Details about Robert Jarrow

Access statistics for papers by Robert Jarrow.

Last updated 2013-05-04. Update your information in the RePEc Author Service.

Short-id: pja39

Working Papers

2011

1. Is there a bubble in LinkedIn's stock price?
   Papers, arXiv.org
2. The economic default time and the Arcsine law
   Papers, arXiv.org

2009

3. Housing Market Microstructure
   Papers, arXiv.org

2006

4. Restructuring Risk in Credit Default Swaps: An Empirical Analysis
   GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
   See also Journal Article in Stochastic Processes and their Applications (2007)

2004

5. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (3)
6. Modeling Credit Risk with Partial Information
   Papers, arXiv.org View citations (11)

1996

7. An Integrated Approach to Hedging and Pricing Eurodollar Derivatives
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
8. 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 (1)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

1991

9. Option pricing with random volatilities in complete markets
   Working Paper, Federal Reserve Bank of Atlanta View citations (2)

Journal Articles

2013

1. A leverage ratio rule for capital adequacy
   Journal of Banking & Finance, 2013, 37, (3), 973-976
2. Discretely sampled variance and volatility swaps versus their continuous approximations
   Finance and Stochastics, 2013, 17, (2), 305-324

2012

3. A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS
   International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (03), 1250022-1-1250022-15 View citations (1)
4. A liquidity-based model for asset price bubbles
   Quantitative Finance, 2012, 12, (9), 1339-1349 View citations (1)
5. An improved test for statistical arbitrage
   Journal of Financial Markets, 2012, 15, (1), 47-80
6. Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
   Finance Research Letters, 2012, 9, (2), 58-62
7. Hedging derivatives with model error
   Quantitative Finance, 2012, 12, (6), 855-863
8. RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS
   International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1250011-1-1250011-20

2011

9. A Reduced‐Form Model for Warrant Valuation
   The Financial Review, 2011, 46, (3), 413-425
10. Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
    Finance Research Letters, 2011, 8, (1), 2-7
11. Foreign currency bubbles
    Review of Derivatives Research, 2011, 14, (1), 67-83 View citations (1)
12. Housing prices and the optimal time-on-the-market decision
    Finance Research Letters, 2011, 8, (4), 171-179
13. The Economics of Credit Default Swaps
    Annual Review of Financial Economics, 2011, 3, (1), 235-257 View citations (1)

2010

14. A simple robust model for Cat bond valuation
    Finance Research Letters, 2010, 7, (2), 72-79
15. Convenience yields
    Review of Derivatives Research, 2010, 13, (1), 25-43 View citations (1)
16. Hedging in a HJM model
    Finance Research Letters, 2010, 7, (1), 8-13
17. On Model Testing in Financial Economics
    The Financial Review, 2010, 45, (2), 277-285
18. Reduced-form valuation of callable corporate bonds: Theory and evidence
    Journal of Financial Economics, 2010, 95, (2), 227-248 View citations (6)
19. The cost of operational risk loss insurance
    Review of Derivatives Research, 2010, 13, (3), 273-295
20. Understanding the risk of leveraged ETFs
    Finance Research Letters, 2010, 7, (3), 135-139 View citations (2)

2009

21. Credit Risk Models
    Annual Review of Financial Economics, 2009, 1, (1), 37-68 View citations (28)
22. FORWARD AND FUTURES PRICES WITH BUBBLES
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 901-924 View citations (2)
23. MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
    Mathematical Finance, 2009, 19, (1), 73-97 View citations (6)
24. The Term Structure of Interest Rates
    Annual Review of Financial Economics, 2009, 1, (1), 69-96 View citations (65)

2008

25. Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
    Real Estate Economics, 2008, 36, (3), 441-498 View citations (4)
26. Distressed debt prices and recovery rate estimation
    Review of Derivatives Research, 2008, 11, (3), 171-204 View citations (2)
27. Modeling loan commitments
    Finance Research Letters, 2008, 5, (1), 11-20 View citations (2)
28. Operational risk
    Journal of Banking & Finance, 2008, 32, (5), 870-879 View citations (10)

