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Details about Robert Jarrow

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

Access statistics for papers by Robert Jarrow.

Last updated 2018-12-05. Update your information in the RePEc Author Service.

Short-id: pja39


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Working Papers

2018

  1. High Dimensional Estimation and Multi-Factor Models
    Papers, arXiv.org Downloads

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 in Journal of Econometrics (2015)

2011

  1. Is there a bubble in LinkedIn's stock price?
    Papers, arXiv.org Downloads View citations (8)
  2. The economic default time and the Arcsine law
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Financial Engineering (JFE) (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 in Stochastic Processes and their Applications (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 (26)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (26)

    See also Chapter (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 (1)
  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 View citations (1)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

1991

  1. Option pricing with random volatilities in complete markets
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)

Journal Articles

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
  2. An empirical investigation of large trader market manipulation in derivatives markets
    Review of Derivatives Research, 2018, 21, (3), 331-374 Downloads
  3. Asset market equilibrium with liquidity risk
    Annals of Finance, 2018, 14, (2), 253-288 Downloads
  4. CMBS market efficiency: The crisis and the recovery
    Journal of Financial Stability, 2018, 36, (C), 159-186 Downloads
  5. On aggregation and representative agent equilibria
    Journal of Mathematical Economics, 2018, 74, (C), 119-127 Downloads
  6. Optimal cash holdings under heterogeneous beliefs
    Mathematical Finance, 2018, 28, (2), 712-747 Downloads

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
  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 (20)
  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: Macro hedging long and short rains in Kenya
    Agricultural Finance Review, 2015, 75, (1), 47-62 Downloads
  4. Specification tests of calibrated option pricing models
    Journal of Econometrics, 2015, 189, (2), 397-414 Downloads View citations (7)
    See also Working Paper (2014)
  5. THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
    Mathematical Finance, 2015, 25, (2), 311-338 Downloads View citations (2)
  6. 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

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 (3)
  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
  5. The economic default time and the arcsine law
    Journal of Financial Engineering (JFE), 2014, 01, (03), 1-18 Downloads
    See also Working Paper (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 (5)

2013

  1. A leverage ratio rule for capital adequacy
    Journal of Banking & Finance, 2013, 37, (3), 973-976 Downloads View citations (13)
  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 (3)
  4. Discretely sampled variance and volatility swaps versus their continuous approximations
    Finance and Stochastics, 2013, 17, (2), 305-324 Downloads View citations (9)
  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 (5)
  2. A liquidity-based model for asset price bubbles
    Quantitative Finance, 2012, 12, (9), 1339-1349 Downloads View citations (6)
  3. An improved test for statistical arbitrage
    Journal of Financial Markets, 2012, 15, (1), 47-80 Downloads View citations (4)
  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
  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
  7. THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING
    Annals of Financial Economics (AFE), 2012, 07, (02), 1-11 Downloads View citations (2)

2011

  1. A Reduced‐Form Model for Warrant Valuation
    The Financial Review, 2011, 46, (3), 413-425 View citations (3)
  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 (4)
  3. Foreign currency bubbles
    Review of Derivatives Research, 2011, 14, (1), 67-83 Downloads View citations (7)
  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 (14)

2010

  1. A simple robust model for Cat bond valuation
    Finance Research Letters, 2010, 7, (2), 72-79 Downloads View citations (9)
  2. Convenience yields
    Review of Derivatives Research, 2010, 13, (1), 25-43 Downloads View citations (4)
  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 (11)
  6. The cost of operational risk loss insurance
    Review of Derivatives Research, 2010, 13, (3), 273-295 Downloads View citations (3)
  7. Understanding the risk of leveraged ETFs
    Finance Research Letters, 2010, 7, (3), 135-139 Downloads View citations (9)

2009

  1. Credit Risk Models
    Annual Review of Financial Economics, 2009, 1, (1), 37-68 Downloads View citations (32)
  2. Credit Risk Models with Incomplete Information
    Mathematics of Operations Research, 2009, 34, (2), 320-332 Downloads View citations (5)
  3. FORWARD AND FUTURES PRICES WITH BUBBLES
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 901-924 Downloads View citations (1)
  4. MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
    Mathematical Finance, 2009, 19, (1), 73-97 Downloads View citations (10)
  5. The Term Structure of Interest Rates
    Annual Review of Financial Economics, 2009, 1, (1), 69-96 Downloads View citations (74)

