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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 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pja39


Jump to Journal Articles Books Edited books Chapters

Working Papers

2024

  1. Filtration Reduction and Completeness in Jump-Diffusion Models
    Papers, arXiv.org Downloads

2023

  1. Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples
    Papers, arXiv.org Downloads

2022

  1. Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Computing the probability of a financial market failure: a new measure of systemic risk, Annals of Operations Research, Springer (2024) Downloads (2024)

2021

  1. High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
    Papers, arXiv.org Downloads
    See also Journal Article High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2020) Downloads View citations (5) (2020)
  2. Inferring Financial Bubbles from Option Data
    Working Papers, University of Sydney, School of Economics Downloads View citations (8)
    See also Journal Article Inferring financial bubbles from option data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) Downloads View citations (8) (2021)
  3. The Low-volatility Anomaly and the Adaptive Multi-Factor Model
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2023) Downloads (2023)
  4. Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2021) Downloads View citations (2) (2021)

2015

  1. The effect of trading futures on short sale constraints
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS, Mathematical Finance, Wiley Blackwell (2015) Downloads View citations (4) (2015)

2014

  1. Informational Efficiency under Short Sale Constraints
    Papers, arXiv.org Downloads View citations (1)
  2. Specification Tests of Calibrated Option Pricing Models
    Working Papers, University of Sydney, School of Economics Downloads
    See also Journal Article Specification tests of calibrated option pricing models, Journal of Econometrics, Elsevier (2015) Downloads View citations (8) (2015)

2011

  1. Is there a bubble in LinkedIn's stock price?
    Papers, arXiv.org Downloads View citations (14)
  2. The economic default time and the Arcsine law
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article The economic default time and the arcsine law, Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd. (2014) Downloads View citations (3) (2014)

2009

  1. Housing Market Microstructure
    Papers, arXiv.org Downloads

2006

  1. Restructuring Risk in Credit Default Swaps: An Empirical Analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (1)
    See also Journal Article Restructuring risk in credit default swaps: An empirical analysis, Stochastic Processes and their Applications, Elsevier (2007) Downloads View citations (12) (2007)

2004

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

    See also Chapter MODELING CREDIT RISK WITH PARTIAL INFORMATION, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2008) Downloads View citations (1) (2008)

1996

  1. 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)
  2. Model Error in Contingent Claim Models Dynamic Evaluation
    CIRANO Working Papers, CIRANO Downloads
    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

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

Journal Articles

2024

  1. A study on asset price bubble dynamics: explosive trend or quadratic variation?
    Quantitative Finance, 2024, 24, (5), 613-626 Downloads
  2. Computing the probability of a financial market failure: a new measure of systemic risk
    Annals of Operations Research, 2024, 336, (1), 481-503 Downloads
    See also Working Paper Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk, Papers (2022) Downloads View citations (1) (2022)
  3. FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON
    International Journal of Theoretical and Applied Finance (IJTAF), 2024, 27, (05n06), 1-23 Downloads
  4. Option Pricing in an Incomplete Market
    Quarterly Journal of Finance (QJF), 2024, 14, (03), 1-16 Downloads

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 Downloads View citations (1)
  2. An explosion time characterization of asset price bubbles
    International Review of Finance, 2023, 23, (2), 469-479 Downloads View citations (1)
  3. Futures contract collateralization and its implications
    Journal of Empirical Finance, 2023, 74, (C) Downloads
  4. Inflation-Adjusted Bonds, Swaps, and Derivatives
    Annual Review of Financial Economics, 2023, 15, (1), 449-471 Downloads
  5. Interest rate swaps: a comparison of compounded daily versus discrete reference rates
    Review of Derivatives Research, 2023, 26, (1), 1-21 Downloads
  6. Media trading groups and short selling manipulation
    Quantitative Finance, 2023, 23, (7-8), 1035-1052 Downloads
  7. THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2023, 26, (04n05), 1-33 Downloads
    See also Working Paper The Low-volatility Anomaly and the Adaptive Multi-Factor Model, Papers (2021) Downloads View citations (2) (2021)
  8. The no-arbitrage pricing of non-traded assets
    Annals of Finance, 2023, 19, (3), 401-418 Downloads

