Financial Derivatives Pricing:Selected Works of Robert Jarrow

Robert Jarrow ()

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.

Keywords: Derivatives; Options; Hedging; HJM; Black–Scholes; Forwards; Futures; Martingale Measure; Calls; Puts; Market Manipulation; Margin Requirements (search for similar items in EconPapers)
Date: 2008
ISBN: 9789812819208
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Chapters in this book:

Ch 1 APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES , pp 9-31

Robert Jarrow and Andrew Rudd

Ch 2 Arbitrage, Continuous Trading, and Margin Requirements , pp 33-46

David C. Heath and Robert Jarrow

Ch 3 Ex-Dividend Stock Price Behavior and Arbitrage Opportunities , pp 47-60

David C. Heath and Robert Jarrow

Ch 4 The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value , pp 61-84

Peter Carr and Robert Jarrow

Ch 5 ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS , pp 85-103

Peter Carr, Robert Jarrow and Ravi Myneni

Ch 6 Market Manipulation, Bubbles, Corners, and Short Squeezes , pp 105-130

Robert Jarrow

Ch 7 Derivative Security Markets, Market Manipulation, and Option Pricing Theory , pp 131-151

Robert Jarrow

Ch 8 Liquidity risk and arbitrage pricing theory , pp 153-183

Umut Çetin, Robert Jarrow and Philip Protter

Ch 9 Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence , pp 185-221

U. Çetin, Robert Jarrow, P. Protter and M. Warachka

Ch 10 LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS , pp 229-236

Robert Jarrow

Ch 11 FORWARD CONTRACTS AND FUTURES CONTRACTS , pp 237-246

Robert Jarrow and George S. Oldfield

Ch 12 THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES , pp 247-275

Robert Jarrow

Ch 13 BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION , pp 277-305

David Heath, Robert Jarrow and Andrew Morton

Ch 14 Pricing foreign currency options under stochastic interest rates , pp 307-326

Kaushik I. Amin and Robert Jarrow

Ch 15 PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY , pp 327-347

Kaushik I. Amin and Robert Jarrow

Ch 16 Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model , pp 349-370

Robert Jarrow and Yildiray Yildirim

Ch 17 Pricing Derivatives on Financial Securities Subject to Credit Risk , pp 377-409

Robert Jarrow and Stuart M. Turnbull

Ch 18 A Markov Model for the Term Structure of Credit Risk Spreads , pp 411-453

Robert Jarrow, David Lando and Stuart M. Turnbull

Ch 19 DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS , pp 455-480

Robert Jarrow, David Lando and Fan Yu

Ch 20 Counterparty Risk and the Pricing of Defaultable Securities , pp 481-515

Robert Jarrow and Fan Yu

Ch 21 Bankruptcy Prediction with Industry Effects , pp 517-549

Sudheer Chava and Robert Jarrow

Ch 22 Market Pricing of Deposit Insurance , pp 551-577

Darrell Duffie, Robert Jarrow, Amiyatosh Purnanandam and Wei Yang

Ch 23 MODELING CREDIT RISK WITH PARTIAL INFORMATION , pp 579-590

Umut Çetin, Robert Jarrow, Philip Protter and Yildiray Yildirim

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