Details about Robert Jarrow
Access statistics for papers by Robert Jarrow.
Last updated 2025-01-06. Update your information in the RePEc Author Service.
Short-id: pja39
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Working Papers
2024
- Filtration Reduction and Completeness in Jump-Diffusion Models
Papers, arXiv.org
2023
- Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples
Papers, arXiv.org
2022
- Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
Papers, arXiv.org 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) (2024)
2021
- High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
Papers, arXiv.org 
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) View citations (5) (2020)
- Inferring Financial Bubbles from Option Data
Working Papers, University of Sydney, School of Economics View citations (8)
See also Journal Article Inferring financial bubbles from option data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (8) (2021)
- The Low-volatility Anomaly and the Adaptive Multi-Factor Model
Papers, arXiv.org 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) (2023)
- Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
Papers, arXiv.org 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) View citations (2) (2021)
2015
- The effect of trading futures on short sale constraints
Post-Print, HAL View citations (3)
See also Journal Article THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS, Mathematical Finance, Wiley Blackwell (2015) View citations (4) (2015)
2014
- Informational Efficiency under Short Sale Constraints
Papers, arXiv.org View citations (1)
- Specification Tests of Calibrated Option Pricing Models
Working Papers, University of Sydney, School of Economics 
See also Journal Article Specification tests of calibrated option pricing models, Journal of Econometrics, Elsevier (2015) View citations (8) (2015)
2011
- Is there a bubble in LinkedIn's stock price?
Papers, arXiv.org View citations (14)
- The economic default time and the Arcsine law
Papers, arXiv.org 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) View citations (3) (2014)
2009
- Housing Market Microstructure
Papers, arXiv.org
2006
- 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 Restructuring risk in credit default swaps: An empirical analysis, Stochastic Processes and their Applications, Elsevier (2007) View citations (12) (2007)
2004
- 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)
- 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 MODELING CREDIT RISK WITH PARTIAL INFORMATION, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2008) View citations (1) (2008)
1996
- 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)
- 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
- Option pricing with random volatilities in complete markets
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (5)
Journal Articles
2024
- A study on asset price bubble dynamics: explosive trend or quadratic variation?
Quantitative Finance, 2024, 24, (5), 613-626
- Computing the probability of a financial market failure: a new measure of systemic risk
Annals of Operations Research, 2024, 336, (1), 481-503 
See also Working Paper Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk, Papers (2022) View citations (1) (2022)
- FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON
International Journal of Theoretical and Applied Finance (IJTAF), 2024, 27, (05n06), 1-23
- Option Pricing in an Incomplete Market
Quarterly Journal of Finance (QJF), 2024, 14, (03), 1-16
2023
- 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 View citations (1)
- An explosion time characterization of asset price bubbles
International Review of Finance, 2023, 23, (2), 469-479 View citations (1)
- Futures contract collateralization and its implications
Journal of Empirical Finance, 2023, 74, (C)
- Inflation-Adjusted Bonds, Swaps, and Derivatives
Annual Review of Financial Economics, 2023, 15, (1), 449-471
- Interest rate swaps: a comparison of compounded daily versus discrete reference rates
Review of Derivatives Research, 2023, 26, (1), 1-21
- Media trading groups and short selling manipulation
Quantitative Finance, 2023, 23, (7-8), 1035-1052
- THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL
International Journal of Theoretical and Applied Finance (IJTAF), 2023, 26, (04n05), 1-33 
See also Working Paper The Low-volatility Anomaly and the Adaptive Multi-Factor Model, Papers (2021) View citations (2) (2021)
- The no-arbitrage pricing of non-traded assets
Annals of Finance, 2023, 19, (3), 401-418
2022
- APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES
International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (03), 1-25 View citations (3)
- Funding shortages, expectations, and forward rate risk premium
Quantitative Finance, 2022, 22, (7), 1321-1341
- High frequency trading and standard asset pricing models
Finance Research Letters, 2022, 49, (C) View citations (1)
- Index Design: Hedging and Manipulation
Quarterly Journal of Finance (QJF), 2022, 12, (02), 1-36
- Risk premia, asset price bubbles, and monetary policy
Journal of Financial Stability, 2022, 60, (C) View citations (1)
2021
- Concavity, stochastic utility, and risk aversion
Finance and Stochastics, 2021, 25, (2), 311-330 View citations (2)
- Endogenous liquidity risk and dealer market structure
The Quarterly Review of Economics and Finance, 2021, 81, (C), 449-453 View citations (1)
- Inferring financial bubbles from option data
Journal of Applied Econometrics, 2021, 36, (7), 1013-1046 View citations (8)
See also Working Paper Inferring Financial Bubbles from Option Data, Working Papers (2021) View citations (8) (2021)
- Risk‐neutral pricing techniques and examples
Mathematical Finance, 2021, 31, (3), 857-884
- The Economics of Insurance: A Derivatives-Based Approach
Annual Review of Financial Economics, 2021, 13, (1), 79-110 View citations (1)
- 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 Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model, Papers (2021) View citations (4) (2021)
2020
- Credit Risk, Liquidity, and Bubbles
International Review of Finance, 2020, 20, (3), 737-746 View citations (3)
- High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
Quarterly Journal of Finance (QJF), 2020, 10, (04), 1-52 View citations (5)
See also Working Paper High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model, Papers (2021) (2021)
- 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
- 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)
- Exploring Mispricing in the Term Structure of CDS Spreads
Review of Finance, 2019, 23, (1), 161-198 View citations (11)
- Fair Microfinance Loan Rates
International Review of Finance, 2019, 19, (4), 909-918 View citations (3)
- Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Management Science, 2019, 65, (4), 1833-1854 View citations (1)
2018
- 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)
- An empirical investigation of large trader market manipulation in derivatives markets
Review of Derivatives Research, 2018, 21, (3), 331-374 View citations (2)
- Asset market equilibrium with liquidity risk
Annals of Finance, 2018, 14, (2), 253-288 View citations (1)
- CMBS market efficiency: The crisis and the recovery
Journal of Financial Stability, 2018, 36, (C), 159-186 View citations (2)
- On aggregation and representative agent equilibria
Journal of Mathematical Economics, 2018, 74, (C), 119-127 View citations (9)
- Optimal cash holdings under heterogeneous beliefs
Mathematical Finance, 2018, 28, (2), 712-747 View citations (2)
- Portfolio balance effects and the Federal Reserve’s large-scale asset purchases
Studies in Economics and Finance, 2018, 35, (1), 2-24 View citations (1)
2017
- A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES
International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (08), 1-39
2016
- BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS
International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (01), 1-19 View citations (5)
- Relative asset price bubbles
Annals of Finance, 2016, 12, (2), 135-160
2015
- Asset Price Bubbles
Annual Review of Financial Economics, 2015, 7, (1), 201-218 View citations (33)
- Bank runs and self-insured bank deposits
The Quarterly Review of Economics and Finance, 2015, 58, (C), 180-189
- Designing catastrophic bonds for catastrophic risks in agriculture
Agricultural Finance Review, 2015, 75, (1), 47-62 View citations (1)
- 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
- Specification tests of calibrated option pricing models
Journal of Econometrics, 2015, 189, (2), 397-414 View citations (8)
See also Working Paper Specification Tests of Calibrated Option Pricing Models, Working Papers (2014) (2014)
- THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
Mathematical Finance, 2015, 25, (2), 311-338 View citations (4)
See also Working Paper The effect of trading futures on short sale constraints, Post-Print (2015) View citations (3) (2015)
- The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates
Quarterly Journal of Finance (QJF), 2015, 05, (02), 1-34 View citations (1)
2014
