Details about Robert Jarrow

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Workplace:	Department of Economics, Cornell University, (more information at EDIRC) Johnson Graduate School of Management, Cornell University, (more information at EDIRC)

Access statistics for papers by Robert Jarrow.

Last updated 2009-11-04. Update your information in the RePEc Author Service.

Short-id: pja39

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Working Papers

2009

1. Housing Market Microstructure
   Quantitative Finance Papers, arXiv.org

2006

2. Restructuring Risk in Credit Default Swaps: An Empirical Analysis
   GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

2004

3. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
4. Modeling Credit Risk with Partial Information
   Quantitative Finance Papers, arXiv.org

1996

5. An Integrated Approach to Hedging and Pricing Eurodollar Derivatives
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
6. Model Error in Contingent Claim Models Dynamic Evaluation
   CIRANO Working Papers, CIRANO
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

1991

7. Option pricing with random volatilities in complete markets
   Working Paper, Federal Reserve Bank of Atlanta View citations

Journal Articles

2009

1. MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
   Mathematical Finance, 2009, 19, (1), 73-97 View citations

2008

2. Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
   Real Estate Economics, 2008, 36, (3), 441-498
3. Distressed debt prices and recovery rate estimation
   Review of Derivatives Research, 2008, 11, (3), 171-204
4. Modeling loan commitments
   Finance Research Letters, 2008, 5, (1), 11-20 View citations
5. Operational risk
   Journal of Banking & Finance, 2008, 32, (5), 870-879

2007

6. A Critique of Revised Basel II
   Journal of Financial Services Research, 2007, 32, (1), 1-16
7. Information reduction via level crossings in a credit risk model
   Finance and Stochastics, 2007, 11, (2), 195-212
8. Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile?
   Journal of Finance, 2007, 62, (1), 345-382
9. Tax liens: a novel application of asset pricing theory
   Review of Derivatives Research, 2007, 10, (2), 181-204
10. The valuation of a firm’s investment opportunities: a reduced form credit risk perspective
    Review of Derivatives Research, 2007, 10, (1), 39-58

2006

11. Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
    Review of Financial Studies, 2006, 19, (2), 493-529 View citations

2005

12. A generalized coherent risk measure: The firm's perspective
    Finance Research Letters, 2005, 2, (1), 23-29
13. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 View citations
14. ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
    Journal of Financial Research, 2005, 28, (3), 363-383
15. Large traders, hidden arbitrage, and complete markets
    Journal of Banking & Finance, 2005, 29, (11), 2803-2820

2004

16. A Model of the Convenience Yields in On-the-Run Treasuries
    Review of Derivatives Research, 2004, 7, (2), 79-97 View citations
17. Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
    Journal of the American Statistical Association, 2004, 99, 57-66 View citations
18. Liquidity risk and arbitrage pricing theory
    Finance and Stochastics, 2004, 8, (3), 311-341 View citations
19. Risky coupon bonds as a portfolio of zero-coupon bonds
    Finance Research Letters, 2004, 1, (2), 100-105
20. Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
    Journal of Financial Economics, 2004, 73, (3), 525-565 View citations

2003

21. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations
22. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
    Journal of Financial and Quantitative Analysis, 2003, 38, (02), 337-358 View citations

2002

23. Put Option Premiums and Coherent Risk Measures
    Mathematical Finance, 2002, 12, (2), 135-142 View citations

2001

24. Counterparty Risk and the Pricing of Defaultable Securities
    Journal of Finance, 2001, 56, (5), 1765-1799 View citations
25. The Liquidity Discount
    Mathematical Finance, 2001, 11, (4), 447-474 View citations

2000

26. Bayesian analysis of contingent claim model error
    Journal of Econometrics, 2000, 94, (1-2), 145-180 View citations
27. The intersection of market and credit risk
    Journal of Banking & Finance, 2000, 24, (1-2), 271-299 View citations

1999

28. In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World
    Journal of Economic Perspectives, 1999, 13, (4), 229-248
29. The Second Fundamental Theorem of Asset Pricing: A New Approach
    Review of Financial Studies, 1999, 12, (5), 1219-35 View citations