2022

  1. APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (03), 1-25 Downloads View citations (3)
  2. Funding shortages, expectations, and forward rate risk premium
    Quantitative Finance, 2022, 22, (7), 1321-1341 Downloads
  3. High frequency trading and standard asset pricing models
    Finance Research Letters, 2022, 49, (C) Downloads View citations (1)
  4. Index Design: Hedging and Manipulation
    Quarterly Journal of Finance (QJF), 2022, 12, (02), 1-36 Downloads
  5. Risk premia, asset price bubbles, and monetary policy
    Journal of Financial Stability, 2022, 60, (C) Downloads View citations (1)

2021

  1. Concavity, stochastic utility, and risk aversion
    Finance and Stochastics, 2021, 25, (2), 311-330 Downloads View citations (2)
  2. Endogenous liquidity risk and dealer market structure
    The Quarterly Review of Economics and Finance, 2021, 81, (C), 449-453 Downloads View citations (1)
  3. Inferring financial bubbles from option data
    Journal of Applied Econometrics, 2021, 36, (7), 1013-1046 Downloads View citations (8)
    See also Working Paper Inferring Financial Bubbles from Option Data, Working Papers (2021) Downloads View citations (8) (2021)
  4. Risk‐neutral pricing techniques and examples
    Mathematical Finance, 2021, 31, (3), 857-884 Downloads
  5. The Economics of Insurance: A Derivatives-Based Approach
    Annual Review of Financial Economics, 2021, 13, (1), 79-110 Downloads View citations (1)
  6. Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
    Quarterly Journal of Finance (QJF), 2021, 11, (04), 1-30 Downloads View citations (2)
    See also Working Paper Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model, Papers (2021) Downloads View citations (4) (2021)

2020

  1. Credit Risk, Liquidity, and Bubbles
    International Review of Finance, 2020, 20, (3), 737-746 Downloads View citations (3)
  2. High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
    Quarterly Journal of Finance (QJF), 2020, 10, (04), 1-52 Downloads View citations (5)
    See also Working Paper High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model, Papers (2021) Downloads (2021)
  3. The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions
    Quarterly Journal of Finance (QJF), 2020, 10, (01), 1-38 Downloads View citations (1)

2019

  1. A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
    Mathematical Finance, 2019, 29, (4), 1157-1170 Downloads View citations (6)
  2. Exploring Mispricing in the Term Structure of CDS Spreads
    Review of Finance, 2019, 23, (1), 161-198 Downloads View citations (11)
  3. Fair Microfinance Loan Rates
    International Review of Finance, 2019, 19, (4), 909-918 Downloads View citations (3)
  4. Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
    Management Science, 2019, 65, (4), 1833-1854 Downloads View citations (1)

2018

  1. An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles
    Quarterly Journal of Finance (QJF), 2018, 08, (02), 1-33 Downloads View citations (1)
  2. An empirical investigation of large trader market manipulation in derivatives markets
    Review of Derivatives Research, 2018, 21, (3), 331-374 Downloads View citations (2)
  3. Asset market equilibrium with liquidity risk
    Annals of Finance, 2018, 14, (2), 253-288 Downloads View citations (1)
  4. CMBS market efficiency: The crisis and the recovery
    Journal of Financial Stability, 2018, 36, (C), 159-186 Downloads View citations (2)
  5. On aggregation and representative agent equilibria
    Journal of Mathematical Economics, 2018, 74, (C), 119-127 Downloads View citations (9)
  6. Optimal cash holdings under heterogeneous beliefs
    Mathematical Finance, 2018, 28, (2), 712-747 Downloads View citations (2)
  7. Portfolio balance effects and the Federal Reserve’s large-scale asset purchases
    Studies in Economics and Finance, 2018, 35, (1), 2-24 Downloads View citations (1)