- Computing present values: Capital budgeting done correctly
Finance Research Letters, 2014, 11, (3), 183-193
- Financial crises and economic growth
The Quarterly Review of Economics and Finance, 2014, 54, (2), 194-207 View citations (7)
- Forward Rate Curve Smoothing
Annual Review of Financial Economics, 2014, 6, (1), 443-458 View citations (3)
- 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)
- The economic default time and the arcsine law
Journal of Financial Engineering (JFE), 2014, 01, (03), 1-18 View citations (3)
See also Working Paper The economic default time and the Arcsine law, Papers (2011) View citations (1) (2011)
- The impact of quantitative easing on the US term structure of interest rates
Review of Derivatives Research, 2014, 17, (3), 287-321 View citations (12)
2013
- A leverage ratio rule for capital adequacy
Journal of Banking & Finance, 2013, 37, (3), 973-976 View citations (37)
- Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading
Quarterly Journal of Finance (QJF), 2013, 03, (02), 1-12
- Capital adequacy rules, catastrophic firm failure, and systemic risk
Review of Derivatives Research, 2013, 16, (3), 219-231 View citations (5)
- Discretely sampled variance and volatility swaps versus their continuous approximations
Finance and Stochastics, 2013, 17, (2), 305-324 View citations (21)
- The zero-lower bound on interest rates: Myth or reality?
Finance Research Letters, 2013, 10, (4), 151-156 View citations (2)
2012
- 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 (36)
- A liquidity-based model for asset price bubbles
Quantitative Finance, 2012, 12, (9), 1339-1349 View citations (8)
- An improved test for statistical arbitrage
Journal of Financial Markets, 2012, 15, (1), 47-80 View citations (8)
- 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)
- Hedging derivatives with model error
Quantitative Finance, 2012, 12, (6), 855-863 View citations (1)
- 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)
- THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING
Annals of Financial Economics (AFE), 2012, 07, (02), 1-11 View citations (7)
2011
- A Reduced‐Form Model for Warrant Valuation
The Financial Review, 2011, 46, (3), 413-425 View citations (5)
- 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)
- Foreign currency bubbles
Review of Derivatives Research, 2011, 14, (1), 67-83 View citations (9)
- Housing prices and the optimal time-on-the-market decision
Finance Research Letters, 2011, 8, (4), 171-179
- The Economics of Credit Default Swaps
Annual Review of Financial Economics, 2011, 3, (1), 235-257 View citations (22)
2010
- A simple robust model for Cat bond valuation
Finance Research Letters, 2010, 7, (2), 72-79 View citations (30)
- Convenience yields
Review of Derivatives Research, 2010, 13, (1), 25-43 View citations (5)
- Hedging in a HJM model
Finance Research Letters, 2010, 7, (1), 8-13
- On Model Testing in Financial Economics
The Financial Review, 2010, 45, (2), 277-285
- Reduced-form valuation of callable corporate bonds: Theory and evidence
Journal of Financial Economics, 2010, 95, (2), 227-248 View citations (12)
- The cost of operational risk loss insurance
Review of Derivatives Research, 2010, 13, (3), 273-295 View citations (7)
- Understanding the risk of leveraged ETFs
Finance Research Letters, 2010, 7, (3), 135-139 View citations (21)
2009
- Credit Risk Models
Annual Review of Financial Economics, 2009, 1, (1), 37-68 View citations (56)
- FORWARD AND FUTURES PRICES WITH BUBBLES
International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 901-924 View citations (11)
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
Mathematical Finance, 2009, 19, (1), 73-97 View citations (13)
- The Term Structure of Interest Rates
Annual Review of Financial Economics, 2009, 1, (1), 69-96 View citations (76)
2008
- Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
Real Estate Economics, 2008, 36, (3), 441-498 View citations (13)
- Distressed debt prices and recovery rate estimation
Review of Derivatives Research, 2008, 11, (3), 171-204 View citations (9)
- Modeling loan commitments
Finance Research Letters, 2008, 5, (1), 11-20 View citations (9)
- Operational risk
Journal of Banking & Finance, 2008, 32, (5), 870-879 View citations (17)
See also Chapter Operational Risk, World Scientific Book Chapters, 2017, 69-70 (2017) (2017)
2007
- A Critique of Revised Basel II
Journal of Financial Services Research, 2007, 32, (1), 1-16 View citations (9)
- Information reduction via level crossings in a credit risk model
Finance and Stochastics, 2007, 11, (2), 195-212 View citations (8)
- Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
Journal of Finance, 2007, 62, (1), 345-382 View citations (41)
- 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 Restructuring Risk in Credit Default Swaps: An Empirical Analysis, GSIA Working Papers (2006) View citations (1) (2006)
- Tax liens: a novel application of asset pricing theory
Review of Derivatives Research, 2007, 10, (2), 181-204
- 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
- Downside Loss Aversion and Portfolio Management
Management Science, 2006, 52, (4), 558-566 View citations (45)
- Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
The Review of Financial Studies, 2006, 19, (2), 493-529 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) (2008)
2005
- A generalized coherent risk measure: The firm's perspective
Finance Research Letters, 2005, 2, (1), 23-29 View citations (3)
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
Mathematical Finance, 2005, 15, (1), 1-26 View citations (98)
See also Chapter DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, World Scientific Book Chapters, 2008, 455-480 (2008) (2008)
- ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
Journal of Financial Research, 2005, 28, (3), 363-383 View citations (6)
- Large traders, hidden arbitrage, and complete markets
Journal of Banking & Finance, 2005, 29, (11), 2803-2820 View citations (7)
2004
- A Model of the Convenience Yields in On-the-Run Treasuries
Review of Derivatives Research, 2004, 7, (2), 79-97 View citations (12)
- Bankruptcy Prediction with Industry Effects
Review of Finance, 2004, 8, (4), 537-569 View citations (338)
See also Chapter Bankruptcy Prediction with Industry Effects, World Scientific Book Chapters, 2008, 517-549 (2008) View citations (21) (2008)
- 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)
- Liquidity risk and arbitrage pricing theory
Finance and Stochastics, 2004, 8, (3), 311-341 View citations (148)
See also Chapter Liquidity risk and arbitrage pricing theory, World Scientific Book Chapters, 2008, 153-183 (2008) (2008)
- Risky coupon bonds as a portfolio of zero-coupon bonds
Finance Research Letters, 2004, 1, (2), 100-105 View citations (8)
- Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Journal of Financial Economics, 2004, 73, (3), 525-565 View citations (59)
2003
- Market Pricing of Deposit Insurance
Journal of Financial Services Research, 2003, 24, (2), 93-119 View citations (32)
See also Chapter Market Pricing of Deposit Insurance, World Scientific Book Chapters, 2008, 551-577 (2008) (2008)
- 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 (66)
See also Chapter Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, World Scientific Book Chapters, 2008, 349-370 (2008) (2008)
2002
- Put Option Premiums and Coherent Risk Measures
Mathematical Finance, 2002, 12, (2), 135-142 View citations (19)
2001
- Counterparty Risk and the Pricing of Defaultable Securities
Journal of Finance, 2001, 56, (5), 1765-1799 View citations (261)
See also Chapter Counterparty Risk and the Pricing of Defaultable Securities, World Scientific Book Chapters, 2008, 481-515 (2008) (2008)
- Default Parameter Estimation Using Market Prices
Financial Analysts Journal, 2001, 57, (5), 75-92 View citations (14)
- The Liquidity Discount
Mathematical Finance, 2001, 11, (4), 447-474 View citations (43)
2000
- Bayesian analysis of contingent claim model error
Journal of Econometrics, 2000, 94, (1-2), 145-180 View citations (35)
- The intersection of market and credit risk
Journal of Banking & Finance, 2000, 24, (1-2), 271-299 View citations (119)
1999
- 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)
- The Second Fundamental Theorem of Asset Pricing
Mathematical Finance, 1999, 9, (3), 255-273 View citations (20)
- The Second Fundamental Theorem of Asset Pricing: A New Approach
The Review of Financial Studies, 1999, 12, (5), 1219-35 View citations (22)
1998
- 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)
- Hedging contingent claims on semimartingales
Finance and Stochastics, 1999, 3, (1), 111-134 View citations (5)
- 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 (30)
- The arbitrage-free valuation and hedging of demand deposits and credit card loans
Journal of Banking & Finance, 1998, 22, (3), 249-272 View citations (51)
1997
- 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) View citations (2) (2008)
- Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
Review of Finance, 1997, 1, (1), 15-30 View citations (14)
- Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible?
