Details about Robert Jarrow

Workplace:

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

Access statistics for papers by Robert Jarrow.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: pja39

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Working Papers

2023

1. Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples
   Papers, arXiv.org
2. Filtration Reduction and Completeness in Jump-Diffusion Models
   Papers, arXiv.org

2022

3. Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
   Papers, arXiv.org View citations (1)

2021

4. High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
   Papers, arXiv.org
   See also Journal Article in Quarterly Journal of Finance (QJF) (2020)
5. Inferring Financial Bubbles from Option Data
   Working Papers, University of Sydney, School of Economics View citations (3)
   See also Journal Article in Journal of Applied Econometrics (2021)
6. The Low-volatility Anomaly and the Adaptive Multi-Factor Model
   Papers, arXiv.org View citations (2)
7. Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
   Papers, arXiv.org View citations (4)
   See also Journal Article in Quarterly Journal of Finance (QJF) (2021)

2015

8. The effect of trading futures on short sale constraints
   Post-Print, HAL View citations (3)
   See also Journal Article in Mathematical Finance (2015)

2014

9. Informational Efficiency under Short Sale Constraints
   Papers, arXiv.org View citations (1)
10. Specification Tests of Calibrated Option Pricing Models
    Working Papers, University of Sydney, School of Economics
    See also Journal Article in Journal of Econometrics (2015)

2011

11. Is there a bubble in LinkedIn's stock price?
    Papers, arXiv.org View citations (13)
12. The economic default time and the Arcsine law
    Papers, arXiv.org View citations (1)
    See also Journal Article in Journal of Financial Engineering (JFE) (2014)

2009

13. Housing Market Microstructure
    Papers, arXiv.org

2006

14. Restructuring Risk in Credit Default Swaps: An Empirical Analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
    See also Journal Article in Stochastic Processes and their Applications (2007)

2004

15. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (11)
16. Modeling Credit Risk with Partial Information
    Papers, arXiv.org View citations (37)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (37)
    See also Chapter (2008)

1996

17. An Integrated Approach to Hedging and Pricing Eurodollar Derivatives
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (2)
18. 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
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)

1991

19. Option pricing with random volatilities in complete markets
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (5)

Journal Articles

2023

1. A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
   Journal of Risk Management in Financial Institutions, 2023, 16, (3), 237-255
2. An explosion time characterization of asset price bubbles
   International Review of Finance, 2023, 23, (2), 469-479
3. Interest rate swaps: a comparison of compounded daily versus discrete reference rates
   Review of Derivatives Research, 2023, 26, (1), 1-21
4. Media trading groups and short selling manipulation
   Quantitative Finance, 2023, 23, (7-8), 1035-1052
5. The no-arbitrage pricing of non-traded assets
   Annals of Finance, 2023, 19, (3), 401-418

2022

6. APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES
   International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (03), 1-25 View citations (1)
7. Funding shortages, expectations, and forward rate risk premium
   Quantitative Finance, 2022, 22, (7), 1321-1341
8. High frequency trading and standard asset pricing models
   Finance Research Letters, 2022, 49, (C)
9. Index Design: Hedging and Manipulation
   Quarterly Journal of Finance (QJF), 2022, 12, (02), 1-36
10. Risk premia, asset price bubbles, and monetary policy
    Journal of Financial Stability, 2022, 60, (C)

2021

11. Concavity, stochastic utility, and risk aversion
    Finance and Stochastics, 2021, 25, (2), 311-330 View citations (2)
12. Endogenous liquidity risk and dealer market structure
    The Quarterly Review of Economics and Finance, 2021, 81, (C), 449-453 View citations (1)
13. Inferring financial bubbles from option data
    Journal of Applied Econometrics, 2021, 36, (7), 1013-1046 View citations (3)
    See also Working Paper (2021)
14. Risk‐neutral pricing techniques and examples
    Mathematical Finance, 2021, 31, (3), 857-884
15. The Economics of Insurance: A Derivatives-Based Approach
    Annual Review of Financial Economics, 2021, 13, (1), 79-110 View citations (1)
16. Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
    Quarterly Journal of Finance (QJF), 2021, 11, (04), 1-30 View citations (2)
    See also Working Paper (2021)