2017

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

2016

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

2015

  1. Asset Price Bubbles
    Annual Review of Financial Economics, 2015, 7, (1), 201-218 Downloads View citations (33)
  2. Bank runs and self-insured bank deposits
    The Quarterly Review of Economics and Finance, 2015, 58, (C), 180-189 Downloads
  3. Designing catastrophic bonds for catastrophic risks in agriculture
    Agricultural Finance Review, 2015, 75, (1), 47-62 Downloads View citations (1)
  4. 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 Downloads
  5. Specification tests of calibrated option pricing models
    Journal of Econometrics, 2015, 189, (2), 397-414 Downloads View citations (8)
    See also Working Paper Specification Tests of Calibrated Option Pricing Models, Working Papers (2014) Downloads (2014)
  6. THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
    Mathematical Finance, 2015, 25, (2), 311-338 Downloads View citations (4)
    See also Working Paper The effect of trading futures on short sale constraints, Post-Print (2015) Downloads View citations (3) (2015)
  7. The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates
    Quarterly Journal of Finance (QJF), 2015, 05, (02), 1-34 Downloads View citations (1)

2014

  1. Computing present values: Capital budgeting done correctly
    Finance Research Letters, 2014, 11, (3), 183-193 Downloads
  2. Financial crises and economic growth
    The Quarterly Review of Economics and Finance, 2014, 54, (2), 194-207 Downloads View citations (7)
  3. Forward Rate Curve Smoothing
    Annual Review of Financial Economics, 2014, 6, (1), 443-458 Downloads View citations (3)
  4. Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices
    Real Estate Economics, 2014, 42, (3), 627-661 Downloads View citations (1)
  5. The economic default time and the arcsine law
    Journal of Financial Engineering (JFE), 2014, 01, (03), 1-18 Downloads View citations (3)
    See also Working Paper The economic default time and the Arcsine law, Papers (2011) Downloads View citations (1) (2011)
  6. The impact of quantitative easing on the US term structure of interest rates
    Review of Derivatives Research, 2014, 17, (3), 287-321 Downloads View citations (12)

2013

  1. A leverage ratio rule for capital adequacy
    Journal of Banking & Finance, 2013, 37, (3), 973-976 Downloads View citations (37)
  2. Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading
    Quarterly Journal of Finance (QJF), 2013, 03, (02), 1-12 Downloads
  3. Capital adequacy rules, catastrophic firm failure, and systemic risk
    Review of Derivatives Research, 2013, 16, (3), 219-231 Downloads View citations (5)
  4. Discretely sampled variance and volatility swaps versus their continuous approximations
    Finance and Stochastics, 2013, 17, (2), 305-324 Downloads View citations (21)
  5. The zero-lower bound on interest rates: Myth or reality?
    Finance Research Letters, 2013, 10, (4), 151-156 Downloads View citations (2)

2012

  1. A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (03), 1-15 Downloads View citations (36)
  2. A liquidity-based model for asset price bubbles
    Quantitative Finance, 2012, 12, (9), 1339-1349 Downloads View citations (8)
  3. An improved test for statistical arbitrage
    Journal of Financial Markets, 2012, 15, (1), 47-80 Downloads View citations (8)
  4. Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
    Finance Research Letters, 2012, 9, (2), 58-62 Downloads View citations (2)
  5. Hedging derivatives with model error
    Quantitative Finance, 2012, 12, (6), 855-863 Downloads View citations (1)
  6. 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 Downloads View citations (1)
  7. THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING
    Annals of Financial Economics (AFE), 2012, 07, (02), 1-11 Downloads View citations (7)

2011

  1. A Reduced‐Form Model for Warrant Valuation
    The Financial Review, 2011, 46, (3), 413-425 View citations (5)
  2. Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
    Finance Research Letters, 2011, 8, (1), 2-7 Downloads View citations (13)
  3. Foreign currency bubbles
    Review of Derivatives Research, 2011, 14, (1), 67-83 Downloads View citations (9)
  4. Housing prices and the optimal time-on-the-market decision
    Finance Research Letters, 2011, 8, (4), 171-179 Downloads
  5. The Economics of Credit Default Swaps
    Annual Review of Financial Economics, 2011, 3, (1), 235-257 Downloads View citations (22)