Financial Management, 1997, 26, (1)
1995
- 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)
- Pricing Derivatives on Financial Securities Subject to Credit Risk
Journal of Finance, 1995, 50, (1), 53-85 View citations (649)
See also Chapter Pricing Derivatives on Financial Securities Subject to Credit Risk, World Scientific Book Chapters, 2008, 377-409 (2008) View citations (1) (2008)
1994
- Delta, gamma and bucket hedging of interest rate derivatives
Applied Mathematical Finance, 1994, 1, (1), 21-48 View citations (22)
- Derivative Security Markets, Market Manipulation, and Option Pricing Theory
Journal of Financial and Quantitative Analysis, 1994, 29, (2), 241-261 View citations (71)
See also Chapter Derivative Security Markets, Market Manipulation, and Option Pricing Theory, World Scientific Book Chapters, 2008, 131-151 (2008) (2008)
1993
- Market Manipulation and Corporate Finance: A New Perspective
Financial Management, 1993, 22, (2) View citations (5)
1992
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Mathematical Finance, 1992, 2, (2), 87-106 View citations (152)
See also Chapter ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, World Scientific Book Chapters, 2008, 85-103 (2008) View citations (1) (2008)
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
Econometrica, 1992, 60, (1), 77-105 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) (2008)
- Market Manipulation, Bubbles, Corners, and Short Squeezes
Journal of Financial and Quantitative Analysis, 1992, 27, (3), 311-336 View citations (160)
See also Chapter Market Manipulation, Bubbles, Corners, and Short Squeezes, World Scientific Book Chapters, 2008, 105-130 (2008) View citations (1) (2008)
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
Mathematical Finance, 1992, 2, (4), 217-237 View citations (75)
1991
- A Characterization of Complete Security Markets On A Brownian Filtration1
Mathematical Finance, 1991, 1, (3), 31-43 View citations (11)
- Pricing foreign currency options under stochastic interest rates
Journal of International Money and Finance, 1991, 10, (3), 310-329 View citations (101)
See also Chapter Pricing foreign currency options under stochastic interest rates, World Scientific Book Chapters, 2008, 307-326 (2008) (2008)
- 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
- 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 (90)
- 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 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) (2008)
1989
- Option Pricing and Implicit Volatilities
Journal of Economic Surveys, 1989, 3, (1), 59-81 View citations (4)
1988
- Ex-dividend Stock Price Behavior and Arbitrage Opportunities
The Journal of Business, 1988, 61, (1), 95-108 View citations (28)
See also Chapter Ex-Dividend Stock Price Behavior and Arbitrage Opportunities, World Scientific Book Chapters, 2008, 47-60 (2008) (2008)
- Preferences, Continuity, and the Arbitrage Pricing Theory
The Review of Financial Studies, 1988, 1, (2), 159-172 View citations (6)
1987
- Arbitrage, Continuous Trading, and Margin Requirements
Journal of Finance, 1987, 42, (5), 1129-42 View citations (7)
See also Chapter Arbitrage, Continuous Trading, and Margin Requirements, World Scientific Book Chapters, 2008, 33-46 (2008) (2008)
- Beliefs and arbitrage pricing
Economics Letters, 1987, 24, (2), 165-169
- Spanning and completeness in markets with contingent claims
Journal of Economic Theory, 1987, 41, (1), 202-210 View citations (51)
1986
- A characterization theorem for unique risk neutral probability measures
Economics Letters, 1986, 22, (1), 61-65 View citations (7)
- The Relationship between Arbitrage and First Order Stochastic Dominance
Journal of Finance, 1986, 41, (4), 915-21 View citations (55)
1984
- Jump Risks and the Intertemporal Capital Asset Pricing Model
The Journal of Business, 1984, 57, (3), 337-51 View citations (102)
- The error learning hypothesis: The evidence reexamined
Journal of Economics and Business, 1984, 36, (2), 177-188
1983
- A comparison of the APT and CAPM a note
Journal of Banking & Finance, 1983, 7, (2), 295-303 View citations (3)
- Consensus Beliefs Equilibrium and Market Efficiency
Journal of Finance, 1983, 38, (3), 903-11
1982
- Approximate option valuation for arbitrary stochastic processes
Journal of Financial Economics, 1982, 10, (3), 347-369 View citations (247)
See also Chapter APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES, World Scientific Book Chapters, 2008, 9-31 (2008) View citations (1) (2008)
1981
- Forward contracts and futures contracts
Journal of Financial Economics, 1981, 9, (4), 373-382 View citations (40)
See also Chapter FORWARD CONTRACTS AND FUTURES CONTRACTS, World Scientific Book Chapters, 2008, 237-246 (2008) (2008)
1980
- Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