2020

17. Credit Risk, Liquidity, and Bubbles
    International Review of Finance, 2020, 20, (3), 737-746 View citations (3)
18. High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
    Quarterly Journal of Finance (QJF), 2020, 10, (04), 1-52 View citations (4)
    See also Working Paper (2021)
19. The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions
    Quarterly Journal of Finance (QJF), 2020, 10, (01), 1-38 View citations (1)

2019

20. A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
    Mathematical Finance, 2019, 29, (4), 1157-1170 View citations (6)
21. Exploring Mispricing in the Term Structure of CDS Spreads
    Review of Finance, 2019, 23, (1), 161-198 View citations (9)
22. Fair Microfinance Loan Rates
    International Review of Finance, 2019, 19, (4), 909-918 View citations (3)
23. Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
    Management Science, 2019, 65, (4), 1833-1854 View citations (1)

2018

24. An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles
    Quarterly Journal of Finance (QJF), 2018, 08, (02), 1-33 View citations (1)
25. An empirical investigation of large trader market manipulation in derivatives markets
    Review of Derivatives Research, 2018, 21, (3), 331-374 View citations (2)
26. Asset market equilibrium with liquidity risk
    Annals of Finance, 2018, 14, (2), 253-288 View citations (1)
27. CMBS market efficiency: The crisis and the recovery
    Journal of Financial Stability, 2018, 36, (C), 159-186 View citations (1)
28. On aggregation and representative agent equilibria
    Journal of Mathematical Economics, 2018, 74, (C), 119-127 View citations (8)
29. Optimal cash holdings under heterogeneous beliefs
    Mathematical Finance, 2018, 28, (2), 712-747 View citations (2)
30. Portfolio balance effects and the Federal Reserve’s large-scale asset purchases
    Studies in Economics and Finance, 2018, 35, (1), 2-24

2017

31. A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (08), 1-39

2016

32. BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (01), 1-19 View citations (5)
33. Relative asset price bubbles
    Annals of Finance, 2016, 12, (2), 135-160

2015

34. Asset Price Bubbles
    Annual Review of Financial Economics, 2015, 7, (1), 201-218 View citations (33)
35. Bank runs and self-insured bank deposits
    The Quarterly Review of Economics and Finance, 2015, 58, (C), 180-189
36. Designing catastrophic bonds for catastrophic risks in agriculture
    Agricultural Finance Review, 2015, 75, (1), 47-62 View citations (1)
37. Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates
    Journal of Risk Management in Financial Institutions, 2015, 8, (4), 332-346
38. Specification tests of calibrated option pricing models
    Journal of Econometrics, 2015, 189, (2), 397-414 View citations (7)
    See also Working Paper (2014)
39. THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
    Mathematical Finance, 2015, 25, (2), 311-338 View citations (4)
    See also Working Paper (2015)
40. The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates
    Quarterly Journal of Finance (QJF), 2015, 05, (02), 1-34

2014

41. Computing present values: Capital budgeting done correctly
    Finance Research Letters, 2014, 11, (3), 183-193
42. Financial crises and economic growth
    The Quarterly Review of Economics and Finance, 2014, 54, (2), 194-207 View citations (7)
43. Forward Rate Curve Smoothing
    Annual Review of Financial Economics, 2014, 6, (1), 443-458 View citations (3)
44. Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices
    Real Estate Economics, 2014, 42, (3), 627-661 View citations (1)
45. The economic default time and the arcsine law
    Journal of Financial Engineering (JFE), 2014, 01, (03), 1-18 View citations (2)
    See also Working Paper (2011)
46. The impact of quantitative easing on the US term structure of interest rates
    Review of Derivatives Research, 2014, 17, (3), 287-321 View citations (11)