2010

  1. A simple robust model for Cat bond valuation
    Finance Research Letters, 2010, 7, (2), 72-79 Downloads View citations (30)
  2. Convenience yields
    Review of Derivatives Research, 2010, 13, (1), 25-43 Downloads View citations (5)
  3. Hedging in a HJM model
    Finance Research Letters, 2010, 7, (1), 8-13 Downloads
  4. On Model Testing in Financial Economics
    The Financial Review, 2010, 45, (2), 277-285 Downloads
  5. Reduced-form valuation of callable corporate bonds: Theory and evidence
    Journal of Financial Economics, 2010, 95, (2), 227-248 Downloads View citations (12)
  6. The cost of operational risk loss insurance
    Review of Derivatives Research, 2010, 13, (3), 273-295 Downloads View citations (7)
  7. Understanding the risk of leveraged ETFs
    Finance Research Letters, 2010, 7, (3), 135-139 Downloads View citations (21)

2009

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

2008

  1. Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
    Real Estate Economics, 2008, 36, (3), 441-498 Downloads View citations (13)
  2. Distressed debt prices and recovery rate estimation
    Review of Derivatives Research, 2008, 11, (3), 171-204 Downloads View citations (9)
  3. Modeling loan commitments
    Finance Research Letters, 2008, 5, (1), 11-20 Downloads View citations (9)
  4. Operational risk
    Journal of Banking & Finance, 2008, 32, (5), 870-879 Downloads View citations (17)
    See also Chapter Operational Risk, World Scientific Book Chapters, 2017, 69-70 (2017) Downloads (2017)

2007

  1. A Critique of Revised Basel II
    Journal of Financial Services Research, 2007, 32, (1), 1-16 Downloads View citations (9)
  2. Information reduction via level crossings in a credit risk model
    Finance and Stochastics, 2007, 11, (2), 195-212 Downloads View citations (8)
  3. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
    Journal of Finance, 2007, 62, (1), 345-382 Downloads View citations (41)
  4. Restructuring risk in credit default swaps: An empirical analysis
    Stochastic Processes and their Applications, 2007, 117, (11), 1724-1749 Downloads View citations (12)
    See also Working Paper Restructuring Risk in Credit Default Swaps: An Empirical Analysis, GSIA Working Papers (2006) Downloads View citations (1) (2006)
  5. Tax liens: a novel application of asset pricing theory
    Review of Derivatives Research, 2007, 10, (2), 181-204 Downloads
  6. The valuation of a firm’s investment opportunities: a reduced form credit risk perspective
    Review of Derivatives Research, 2007, 10, (1), 39-58 Downloads View citations (6)

2006

  1. Downside Loss Aversion and Portfolio Management
    Management Science, 2006, 52, (4), 558-566 Downloads View citations (45)
  2. Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
    The Review of Financial Studies, 2006, 19, (2), 493-529 Downloads View citations (67)
    See also Chapter Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence, World Scientific Book Chapters, 2008, 185-221 (2008) Downloads (2008)

2005

  1. A generalized coherent risk measure: The firm's perspective
    Finance Research Letters, 2005, 2, (1), 23-29 Downloads View citations (3)
  2. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 Downloads View citations (98)
    See also Chapter DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, World Scientific Book Chapters, 2008, 455-480 (2008) Downloads (2008)
  3. ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
    Journal of Financial Research, 2005, 28, (3), 363-383 Downloads View citations (6)
  4. Large traders, hidden arbitrage, and complete markets
    Journal of Banking & Finance, 2005, 29, (11), 2803-2820 Downloads View citations (7)

2004

  1. A Model of the Convenience Yields in On-the-Run Treasuries
    Review of Derivatives Research, 2004, 7, (2), 79-97 Downloads View citations (12)
  2. Bankruptcy Prediction with Industry Effects
    Review of Finance, 2004, 8, (4), 537-569 Downloads View citations (338)
    See also Chapter Bankruptcy Prediction with Industry Effects, World Scientific Book Chapters, 2008, 517-549 (2008) Downloads View citations (21) (2008)
  3. 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 Downloads View citations (19)
  4. Liquidity risk and arbitrage pricing theory
    Finance and Stochastics, 2004, 8, (3), 311-341 Downloads View citations (148)
    See also Chapter Liquidity risk and arbitrage pricing theory, World Scientific Book Chapters, 2008, 153-183 (2008) Downloads (2008)
  5. Risky coupon bonds as a portfolio of zero-coupon bonds
    Finance Research Letters, 2004, 1, (2), 100-105 Downloads View citations (8)
  6. Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
    Journal of Financial Economics, 2004, 73, (3), 525-565 Downloads View citations (59)

