1 1 0 12 13 13
Risk premia, asset price bubbles, and monetary policy 0 0 0 9 0 3 9 34
Risky coupon bonds as a portfolio of zero-coupon bonds 0 0 1 80 0 3 10 264
Risk‐neutral pricing techniques and examples 0 0 0 6 1 6 11 39
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates 0 0 1 7 4 9 15 27
Spanning and completeness in markets with contingent claims 1 1 5 245 2 4 16 423
Specification tests of calibrated option pricing models 0 0 0 6 1 4 6 62
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS 0 0 0 6 0 2 2 47
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL 0 0 1 2 9 10 16 20
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING 0 0 0 7 1 11 14 56
Tax liens: a novel application of asset pricing theory 0 0 0 36 0 2 5 133
Testing for Asset Price Bubbles Using Options Data 1 1 1 1 3 11 11 11
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies 0 0 0 370 4 15 20 929
The Economics of Credit Default Swaps 0 0 2 65 1 5 9 197
The Economics of Insurance: A Derivatives-Based Approach 0 0 0 5 0 3 6 30
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions 0 1 4 43 1 13 21 124
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates 0 0 2 15 0 2 5 61
The Liquidity Discount 1 1 3 225 3 7 15 788
The Relationship between Arbitrage and First Order Stochastic Dominance 0 0 0 48 0 2 5 191
The Relationship between Yield, Risk and Return of Corporate Bonds 0 1 2 139 0 5 8 562
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests 0 0 0 1 0 2 4 38
The Second Fundamental Theorem of Asset Pricing 0 0 1 16 1 4 5 88
The Second Fundamental Theorem of Asset Pricing: A New Approach 0 0 0 2 3 12 14 837
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 4 460 2 10 24 1,325
The Term Structure of Interest Rates 1 1 6 318 3 12 29 968
The Valuation of Corporate Coupon Bonds 0 0 1 1 1 17 25 25
The arbitrage-free valuation and hedging of demand deposits and credit card loans 3 4 17 764 5 15 48 1,449
The cost of operational risk loss insurance 0 0 0 28 0 5 9 107
The economic default time and the arcsine law 0 0 0 3 1 6 8 39
The error learning hypothesis: The evidence reexamined 0 0 0 8 0 1 1 61
The impact of quantitative easing on the US term structure of interest rates 0 0 2 72 1 7 15 242
The intersection of market and credit risk 0 1 6 718 3 14 26 1,328
The no-arbitrage pricing of non-traded assets 1 1 1 7 1 3 9 19
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective 0 0 0 48 1 6 12 171
The zero-lower bound on interest rates: Myth or reality? 0 0 0 39 0 4 6 110
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model 0 0 0 2 0 11 15 23
Understanding the risk of leveraged ETFs 0 2 10 279 3 15 35 635
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market 0 0 2 30 2 7 12 94
Total Journal Articles 39 94 339 22,425 240 1,145 2,170 60,723
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 7 22 38 12 44 86 131
Continuous-Time Asset Pricing Theory 0 0 0 0 3 6 11 11
Financial Derivatives Pricing:Selected Works of Robert Jarrow 0 0 1 12 2 12 20 178
The Economic Foundations of Risk Management:Theory, Practice, and Applications 0 0 2 47 0 7 10 121
Total Books 1 7 25 97 17 69 127 441

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 2 6 114 2 10 22 306
A Representative Trader Economy 0 0 0 0 0 3 3 3
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 3 15 2 16 21 69
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES 0 1 2 61 2 8 13 162
Arbitrage Pricing Theory 0 0 0 0 0 3 3 3
Arbitrage and Trading 0 0 0 0 0 2 2 4
Arbitrage, Continuous Trading, and Margin Requirements 0 0 0 3 0 2 4 26
Asset Price Bubbles 0 0 0 0 6 14 16 16
Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies 0 0 0 11 0 3 5 28
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 1 1 5 69 4 24 36 230
Bankruptcy Prediction with Industry Effects 0 1 4 29 6 24 35 123
Banks 0 0 0 0 0 0 0 27
Barings Bank (1995) 0 0 0 4 0 3 5 21
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk 0 0 0 0 0 0 1 1
Characterizing the Equilibrium 0 0 0 0 0 1 2 2