2013

47. A leverage ratio rule for capital adequacy
    Journal of Banking & Finance, 2013, 37, (3), 973-976 View citations (34)
48. Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading
    Quarterly Journal of Finance (QJF), 2013, 03, (02), 1-12
49. Capital adequacy rules, catastrophic firm failure, and systemic risk
    Review of Derivatives Research, 2013, 16, (3), 219-231 View citations (5)
50. Discretely sampled variance and volatility swaps versus their continuous approximations
    Finance and Stochastics, 2013, 17, (2), 305-324 View citations (19)
51. The zero-lower bound on interest rates: Myth or reality?
    Finance Research Letters, 2013, 10, (4), 151-156 View citations (2)

2012

52. A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (03), 1-15 View citations (33)
53. A liquidity-based model for asset price bubbles
    Quantitative Finance, 2012, 12, (9), 1339-1349 View citations (8)
54. An improved test for statistical arbitrage
    Journal of Financial Markets, 2012, 15, (1), 47-80 View citations (8)
55. Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
    Finance Research Letters, 2012, 9, (2), 58-62 View citations (2)
56. Hedging derivatives with model error
    Quantitative Finance, 2012, 12, (6), 855-863 View citations (1)
57. 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), 1-20 View citations (1)
58. THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING
    Annals of Financial Economics (AFE), 2012, 07, (02), 1-11 View citations (6)

2011

59. A Reduced‐Form Model for Warrant Valuation
    The Financial Review, 2011, 46, (3), 413-425 View citations (4)
60. Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
    Finance Research Letters, 2011, 8, (1), 2-7 View citations (13)
61. Foreign currency bubbles
    Review of Derivatives Research, 2011, 14, (1), 67-83 View citations (9)
62. Housing prices and the optimal time-on-the-market decision
    Finance Research Letters, 2011, 8, (4), 171-179
63. The Economics of Credit Default Swaps
    Annual Review of Financial Economics, 2011, 3, (1), 235-257 View citations (20)

2010

64. A simple robust model for Cat bond valuation
    Finance Research Letters, 2010, 7, (2), 72-79 View citations (29)
65. Convenience yields
    Review of Derivatives Research, 2010, 13, (1), 25-43 View citations (5)
66. Hedging in a HJM model
    Finance Research Letters, 2010, 7, (1), 8-13
67. On Model Testing in Financial Economics
    The Financial Review, 2010, 45, (2), 277-285
68. Reduced-form valuation of callable corporate bonds: Theory and evidence
    Journal of Financial Economics, 2010, 95, (2), 227-248 View citations (11)
69. The cost of operational risk loss insurance
    Review of Derivatives Research, 2010, 13, (3), 273-295 View citations (7)
70. Understanding the risk of leveraged ETFs
    Finance Research Letters, 2010, 7, (3), 135-139 View citations (18)

2009

71. Credit Risk Models
    Annual Review of Financial Economics, 2009, 1, (1), 37-68 View citations (56)
72. FORWARD AND FUTURES PRICES WITH BUBBLES
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 901-924 View citations (11)
73. MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
    Mathematical Finance, 2009, 19, (1), 73-97 View citations (13)
74. The Term Structure of Interest Rates
    Annual Review of Financial Economics, 2009, 1, (1), 69-96 View citations (76)

2008

75. Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
    Real Estate Economics, 2008, 36, (3), 441-498 View citations (12)
76. Distressed debt prices and recovery rate estimation
    Review of Derivatives Research, 2008, 11, (3), 171-204 View citations (7)
77. Modeling loan commitments
    Finance Research Letters, 2008, 5, (1), 11-20 View citations (9)
78. Operational risk
    Journal of Banking & Finance, 2008, 32, (5), 870-879 View citations (17)
    See also Chapter (2017)

2007

79. A Critique of Revised Basel II
    Journal of Financial Services Research, 2007, 32, (1), 1-16 View citations (9)
80. Information reduction via level crossings in a credit risk model
    Finance and Stochastics, 2007, 11, (2), 195-212 View citations (8)
81. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
    Journal of Finance, 2007, 62, (1), 345-382 View citations (39)
82. Restructuring risk in credit default swaps: An empirical analysis
    Stochastic Processes and their Applications, 2007, 117, (11), 1724-1749 View citations (12)
    See also Working Paper (2006)
83. Tax liens: a novel application of asset pricing theory
    Review of Derivatives Research, 2007, 10, (2), 181-204
84. 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 (6)