2003

  1. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 Downloads View citations (32)
    See also Chapter Market Pricing of Deposit Insurance, World Scientific Book Chapters, 2008, 551-577 (2008) Downloads (2008)
  2. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
    Journal of Financial and Quantitative Analysis, 2003, 38, (2), 337-358 Downloads View citations (66)
    See also Chapter Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, World Scientific Book Chapters, 2008, 349-370 (2008) Downloads (2008)

2002

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

2001

  1. Counterparty Risk and the Pricing of Defaultable Securities
    Journal of Finance, 2001, 56, (5), 1765-1799 Downloads View citations (261)
    See also Chapter Counterparty Risk and the Pricing of Defaultable Securities, World Scientific Book Chapters, 2008, 481-515 (2008) Downloads (2008)
  2. Default Parameter Estimation Using Market Prices
    Financial Analysts Journal, 2001, 57, (5), 75-92 Downloads View citations (14)
  3. The Liquidity Discount
    Mathematical Finance, 2001, 11, (4), 447-474 Downloads View citations (43)

2000

  1. Bayesian analysis of contingent claim model error
    Journal of Econometrics, 2000, 94, (1-2), 145-180 Downloads View citations (35)
  2. The intersection of market and credit risk
    Journal of Banking & Finance, 2000, 24, (1-2), 271-299 Downloads View citations (119)

1999

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

1998

  1. A Unified Approach for Pricing Contingent Claims on Multiple Term Structures
    Review of Quantitative Finance and Accounting, 1998, 10, (1), 5-19 Downloads View citations (4)
  2. Hedging contingent claims on semimartingales
    Finance and Stochastics, 1999, 3, (1), 111-134 Downloads View citations (5)
  3. 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 Downloads View citations (30)
  4. The arbitrage-free valuation and hedging of demand deposits and credit card loans
    Journal of Banking & Finance, 1998, 22, (3), 249-272 Downloads View citations (51)

1997

  1. A Markov Model for the Term Structure of Credit Risk Spreads
    The Review of Financial Studies, 1997, 10, (2), 481-523 View citations (481)
    See also Chapter A Markov Model for the Term Structure of Credit Risk Spreads, World Scientific Book Chapters, 2008, 411-453 (2008) Downloads View citations (2) (2008)
  2. Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
    Review of Finance, 1997, 1, (1), 15-30 Downloads View citations (14)
  3. Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible?
    Financial Management, 1997, 26, (1)

1995

  1. OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1
    Mathematical Finance, 1995, 5, (4), 311-336 Downloads View citations (30)
  2. Pricing Derivatives on Financial Securities Subject to Credit Risk
    Journal of Finance, 1995, 50, (1), 53-85 Downloads View citations (649)
    See also Chapter Pricing Derivatives on Financial Securities Subject to Credit Risk, World Scientific Book Chapters, 2008, 377-409 (2008) Downloads View citations (1) (2008)

1994

  1. Delta, gamma and bucket hedging of interest rate derivatives
    Applied Mathematical Finance, 1994, 1, (1), 21-48 Downloads View citations (22)
  2. Derivative Security Markets, Market Manipulation, and Option Pricing Theory
    Journal of Financial and Quantitative Analysis, 1994, 29, (2), 241-261 Downloads View citations (71)
    See also Chapter Derivative Security Markets, Market Manipulation, and Option Pricing Theory, World Scientific Book Chapters, 2008, 131-151 (2008) Downloads (2008)

1993

  1. Market Manipulation and Corporate Finance: A New Perspective
    Financial Management, 1993, 22, (2) View citations (5)

1992

  1. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Mathematical Finance, 1992, 2, (2), 87-106 Downloads View citations (152)
    See also Chapter ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, World Scientific Book Chapters, 2008, 85-103 (2008) Downloads View citations (1) (2008)
  2. Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
    Econometrica, 1992, 60, (1), 77-105 Downloads View citations (1050)
    See also Chapter BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION, World Scientific Book Chapters, 2008, 277-305 (2008) Downloads (2008)
  3. Market Manipulation, Bubbles, Corners, and Short Squeezes
    Journal of Financial and Quantitative Analysis, 1992, 27, (3), 311-336 Downloads View citations (160)
    See also Chapter Market Manipulation, Bubbles, Corners, and Short Squeezes, World Scientific Book Chapters, 2008, 105-130 (2008) Downloads View citations (1) (2008)
  4. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
    Mathematical Finance, 1992, 2, (4), 217-237 Downloads View citations (75)