Journal of Finance, 1980, 35, (5), 1105-13 View citations (99)
1978
- The Relationship between Yield, Risk and Return of Corporate Bonds
Journal of Finance, 1978, 33, (4), 1235-40 View citations (12)
1977
- An autoregressive jump process for common stock returns
Journal of Financial Economics, 1977, 5, (3), 389-418 View citations (7)
Books
2024
- An Introduction to Derivative Securities, Financial Markets, and Risk Management
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
2017
- The Economic Foundations of Risk Management:Theory, Practice, and Applications
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (2)
2008
- Financial Derivatives Pricing:Selected Works of Robert Jarrow
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
Edited books
2023
- Peter Carr Gedenkschrift:Research Advances in Mathematical Finance
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
Chapters
2024
- Arbitrage and Trading
Chapter 6 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 109-125
- Derivatives and Risk Management
Chapter 1 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 2-20
- Financial Engineering and Swaps
Chapter 7 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 126-148
- Forwards and Futures
Chapter 4 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 69-88
- Forwards and Futures Markets
Chapter 8 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 152-169
- Futures Hedging
Chapter 13 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 253-282
- Futures Regulations
Chapter 10 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 190-206
- Futures Trading
Chapter 9 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 170-189
- Interest Rate Swaps
Chapter 22 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 534-553
- Interest Rates
Chapter 2 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 21-49
- Multiperiod Binomial HJM Model
Chapter 24 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 588-613
- Multiperiod Binomial Model
Chapter 18 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 389-418
- Option Relations
Chapter 16 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 334-364
- Option Trading Strategies
Chapter 15 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 308-333
- Options
Chapter 5 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 89-108
- Options Markets and Trading
Chapter 14 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 286-307
- Risk Management Models
Chapter 26 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 650-678
- Single-Period Binomial Heath–Jarrow–Morton Model
Chapter 23 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 554-587
- Single-Period Binomial Model
Chapter 17 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 365-388
- Stocks
Chapter 3 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 50-68
- The Black–Scholes–Merton Model
Chapter 19 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 419-458
- The Cost-of-Carry Model
Chapter 11 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 207-225
- The Extended Cost-of-Carry Model
Chapter 12 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 226-252
- The Heath–Jarrow–Morton Libor Model
Chapter 25 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 614-649
- Using the Black–Scholes–Merton Model
Chapter 20 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 459-490
- Yields and Forward Rates
Chapter 21 in AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, 2024, pp 494-533
2023
- 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
2017
- Banks
Chapter 12 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 93-97
- Barings Bank (1995)
Chapter 19 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 155-160
- Credit Risk
Chapter 6 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 53-58 View citations (15)
- Derivatives
Chapter 3 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 19-28 View citations (38)
- Diversification
Chapter 13 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 103-105
- Dynamic Hedging
Chapter 15 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 115-125
- Firms
Chapter 11 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 89-91
- Individuals
Chapter 10 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 81-87
- Introduction
Chapter 1 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 3-4 View citations (1)
- Liquidity Risk
Chapter 7 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 59-68 View citations (12)
- Long Term Capital Management (1998)
Chapter 20 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 161-166
- Market Risk (Equities, FX, Commodities)
Chapter 4 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 35-45
- Market Risk (Interest Rates)
Chapter 5 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 47-52