2006

85. 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 (65)
    See also Chapter (2008)

2005

86. A generalized coherent risk measure: The firm's perspective
    Finance Research Letters, 2005, 2, (1), 23-29 View citations (3)
87. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 View citations (97)
    See also Chapter (2008)
88. ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
    Journal of Financial Research, 2005, 28, (3), 363-383 View citations (6)
89. Large traders, hidden arbitrage, and complete markets
    Journal of Banking & Finance, 2005, 29, (11), 2803-2820 View citations (7)

2004

90. A Model of the Convenience Yields in On-the-Run Treasuries
    Review of Derivatives Research, 2004, 7, (2), 79-97 View citations (12)
91. Bankruptcy Prediction with Industry Effects
    Review of Finance, 2004, 8, (4), 537-569 View citations (317)
    See also Chapter (2008)
92. 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 (19)
93. Liquidity risk and arbitrage pricing theory
    Finance and Stochastics, 2004, 8, (3), 311-341 View citations (145)
    See also Chapter (2008)
94. Risky coupon bonds as a portfolio of zero-coupon bonds
    Finance Research Letters, 2004, 1, (2), 100-105 View citations (8)
95. Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
    Journal of Financial Economics, 2004, 73, (3), 525-565 View citations (57)

2003

96. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations (32)
    See also Chapter (2008)
97. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
    Journal of Financial and Quantitative Analysis, 2003, 38, (2), 337-358 View citations (63)
    See also Chapter (2008)

2002

98. Put Option Premiums and Coherent Risk Measures
    Mathematical Finance, 2002, 12, (2), 135-142 View citations (19)

2001

99. Counterparty Risk and the Pricing of Defaultable Securities
    Journal of Finance, 2001, 56, (5), 1765-1799 View citations (251)
    See also Chapter (2008)
100. The Liquidity Discount
     Mathematical Finance, 2001, 11, (4), 447-474 View citations (40)

2000

101. Bayesian analysis of contingent claim model error
     Journal of Econometrics, 2000, 94, (1-2), 145-180 View citations (34)
102. The intersection of market and credit risk
     Journal of Banking & Finance, 2000, 24, (1-2), 271-299 View citations (113)

1999

103. 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 (3)
104. The Second Fundamental Theorem of Asset Pricing
     Mathematical Finance, 1999, 9, (3), 255-273 View citations (20)
105. The Second Fundamental Theorem of Asset Pricing: A New Approach
     Review of Financial Studies, 1999, 12, (5), 1219-35 View citations (22)

1998

106. A Unified Approach for Pricing Contingent Claims on Multiple Term Structures
     Review of Quantitative Finance and Accounting, 1998, 10, (1), 5-19 View citations (4)
107. Hedging contingent claims on semimartingales
     Finance and Stochastics, 1999, 3, (1), 111-134 View citations (5)
108. Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market
     Journal of Financial and Quantitative Analysis, 1998, 33, (2), 255-289 View citations (29)
109. The arbitrage-free valuation and hedging of demand deposits and credit card loans
     Journal of Banking & Finance, 1998, 22, (3), 249-272 View citations (49)

1997

110. A Markov Model for the Term Structure of Credit Risk Spreads
     Review of Financial Studies, 1997, 10, (2), 481-523 View citations (470)
     See also Chapter (2008)
111. Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
     Review of Finance, 1997, 1, (1), 15-30 View citations (14)
112. Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible?
     Financial Management, 1997, 26, (1)

1995

113. OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1
     Mathematical Finance, 1995, 5, (4), 311-336 View citations (30)
114. Pricing Derivatives on Financial Securities Subject to Credit Risk
     Journal of Finance, 1995, 50, (1), 53-85 View citations (635)
     See also Chapter (2008)

1994

115. Delta, gamma and bucket hedging of interest rate derivatives
     Applied Mathematical Finance, 1994, 1, (1), 21-48 View citations (22)
116. Derivative Security Markets, Market Manipulation, and Option Pricing Theory
     Journal of Financial and Quantitative Analysis, 1994, 29, (2), 241-261 View citations (69)
     See also Chapter (2008)