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 (10)
  2. Distressed debt prices and recovery rate estimation
    Review of Derivatives Research, 2008, 11, (3), 171-204 Downloads View citations (5)
  3. Modeling loan commitments
    Finance Research Letters, 2008, 5, (1), 11-20 Downloads View citations (6)
  4. Operational risk
    Journal of Banking & Finance, 2008, 32, (5), 870-879 Downloads View citations (16)

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 (3)
  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 (17)
  4. Restructuring risk in credit default swaps: An empirical analysis
    Stochastic Processes and their Applications, 2007, 117, (11), 1724-1749 Downloads View citations (5)
    See also Working Paper (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 (5)

2006

  1. Downside Loss Aversion and Portfolio Management
    Management Science, 2006, 52, (4), 558-566 Downloads View citations (28)
  2. Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
    Review of Financial Studies, 2006, 19, (2), 493-529 Downloads View citations (37)
    See also Chapter (2008)

2005

  1. A generalized coherent risk measure: The firm's perspective
    Finance Research Letters, 2005, 2, (1), 23-29 Downloads View citations (2)
  2. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 Downloads View citations (72)
    See also Chapter (2008)
  3. ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
    Journal of Financial Research, 2005, 28, (3), 363-383 Downloads View citations (1)
  4. Large traders, hidden arbitrage, and complete markets
    Journal of Banking & Finance, 2005, 29, (11), 2803-2820 Downloads View citations (5)

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 (7)
  2. Bankruptcy Prediction with Industry Effects
    Review of Finance, 2004, 8, (4), 537-569 Downloads View citations (86)
    See also Chapter (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 (15)
  4. Liquidity risk and arbitrage pricing theory
    Finance and Stochastics, 2004, 8, (3), 311-341 Downloads View citations (110)
    See also Chapter (2008)
  5. Risky coupon bonds as a portfolio of zero-coupon bonds
    Finance Research Letters, 2004, 1, (2), 100-105 Downloads View citations (4)
  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 (27)

2003

  1. Market Pricing of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 93-119 Downloads View citations (20)
    See also Chapter (2008)
  2. Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
    Journal of Financial and Quantitative Analysis, 2003, 38, (02), 337-358 Downloads View citations (40)
    See also Chapter (2008)

2002

  1. Put Option Premiums and Coherent Risk Measures
    Mathematical Finance, 2002, 12, (2), 135-142 Downloads View citations (14)

2001

  1. Counterparty Risk and the Pricing of Defaultable Securities
    Journal of Finance, 2001, 56, (5), 1765-1799 Downloads View citations (171)
    See also Chapter (2008)
  2. The Liquidity Discount
    Mathematical Finance, 2001, 11, (4), 447-474 Downloads View citations (35)

2000

  1. Bayesian analysis of contingent claim model error
    Journal of Econometrics, 2000, 94, (1-2), 145-180 Downloads View citations (23)
  2. The intersection of market and credit risk
    Journal of Banking & Finance, 2000, 24, (1-2), 271-299 Downloads View citations (98)

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 (2)
  2. The Second Fundamental Theorem of Asset Pricing
    Mathematical Finance, 1999, 9, (3), 255-273 Downloads View citations (14)
  3. The Second Fundamental Theorem of Asset Pricing: A New Approach
    Review of Financial Studies, 1999, 12, (5), 1219-35 View citations (16)

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 (2)
  2. Hedging contingent claims on semimartingales
    Finance and Stochastics, 1999, 3, (1), 111-134 Downloads View citations (4)
  3. Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market
    Journal of Financial and Quantitative Analysis, 1998, 33, (02), 255-289 Downloads View citations (24)
  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 (30)