1998

30. A Unified Approach for Pricing Contingent Claims on Multiple Term Structures
    Review of Quantitative Finance and Accounting, 1998, 10, (1), 5-19
31. Hedging contingent claims on semimartingales
    Finance and Stochastics, 1999, 3, (1), 111-134 View citations
32. Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market
    Journal of Financial and Quantitative Analysis, 1998, 33, (02), 255-289 View citations
33. The arbitrage-free valuation and hedging of demand deposits and credit card loans
    Journal of Banking & Finance, 1998, 22, (3), 249-272 View citations

1997

34. A Markov Model for the Term Structure of Credit Risk Spreads
    Review of Financial Studies, 1997, 10, (2), 481-523 View citations
35. Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible?
    Financial Management, 1997, 26, (1)

1995

36. Pricing Derivatives on Financial Securities Subject to Credit Risk
    Journal of Finance, 1995, 50, (1), 53-85 View citations

1994

37. Derivative Security Markets, Market Manipulation, and Option Pricing Theory
    Journal of Financial and Quantitative Analysis, 1994, 29, (02), 241-261 View citations

1993

38. Market Manipulation and Corporate Finance: A New Perspective
    Financial Management, 1993, 22, (2) View citations

1992

39. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
    Econometrica, 1992, 60, (1), 77-105 View citations
40. Market Manipulation, Bubbles, Corners, and Short Squeezes
    Journal of Financial and Quantitative Analysis, 1992, 27, (03), 311-336 View citations

1991

41. Pricing foreign currency options under stochastic interest rates
    Journal of International Money and Finance, 1991, 10, (3), 310-329 View citations
42. The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests
    Journal of Financial and Quantitative Analysis, 1991, 26, (04), 533-547 View citations

1990

43. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
    Journal of Financial and Quantitative Analysis, 1990, 25, (04), 419-440 View citations
44. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value
    Review of Financial Studies, 1990, 3, (3), 469-92 View citations

1989

45. Option Pricing and Implicit Volatilities
    Journal of Economic Surveys, 1989, 3, (1), 59-81 View citations
46. Primes and Scores: An Essay on Market Imperfections
    Journal of Finance, 1989, 44, (5), 1263-87 View citations

1988

47. Ex-dividend Stock Price Behavior and Arbitrage Opportunities
    Journal of Business, 1988, 61, (1), 95-108 View citations
48. Preferences, Continuity, and the Arbitrage Pricing Theory
    Review of Financial Studies, 1988, 1, (2), 159-172

1987

49. Arbitrage, Continuous Trading, and Margin Requirements
    Journal of Finance, 1987, 42, (5), 1129-42
50. Beliefs and arbitrage pricing
    Economics Letters, 1987, 24, (2), 165-169
51. Spanning and completeness in markets with contingent claims
    Journal of Economic Theory, 1987, 41, (1), 202-210 View citations

1986

52. A characterization theorem for unique risk neutral probability measures
    Economics Letters, 1986, 22, (1), 61-65 View citations
53. The Relationship between Arbitrage and First Order Stochastic Dominance
    Journal of Finance, 1986, 41, (4), 915-21 View citations

1984

54. Jump Risks and the Intertemporal Capital Asset Pricing Model
    Journal of Business, 1984, 57, (3), 337-51 View citations
55. The error learning hypothesis: The evidence reexamined
    Journal of Economics and Business, 1984, 36, (2), 177-188

1983

56. A comparison of the APT and CAPM a note
    Journal of Banking & Finance, 1983, 7, (2), 295-303
57. Consensus Beliefs Equilibrium and Market Efficiency
    Journal of Finance, 1983, 38, (3), 903-11

1982

58. Approximate option valuation for arbitrary stochastic processes
    Journal of Financial Economics, 1982, 10, (3), 347-369 View citations

1981

59. Forward contracts and futures contracts
    Journal of Financial Economics, 1981, 9, (4), 373-382 View citations

1980

60. Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
    Journal of Finance, 1980, 35, (5), 1105-13 View citations

1978

61. The Relationship between Yield, Risk and Return of Corporate Bonds
    Journal of Finance, 1978, 33, (4), 1235-40 View citations

1977

62. An autoregressive jump process for common stock returns
    Journal of Financial Economics, 1977, 5, (3), 389-418 View citations