1993

117. Market Manipulation and Corporate Finance: A New Perspective
     Financial Management, 1993, 22, (2) View citations (3)

1992

118. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
     Mathematical Finance, 1992, 2, (2), 87-106 View citations (144)
     See also Chapter (2008)
119. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
     Econometrica, 1992, 60, (1), 77-105 View citations (1018)
     See also Chapter (2008)
120. Market Manipulation, Bubbles, Corners, and Short Squeezes
     Journal of Financial and Quantitative Analysis, 1992, 27, (3), 311-336 View citations (148)
     See also Chapter (2008)
121. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
     Mathematical Finance, 1992, 2, (4), 217-237 View citations (72)

1991

122. A Characterization of Complete Security Markets On A Brownian Filtration1
     Mathematical Finance, 1991, 1, (3), 31-43 View citations (11)
123. Pricing foreign currency options under stochastic interest rates
     Journal of International Money and Finance, 1991, 10, (3), 310-329 View citations (98)
     See also Chapter (2008)
124. The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests
     Journal of Financial and Quantitative Analysis, 1991, 26, (4), 533-547 View citations (8)

1990

125. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
     Journal of Financial and Quantitative Analysis, 1990, 25, (4), 419-440 View citations (88)
126. 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 (24)
     See also Chapter (2008)

1989

127. Option Pricing and Implicit Volatilities
     Journal of Economic Surveys, 1989, 3, (1), 59-81 View citations (4)

1988

128. Ex-dividend Stock Price Behavior and Arbitrage Opportunities
     The Journal of Business, 1988, 61, (1), 95-108 View citations (28)
     See also Chapter (2008)
129. Preferences, Continuity, and the Arbitrage Pricing Theory
     Review of Financial Studies, 1988, 1, (2), 159-172 View citations (6)

1987

130. Arbitrage, Continuous Trading, and Margin Requirements
     Journal of Finance, 1987, 42, (5), 1129-42 View citations (7)
     See also Chapter (2008)
131. Beliefs and arbitrage pricing
     Economics Letters, 1987, 24, (2), 165-169
132. Spanning and completeness in markets with contingent claims
     Journal of Economic Theory, 1987, 41, (1), 202-210 View citations (51)

1986

133. A characterization theorem for unique risk neutral probability measures
     Economics Letters, 1986, 22, (1), 61-65 View citations (7)
134. The Relationship between Arbitrage and First Order Stochastic Dominance
     Journal of Finance, 1986, 41, (4), 915-21 View citations (55)

1984

135. Jump Risks and the Intertemporal Capital Asset Pricing Model
     The Journal of Business, 1984, 57, (3), 337-51 View citations (101)
136. The error learning hypothesis: The evidence reexamined
     Journal of Economics and Business, 1984, 36, (2), 177-188

1983

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

1982

139. Approximate option valuation for arbitrary stochastic processes
     Journal of Financial Economics, 1982, 10, (3), 347-369 View citations (240)
     See also Chapter (2008)

1981

140. Forward contracts and futures contracts
     Journal of Financial Economics, 1981, 9, (4), 373-382 View citations (38)
     See also Chapter (2008)

1980

141. Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
     Journal of Finance, 1980, 35, (5), 1105-13 View citations (96)

1978

142. The Relationship between Yield, Risk and Return of Corporate Bonds
     Journal of Finance, 1978, 33, (4), 1235-40 View citations (12)

1977

143. An autoregressive jump process for common stock returns
     Journal of Financial Economics, 1977, 5, (3), 389-418 View citations (7)

Books

2017

1. The Economic Foundations of Risk Management:Theory, Practice, and Applications
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)

2008

2. Financial Derivatives Pricing:Selected Works of Robert Jarrow
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2017