1991

  1. A Characterization of Complete Security Markets On A Brownian Filtration1
    Mathematical Finance, 1991, 1, (3), 31-43 Downloads View citations (11)
  2. Pricing foreign currency options under stochastic interest rates
    Journal of International Money and Finance, 1991, 10, (3), 310-329 Downloads View citations (101)
    See also Chapter Pricing foreign currency options under stochastic interest rates, World Scientific Book Chapters, 2008, 307-326 (2008) Downloads (2008)
  3. The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests
    Journal of Financial and Quantitative Analysis, 1991, 26, (4), 533-547 Downloads View citations (8)

1990

  1. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
    Journal of Financial and Quantitative Analysis, 1990, 25, (4), 419-440 Downloads View citations (90)
  2. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value
    The Review of Financial Studies, 1990, 3, (3), 469-92 Downloads View citations (24)
    See also Chapter The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value, World Scientific Book Chapters, 2008, 61-84 (2008) Downloads (2008)

1989

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

1988

  1. Ex-dividend Stock Price Behavior and Arbitrage Opportunities
    The Journal of Business, 1988, 61, (1), 95-108 Downloads View citations (28)
    See also Chapter Ex-Dividend Stock Price Behavior and Arbitrage Opportunities, World Scientific Book Chapters, 2008, 47-60 (2008) Downloads (2008)
  2. Preferences, Continuity, and the Arbitrage Pricing Theory
    The Review of Financial Studies, 1988, 1, (2), 159-172 Downloads View citations (6)

1987

  1. Arbitrage, Continuous Trading, and Margin Requirements
    Journal of Finance, 1987, 42, (5), 1129-42 Downloads View citations (7)
    See also Chapter Arbitrage, Continuous Trading, and Margin Requirements, World Scientific Book Chapters, 2008, 33-46 (2008) Downloads (2008)
  2. Beliefs and arbitrage pricing
    Economics Letters, 1987, 24, (2), 165-169 Downloads
  3. Spanning and completeness in markets with contingent claims
    Journal of Economic Theory, 1987, 41, (1), 202-210 Downloads View citations (51)

1986

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

1984

  1. Jump Risks and the Intertemporal Capital Asset Pricing Model
    The Journal of Business, 1984, 57, (3), 337-51 Downloads View citations (102)
  2. The error learning hypothesis: The evidence reexamined
    Journal of Economics and Business, 1984, 36, (2), 177-188 Downloads

1983

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

1982

  1. Approximate option valuation for arbitrary stochastic processes
    Journal of Financial Economics, 1982, 10, (3), 347-369 Downloads View citations (247)
    See also Chapter APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES, World Scientific Book Chapters, 2008, 9-31 (2008) Downloads View citations (1) (2008)

1981

  1. Forward contracts and futures contracts
    Journal of Financial Economics, 1981, 9, (4), 373-382 Downloads View citations (40)
    See also Chapter FORWARD CONTRACTS AND FUTURES CONTRACTS, World Scientific Book Chapters, 2008, 237-246 (2008) Downloads (2008)

1980

  1. Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
    Journal of Finance, 1980, 35, (5), 1105-13 Downloads View citations (99)

1978

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

1977

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

Books

2024

  1. An Introduction to Derivative Securities, Financial Markets, and Risk Management
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

2017

  1. The Economic Foundations of Risk Management:Theory, Practice, and Applications
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (2)

2008

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

Edited books

2023

  1. Peter Carr Gedenkschrift:Research Advances in Mathematical Finance
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