- Metallgesellschaft (1993)
Chapter 17 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 141-145
- Operational Risk
Chapter 8 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 69-70 
See also Journal Article Operational risk, Elsevier (2008) View citations (17) (2008)
- Orange County (1994)
Chapter 18 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 147-153
- Penn Square Bank (1982)
Chapter 16 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 133-139
- Primary Assets
Chapter 2 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 9-17
- Static Hedging
Chapter 14 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 107-113
- The Credit Crisis (2007)
Chapter 21 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 167-171
- Trading Constraints
Chapter 9 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 71-76
- Washington Mutual (2008)
Chapter 22 in THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, 2017, pp 173-177
2008
- 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 A Markov Model for the Term Structure of Credit Risk Spreads, Society for Financial Studies (1997) View citations (481) (1997)
- 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 ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, Wiley Blackwell (1992) View citations (152) (1992)
- 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 Approximate option valuation for arbitrary stochastic processes, Elsevier (1982) View citations (247) (1982)
- 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 Arbitrage, Continuous Trading, and Margin Requirements, American Finance Association (1987) View citations (7) (1987)
- 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 Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometric Society (1992) View citations (1050) (1992)
- 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 Bankruptcy Prediction with Industry Effects, European Finance Association (2004) View citations (338) (2004)
- 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 Counterparty Risk and the Pricing of Defaultable Securities, American Finance Association (2001) View citations (261) (2001)
- 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 DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, Wiley Blackwell (2005) View citations (98) (2005)
- 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 Derivative Security Markets, Market Manipulation, and Option Pricing Theory, Cambridge University Press (1994) View citations (71) (1994)
- 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 Ex-dividend Stock Price Behavior and Arbitrage Opportunities, University of Chicago Press (1988) View citations (28) (1988)
- FORWARD CONTRACTS AND FUTURES CONTRACTS
Chapter 11 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 237-246 
See also Journal Article Forward contracts and futures contracts, Elsevier (1981) View citations (40) (1981)
- LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS
Chapter 10 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 229-236 View citations (1)
- 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 Liquidity risk and arbitrage pricing theory, Springer (2004) View citations (148) (2004)
- 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 Modeling Credit Risk with Partial Information, arXiv.org (2004) View citations (37) (2004)
- 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 Market Manipulation, Bubbles, Corners, and Short Squeezes, Cambridge University Press (1992) View citations (160) (1992)
- Market Pricing of Deposit Insurance
Chapter 22 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 551-577 
See also Journal Article Market Pricing of Deposit Insurance, Springer (2003) View citations (32) (2003)
- 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
- 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 Pricing Derivatives on Financial Securities Subject to Credit Risk, American Finance Association (1995) View citations (649) (1995)
- 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 Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence, Society for Financial Studies (2006) View citations (67) (2006)
- 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 Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, Cambridge University Press (2003) View citations (66) (2003)
- 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 Pricing foreign currency options under stochastic interest rates, Elsevier (1991) View citations (101) (1991)
- 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)
- 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 The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value, Society for Financial Studies (1990) View citations (24) (1990)
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