2007

29. A Critique of Revised Basel II
    Journal of Financial Services Research, 2007, 32, (1), 1-16 View citations (1)
30. Information reduction via level crossings in a credit risk model
    Finance and Stochastics, 2007, 11, (2), 195-212 View citations (1)
31. Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile?
    Journal of Finance, 2007, 62, (1), 345-382 View citations (2)
32. Restructuring risk in credit default swaps: An empirical analysis
    Stochastic Processes and their Applications, 2007, 117, (11), 1724-1749 View citations (2)
    See also Working Paper (2006)
33. Tax liens: a novel application of asset pricing theory
    Review of Derivatives Research, 2007, 10, (2), 181-204
34. The valuation of a firm’s investment opportunities: a reduced form credit risk perspective
    Review of Derivatives Research, 2007, 10, (1), 39-58 View citations (1)

2006

35. Downside Loss Aversion and Portfolio Management
    Management Science, 2006, 52, (4), 558-566 View citations (8)
36. 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 (13)

2005

37. A generalized coherent risk measure: The firm's perspective
    Finance Research Letters, 2005, 2, (1), 23-29 View citations (1)
38. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 View citations (25)
39. ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
    Journal of Financial Research, 2005, 28, (3), 363-383
40. Large traders, hidden arbitrage, and complete markets
    Journal of Banking & Finance, 2005, 29, (11), 2803-2820 View citations (1)

2004

41. A Model of the Convenience Yields in On-the-Run Treasuries
    Review of Derivatives Research, 2004, 7, (2), 79-97 View citations (3)
42. 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 (5)
43. Liquidity risk and arbitrage pricing theory
    Finance and Stochastics, 2004, 8, (3), 311-341 View citations (31)
44. Risky coupon bonds as a portfolio of zero-coupon bonds
    Finance Research Letters, 2004, 1, (2), 100-105 View citations (1)
45. Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
    Journal of Financial Economics, 2004, 73, (3), 525-565 View citations (10)

2003

46. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations (13)
47. 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 (23)

2002

48. Put Option Premiums and Coherent Risk Measures
    Mathematical Finance, 2002, 12, (2), 135-142 View citations (7)

2001

49. Counterparty Risk and the Pricing of Defaultable Securities
    Journal of Finance, 2001, 56, (5), 1765-1799 View citations (68)
50. The Liquidity Discount
    Mathematical Finance, 2001, 11, (4), 447-474 View citations (14)

2000

51. Bayesian analysis of contingent claim model error
    Journal of Econometrics, 2000, 94, (1-2), 145-180 View citations (12)
52. The intersection of market and credit risk
    Journal of Banking & Finance, 2000, 24, (1-2), 271-299 View citations (53)

1999

53. 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 View citations (1)
54. The Second Fundamental Theorem of Asset Pricing
    Mathematical Finance, 1999, 9, (3), 255-273 View citations (6)
55. The Second Fundamental Theorem of Asset Pricing: A New Approach
    Review of Financial Studies, 1999, 12, (5), 1219-35 View citations (10)

1998

56. A Unified Approach for Pricing Contingent Claims on Multiple Term Structures
    Review of Quantitative Finance and Accounting, 1998, 10, (1), 5-19 View citations (1)
57. Hedging contingent claims on semimartingales
    Finance and Stochastics, 1999, 3, (1), 111-134 View citations (3)
58. 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 (15)
59. The arbitrage-free valuation and hedging of demand deposits and credit card loans
    Journal of Banking & Finance, 1998, 22, (3), 249-272 View citations (11)

1997

60. A Markov Model for the Term Structure of Credit Risk Spreads
    Review of Financial Studies, 1997, 10, (2), 481-523 View citations (216)
61. Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible?
    Financial Management, 1997, 26, (1)