Chapters

2024

  1. Arbitrage and Trading
    Chapter 6 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 109-125 Downloads
  2. Derivatives and Risk Management
    Chapter 1 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 2-20 Downloads
  3. Financial Engineering and Swaps
    Chapter 7 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 126-148 Downloads
  4. Forwards and Futures
    Chapter 4 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 69-88 Downloads
  5. Forwards and Futures Markets
    Chapter 8 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 152-169 Downloads
  6. Futures Hedging
    Chapter 13 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 253-282 Downloads
  7. Futures Regulations
    Chapter 10 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 190-206 Downloads
  8. Futures Trading
    Chapter 9 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 170-189 Downloads
  9. Interest Rate Swaps
    Chapter 22 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 534-553 Downloads
  10. Interest Rates
    Chapter 2 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 21-49 Downloads
  11. Multiperiod Binomial HJM Model
    Chapter 24 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 588-613 Downloads
  12. Multiperiod Binomial Model
    Chapter 18 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 389-418 Downloads
  13. Option Relations
    Chapter 16 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 334-364 Downloads
  14. Option Trading Strategies
    Chapter 15 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 308-333 Downloads
  15. Options
    Chapter 5 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 89-108 Downloads
  16. Options Markets and Trading
    Chapter 14 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 286-307 Downloads
  17. Risk Management Models
    Chapter 26 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 650-678 Downloads
  18. Single-Period Binomial Heath–Jarrow–Morton Model
    Chapter 23 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 554-587 Downloads
  19. Single-Period Binomial Model
    Chapter 17 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 365-388 Downloads
  20. Stocks
    Chapter 3 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 50-68 Downloads
  21. The Black–Scholes–Merton Model
    Chapter 19 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 419-458 Downloads
  22. The Cost-of-Carry Model
    Chapter 11 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 207-225 Downloads
  23. The Extended Cost-of-Carry Model
    Chapter 12 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 226-252 Downloads
  24. The Heath–Jarrow–Morton Libor Model
    Chapter 25 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 614-649 Downloads
  25. Using the Black–Scholes–Merton Model
    Chapter 20 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 459-490 Downloads
  26. Yields and Forward Rates
    Chapter 21 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 494-533 Downloads

2023

  1. Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies
    Chapter 14 in Peter Carr Gedenkschrift Research Advances in Mathematical Finance, 2023, pp 475-510 Downloads

2017

  1. Banks
    Chapter 12 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 93-97 Downloads
  2. Barings Bank (1995)
    Chapter 19 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 155-160 Downloads
  3. Credit Risk
    Chapter 6 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 53-58 Downloads View citations (15)
  4. Derivatives
    Chapter 3 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 19-28 Downloads View citations (38)
  5. Diversification
    Chapter 13 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 103-105 Downloads
  6. Dynamic Hedging
    Chapter 15 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 115-125 Downloads
  7. Firms
    Chapter 11 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 89-91 Downloads
  8. Individuals
    Chapter 10 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 81-87 Downloads
  9. Introduction
    Chapter 1 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 3-4 Downloads View citations (1)
  10. Liquidity Risk
    Chapter 7 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 59-68 Downloads 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 Downloads
  12. Market Risk (Equities, FX, Commodities)
    Chapter 4 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 35-45 Downloads
  13. Market Risk (Interest Rates)
    Chapter 5 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 47-52 Downloads
  14. Metallgesellschaft (1993)
    Chapter 17 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 141-145 Downloads
  15. Operational Risk
    Chapter 8 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 69-70 Downloads
    See also Journal Article Operational risk, Elsevier (2008) Downloads View citations (17) (2008)
  16. Orange County (1994)
    Chapter 18 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 147-153 Downloads
  17. Penn Square Bank (1982)
    Chapter 16 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 133-139 Downloads
  18. Primary Assets
    Chapter 2 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 9-17 Downloads
  19. Static Hedging
    Chapter 14 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 107-113 Downloads
  20. The Credit Crisis (2007)
    Chapter 21 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 167-171 Downloads
  21. Trading Constraints
    Chapter 9 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 71-76 Downloads
  22. Washington Mutual (2008)
    Chapter 22 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 173-177 Downloads