1. Banks
   Chapter 12 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 93-97
2. Barings Bank (1995)
   Chapter 19 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 155-160
3. Credit Risk
   Chapter 6 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 53-58 View citations (15)
4. Derivatives
   Chapter 3 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 19-28 View citations (39)
5. Diversification
   Chapter 13 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 103-105
6. Dynamic Hedging
   Chapter 15 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 115-125
7. Firms
   Chapter 11 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 89-91
8. Individuals
   Chapter 10 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 81-87
9. Introduction
   Chapter 1 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 3-4 View citations (1)
10. Liquidity Risk
    Chapter 7 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 59-68 View citations (12)
11. Long Term Capital Management (1998)
    Chapter 20 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 161-166
12. Market Risk (Equities, FX, Commodities)
    Chapter 4 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 35-45
13. Market Risk (Interest Rates)
    Chapter 5 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 47-52
14. Metallgesellschaft (1993)
    Chapter 17 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 141-145
15. Operational Risk
    Chapter 8 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 69-70
    See also Journal Article in Journal of Banking & Finance (2008)
16. Orange County (1994)
    Chapter 18 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 147-153
17. Penn Square Bank (1982)
    Chapter 16 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 133-139
18. Primary Assets
    Chapter 2 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 9-17
19. Static Hedging
    Chapter 14 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 107-113
20. The Credit Crisis (2007)
    Chapter 21 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 167-171
21. Trading Constraints
    Chapter 9 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 71-76
22. Washington Mutual (2008)
    Chapter 22 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 173-177

2008

23. A Markov Model for the Term Structure of Credit Risk Spreads
    Chapter 18 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 411-453 View citations (2)
    See also Journal Article in Review of Financial Studies (1997)
24. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Chapter 5 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 85-103 View citations (1)
    See also Journal Article in Mathematical Finance (1992)
25. APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES
    Chapter 1 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 9-31 View citations (1)
    See also Journal Article in Journal of Financial Economics (1982)
26. Arbitrage, Continuous Trading, and Margin Requirements
    Chapter 2 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 33-46
    See also Journal Article in Journal of Finance (1987)
27. BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION
    Chapter 13 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 277-305
    See also Journal Article in Econometrica (1992)
28. Bankruptcy Prediction with Industry Effects
    Chapter 21 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 517-549 View citations (21)
    See also Journal Article in Review of Finance (2004)
29. Counterparty Risk and the Pricing of Defaultable Securities
    Chapter 20 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 481-515
    See also Journal Article in Journal of Finance (2001)
30. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Chapter 19 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 455-480
    See also Journal Article in Mathematical Finance (2005)
31. Derivative Security Markets, Market Manipulation, and Option Pricing Theory
    Chapter 7 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 131-151
    See also Journal Article in Journal of Financial and Quantitative Analysis (1994)
32. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities
    Chapter 3 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 47-60
    See also Journal Article in The Journal of Business (1988)
33. FORWARD CONTRACTS AND FUTURES CONTRACTS
    Chapter 11 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 237-246
    See also Journal Article in Journal of Financial Economics (1981)
34. LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS
    Chapter 10 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 229-236 View citations (1)
35. Liquidity risk and arbitrage pricing theory
    Chapter 8 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 153-183
    See also Journal Article in Finance and Stochastics (2004)
36. MODELING CREDIT RISK WITH PARTIAL INFORMATION
    Chapter 23 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 579-590 View citations (1)
    See also Working Paper (2004)
37. Market Manipulation, Bubbles, Corners, and Short Squeezes
    Chapter 6 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 105-130 View citations (1)
    See also Journal Article in Journal of Financial and Quantitative Analysis (1992)
38. Market Pricing of Deposit Insurance
    Chapter 22 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 551-577
    See also Journal Article in Journal of Financial Services Research (2003)
39. PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY
    Chapter 15 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 327-347
40. Pricing Derivatives on Financial Securities Subject to Credit Risk
    Chapter 17 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 377-409 View citations (1)
    See also Journal Article in Journal of Finance (1995)
41. Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
    Chapter 9 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 185-221
    See also Journal Article in Review of Financial Studies (2006)
42. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
    Chapter 16 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 349-370
    See also Journal Article in Journal of Financial and Quantitative Analysis (2003)
43. Pricing foreign currency options under stochastic interest rates
    Chapter 14 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 307-326
    See also Journal Article in Journal of International Money and Finance (1991)
44. THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES
    Chapter 12 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 247-275 View citations (1)
45. The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value
    Chapter 4 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 61-84
    See also Journal Article in Review of Financial Studies (1990)