Complete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 3 5 5
Correction to: Continuous-Time Asset Pricing Theory 0 0 0 0 0 13 15 15
Counterparty Risk and the Pricing of Defaultable Securities 0 0 0 12 1 4 8 92
Credit Risk 0 0 2 19 2 10 14 68
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 0 0 0 5 1 6 7 28
Derivative Security Markets, Market Manipulation, and Option Pricing Theory 0 0 0 7 0 3 4 42
Derivatives 0 0 0 11 0 3 3 32
Derivatives and Risk Management 0 1 4 8 1 5 17 26
Diversification 0 0 0 3 0 0 0 6
Dynamic Hedging 0 0 0 4 0 2 2 11
Epilogue (The Fundamental Theorems and the CAPM) 0 0 0 0 1 5 6 6
Equilibrium 0 0 0 0 0 1 2 2
Equilibrium 0 0 0 0 0 0 0 0
Ex-Dividend Stock Price Behavior and Arbitrage Opportunities 0 1 2 7 1 7 9 42
FORWARD CONTRACTS AND FUTURES CONTRACTS 1 3 5 136 3 10 17 353
Financial Engineering and Swaps 0 0 3 3 0 2 5 6
Firms 0 0 0 1 2 5 5 10
Forwards and Futures 0 0 0 0 0 2 7 8
Forwards and Futures Markets 0 0 0 0 0 3 6 7
Futures Hedging 0 0 1 2 1 4 6 9
Futures Regulations 0 0 0 0 2 7 10 10
Futures Trading 0 0 0 0 1 3 6 9
Incomplete Markets 0 0 0 0 0 4 4 4
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) 0 0 0 0 0 2 2 2
Incomplete Markets (Utility Over Terminal Wealth) 0 0 0 0 0 2 3 3
Individuals 0 0 0 0 0 2 3 7
Interest Rate Swaps 0 0 1 2 2 5 12 14
Interest Rates 0 0 1 1 0 5 8 8
Introduction 0 0 0 2 0 1 2 5
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 0 0 0 4 0 5 7 24
Liquidity Risk 0 0 0 2 1 5 6 20
Liquidity risk and arbitrage pricing theory 0 0 1 10 2 9 16 82
Long Term Capital Management (1998) 0 0 0 2 0 1 2 8
MODELING CREDIT RISK WITH PARTIAL INFORMATION 0 0 0 3 3 7 9 38
Market Informational Efficiency 0 0 0 0 0 3 3 3
Market Manipulation, Bubbles, Corners, and Short Squeezes 0 1 2 44 1 9 12 123
Market Pricing of Deposit Insurance 0 0 0 4 1 8 9 33
Market Risk (Equities, FX, Commodities) 0 0 0 2 1 5 5 20
Market Risk (Interest Rates) 0 0 0 0 0 1 1 6
Metallgesellschaft (1993) 0 0 0 3 0 1 2 17
Multiperiod Binomial HJM Model 0 0 0 0 0 2 5 5
Multiperiod Binomial Model 0 0 0 1 0 0 2 8
Operational Risk 0 0 0 8 0 2 5 44
Option Relations 0 0 0 1 0 2 5 8
Option Trading Strategies 0 0 1 5 0 0 5 12
Options 0 0 0 0 0 3 3 5
Options Markets and Trading 0 0 0 1 0 9 13 16
Orange County (1994) 0 0 0 2 0 4 5 11
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 0 0 0 8 1 2 4 52
Penn Square Bank (1982) 0 0 0 1 0 1 3 14
Portfolio Optimization 0 0 0 0 0 0 1 1
Pricing Derivatives on Financial Securities Subject to Credit Risk 1 3 10 142 6 32 48 401
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 0 0 0 3 1 8 12 38
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model 1 1 3 20 2 6 11 78
Pricing foreign currency options under stochastic interest rates 0 0 0 17 2 6 8 71
Primary Assets 0 0 1 3 1 3 5 8
Reduced Form Credit Risk Models 0 0 0 0 8 19 22 22
Risk Management Models 0 0 0 12 0 2 8 51
Single-Period Binomial Heath–Jarrow–Morton Model 0 0 1 1 0 3 5 7
Single-Period Binomial Model 0 0 0 1 1 2 5 8
Static Hedging 0 0 0 1 0 1 2 6
Stochastic Processes 0 0 0 0 1 3 4 4
Stocks 0 0 3 3 0 5 8 10
Super- and Sub-Replication 0 0 0 0 0 2 3 3
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES 0 0 0 9 0 4 6 35
The Auxiliary Markets 0 0 0 0 0 1 1 1
The Black Scholes Merton Model 0 0 0 0 0 0 0 0
The Black–Scholes–Merton Model 0 0 0 0 2 7 13 15
The Cost-of-Carry Model 0 1 3 4 0 9 16 21
The Credit Crisis (2007) 0 0 0 2 0 1 2 8
The Extended Cost-of-Carry Model 0 0 0 1 1 4 6 10
The Fundamental Theorems 0 0 0 0 0 1 1 1
The Heath Jarrow Morton Model 0 0 0 0 4 9 12 12
The Heath–Jarrow–Morton Libor Model 0 0 0 1 1 6 12 15
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 6 34 3 13 25 152
The Trading Constrained Market 0 0 0 0 0 0 1 1
Trading Constraints 0 0 0 1 0 5 6 15
Using the Black–Scholes–Merton Model 0 0 0 1 0 3 4 6
Utility Functions 0 0 0 0 1 3 3 3
Washington Mutual (2008) 0 0 0 2 0 0 0 5
Yields and Forward Rates 0 0 0 2 1 2 4 6
Total Chapters 4 18 70 890 85 471 732 3,414

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Statistics updated 2026-03-04