2008

  1. 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 Downloads View citations (2)
    See also Journal Article A Markov Model for the Term Structure of Credit Risk Spreads, Society for Financial Studies (1997) View citations (481) (1997)
  2. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Chapter 5 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 85-103 Downloads View citations (1)
    See also Journal Article ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, Wiley Blackwell (1992) Downloads View citations (152) (1992)
  3. APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES
    Chapter 1 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 9-31 Downloads View citations (1)
    See also Journal Article Approximate option valuation for arbitrary stochastic processes, Elsevier (1982) Downloads View citations (247) (1982)
  4. Arbitrage, Continuous Trading, and Margin Requirements
    Chapter 2 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 33-46 Downloads
    See also Journal Article Arbitrage, Continuous Trading, and Margin Requirements, American Finance Association (1987) Downloads View citations (7) (1987)
  5. 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 Downloads
    See also Journal Article Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometric Society (1992) Downloads View citations (1050) (1992)
  6. Bankruptcy Prediction with Industry Effects
    Chapter 21 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 517-549 Downloads View citations (21)
    See also Journal Article Bankruptcy Prediction with Industry Effects, European Finance Association (2004) Downloads View citations (338) (2004)
  7. Counterparty Risk and the Pricing of Defaultable Securities
    Chapter 20 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 481-515 Downloads
    See also Journal Article Counterparty Risk and the Pricing of Defaultable Securities, American Finance Association (2001) Downloads View citations (261) (2001)
  8. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Chapter 19 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 455-480 Downloads
    See also Journal Article DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, Wiley Blackwell (2005) Downloads View citations (98) (2005)
  9. Derivative Security Markets, Market Manipulation, and Option Pricing Theory
    Chapter 7 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 131-151 Downloads
    See also Journal Article Derivative Security Markets, Market Manipulation, and Option Pricing Theory, Cambridge University Press (1994) Downloads View citations (71) (1994)
  10. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities
    Chapter 3 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 47-60 Downloads
    See also Journal Article Ex-dividend Stock Price Behavior and Arbitrage Opportunities, University of Chicago Press (1988) Downloads View citations (28) (1988)
  11. FORWARD CONTRACTS AND FUTURES CONTRACTS
    Chapter 11 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 237-246 Downloads
    See also Journal Article Forward contracts and futures contracts, Elsevier (1981) Downloads View citations (40) (1981)
  12. LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS
    Chapter 10 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 229-236 Downloads View citations (1)
  13. Liquidity risk and arbitrage pricing theory
    Chapter 8 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 153-183 Downloads
    See also Journal Article Liquidity risk and arbitrage pricing theory, Springer (2004) Downloads View citations (148) (2004)
  14. MODELING CREDIT RISK WITH PARTIAL INFORMATION
    Chapter 23 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 579-590 Downloads View citations (1)
    See also Working Paper Modeling Credit Risk with Partial Information, arXiv.org (2004) Downloads View citations (37) (2004)
  15. Market Manipulation, Bubbles, Corners, and Short Squeezes
    Chapter 6 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 105-130 Downloads View citations (1)
    See also Journal Article Market Manipulation, Bubbles, Corners, and Short Squeezes, Cambridge University Press (1992) Downloads View citations (160) (1992)
  16. Market Pricing of Deposit Insurance
    Chapter 22 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 551-577 Downloads
    See also Journal Article Market Pricing of Deposit Insurance, Springer (2003) Downloads View citations (32) (2003)
  17. 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 Downloads
  18. Pricing Derivatives on Financial Securities Subject to Credit Risk
    Chapter 17 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 377-409 Downloads View citations (1)
    See also Journal Article Pricing Derivatives on Financial Securities Subject to Credit Risk, American Finance Association (1995) Downloads View citations (649) (1995)
  19. 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 Downloads
    See also Journal Article Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence, Society for Financial Studies (2006) Downloads View citations (67) (2006)
  20. 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 Downloads
    See also Journal Article Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, Cambridge University Press (2003) Downloads View citations (66) (2003)
  21. Pricing foreign currency options under stochastic interest rates
    Chapter 14 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 307-326 Downloads
    See also Journal Article Pricing foreign currency options under stochastic interest rates, Elsevier (1991) Downloads View citations (101) (1991)
  22. THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES
    Chapter 12 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 247-275 Downloads View citations (1)
  23. 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 Downloads
    See also Journal Article The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value, Society for Financial Studies (1990) Downloads View citations (24) (1990)
 
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