1997

  1. A Markov Model for the Term Structure of Credit Risk Spreads
    Review of Financial Studies, 1997, 10, (2), 481-523 View citations (363)
    See also Chapter (2008)
  2. Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
    Review of Finance, 1997, 1, (1), 15-30 Downloads View citations (8)
  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 RETURNS
    Mathematical Finance, 1995, 5, (4), 311-336 Downloads View citations (25)
  2. Pricing Derivatives on Financial Securities Subject to Credit Risk
    Journal of Finance, 1995, 50, (1), 53-85 Downloads View citations (465)
    See also Chapter (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, (02), 241-261 Downloads View citations (47)
    See also Chapter (2008)

1993

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

1992

  1. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Mathematical Finance, 1992, 2, (2), 87-106 Downloads View citations (105)
    See also Chapter (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 (752)
    See also Chapter (2008)
  3. Market Manipulation, Bubbles, Corners, and Short Squeezes
    Journal of Financial and Quantitative Analysis, 1992, 27, (03), 311-336 Downloads View citations (96)
    See also Chapter (2008)
  4. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
    Mathematical Finance, 1992, 2, (4), 217-237 Downloads View citations (56)
    See also Chapter (2008)

1991

  1. A Characterization of Complete Security Markets On A Brownian Filtration
    Mathematical Finance, 1991, 1, (3), 31-43 Downloads View citations (9)
  2. Pricing foreign currency options under stochastic interest rates
    Journal of International Money and Finance, 1991, 10, (3), 310-329 Downloads View citations (70)
    See also Chapter (2008)
  3. The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests
    Journal of Financial and Quantitative Analysis, 1991, 26, (04), 533-547 Downloads View citations (7)

1990

  1. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
    Journal of Financial and Quantitative Analysis, 1990, 25, (04), 419-440 Downloads View citations (64)
  2. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value
    Review of Financial Studies, 1990, 3, (3), 469-92 Downloads View citations (19)
    See also Chapter (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 (25)
    See also Chapter (2008)
  2. Preferences, Continuity, and the Arbitrage Pricing Theory
    Review of Financial Studies, 1988, 1, (2), 159-172 Downloads View citations (5)

1987

  1. Arbitrage, Continuous Trading, and Margin Requirements
    Journal of Finance, 1987, 42, (5), 1129-42 Downloads View citations (6)
    See also Chapter (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 (36)

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 (46)

1984

  1. Jump Risks and the Intertemporal Capital Asset Pricing Model
    The Journal of Business, 1984, 57, (3), 337-51 Downloads View citations (73)
  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 (2)
  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 (176)
    See also Chapter (2008)

1981

  1. Forward contracts and futures contracts
    Journal of Financial Economics, 1981, 9, (4), 373-382 Downloads View citations (31)
    See also Chapter (2008)

1980

  1. Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
    Journal of Finance, 1980, 35, (5), 1105-13 Downloads View citations (73)

1978

  1. The Relationship between Yield, Risk and Return of Corporate Bonds
    Journal of Finance, 1978, 33, (4), 1235-40 Downloads View citations (6)

1977

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

Books

2017

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

2008

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

Chapters

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
    See also Journal Article in Review of Financial Studies (1997)
  2. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Chapter 5 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 85-103 Downloads
    See also Journal Article in Mathematical Finance (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
    See also Journal Article in Journal of Financial Economics (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 in Journal of Finance (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 in Econometrica (1992)
  6. Bankruptcy Prediction with Industry Effects
    Chapter 21 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 517-549 Downloads
    See also Journal Article in Review of Finance (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 in Journal of Finance (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 in Mathematical Finance (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 in Journal of Financial and Quantitative Analysis (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 in The Journal of Business (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 in Journal of Financial Economics (1981)
  12. LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS
    Chapter 10 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 229-236 Downloads
  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 in Finance and Stochastics (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 (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
    See also Journal Article in Journal of Financial and Quantitative Analysis (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 in Journal of Financial Services Research (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
    See also Journal Article in Mathematical Finance (1992)
  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
    See also Journal Article in Journal of Finance (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 in Review of Financial Studies (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 in Journal of Financial and Quantitative Analysis (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 in Journal of International Money and Finance (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
  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 in Review of Financial Studies (1990)
 
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