1995

62. OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
    Mathematical Finance, 1995, 5, (4), 311-336 View citations (18)
63. Pricing Derivatives on Financial Securities Subject to Credit Risk
    Journal of Finance, 1995, 50, (1), 53-85 View citations (248)

1994

64. Delta, gamma and bucket hedging of interest rate derivatives
    Applied Mathematical Finance, 1994, 1, (1), 21-48 View citations (8)
65. Derivative Security Markets, Market Manipulation, and Option Pricing Theory
    Journal of Financial and Quantitative Analysis, 1994, 29, (02), 241-261 View citations (20)

1993

66. Market Manipulation and Corporate Finance: A New Perspective
    Financial Management, 1993, 22, (2) View citations (1)

1992

67. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Mathematical Finance, 1992, 2, (2), 87-106 View citations (50)
68. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
    Econometrica, 1992, 60, (1), 77-105 View citations (384)
69. Market Manipulation, Bubbles, Corners, and Short Squeezes
    Journal of Financial and Quantitative Analysis, 1992, 27, (03), 311-336 View citations (38)
70. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
    Mathematical Finance, 1992, 2, (4), 217-237 View citations (41)

1991

71. A Characterization of Complete Security Markets On A Brownian Filtration
    Mathematical Finance, 1991, 1, (3), 31-43 View citations (4)
72. Pricing foreign currency options under stochastic interest rates
    Journal of International Money and Finance, 1991, 10, (3), 310-329 View citations (40)
73. 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 (4)

1990

74. 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 (33)
75. 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 (11)

1989

76. Option Pricing and Implicit Volatilities
    Journal of Economic Surveys, 1989, 3, (1), 59-81 View citations (2)
77. Primes and Scores: An Essay on Market Imperfections
    Journal of Finance, 1989, 44, (5), 1263-87 View citations (8)

1988

78. Ex-dividend Stock Price Behavior and Arbitrage Opportunities
    The Journal of Business, 1988, 61, (1), 95-108 View citations (8)
79. Preferences, Continuity, and the Arbitrage Pricing Theory
    Review of Financial Studies, 1988, 1, (2), 159-172 View citations (3)

1987

80. Arbitrage, Continuous Trading, and Margin Requirements
    Journal of Finance, 1987, 42, (5), 1129-42 View citations (3)
81. Beliefs and arbitrage pricing
    Economics Letters, 1987, 24, (2), 165-169
82. Spanning and completeness in markets with contingent claims
    Journal of Economic Theory, 1987, 41, (1), 202-210 View citations (21)

1986

83. A characterization theorem for unique risk neutral probability measures
    Economics Letters, 1986, 22, (1), 61-65 View citations (2)
84. The Relationship between Arbitrage and First Order Stochastic Dominance
    Journal of Finance, 1986, 41, (4), 915-21 View citations (13)

1984

85. Jump Risks and the Intertemporal Capital Asset Pricing Model
    The Journal of Business, 1984, 57, (3), 337-51 View citations (45)
86. The error learning hypothesis: The evidence reexamined
    Journal of Economics and Business, 1984, 36, (2), 177-188

1983

87. A comparison of the APT and CAPM a note
    Journal of Banking & Finance, 1983, 7, (2), 295-303 View citations (1)
88. Consensus Beliefs Equilibrium and Market Efficiency
    Journal of Finance, 1983, 38, (3), 903-11

1982

89. Approximate option valuation for arbitrary stochastic processes
    Journal of Financial Economics, 1982, 10, (3), 347-369 View citations (86)

1981

90. Forward contracts and futures contracts
    Journal of Financial Economics, 1981, 9, (4), 373-382 View citations (14)

1980

91. Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
    Journal of Finance, 1980, 35, (5), 1105-13 View citations (29)

1978

92. The Relationship between Yield, Risk and Return of Corporate Bonds
    Journal of Finance, 1978, 33, (4), 1235-40 View citations (1)

1977

93. An autoregressive jump process for common stock returns
    Journal of Financial Economics, 1977, 5, (3), 389-418 View citations (4)