Robert A. Jarrow

Q: What Schools Are Affiliated With Robert A. Jarrow

Robert A. Jarrow is affiliated with the following schools: University of California, Berkeley, University of California, San Diego, Massachusetts Institute of Technology, Cornell University, University of Pennsylvania

Robert A. Jarrow's AcademicInfluence.com Rankings

Robert A. Jarrow

Economics

#1311

World Rank

#1518

Historical Rank

#597

USA Rank

Financial Economics

#21

World Rank

#21

Historical Rank

#11

USA Rank

economics Degrees

Download Badge

Economics

Robert A. Jarrow's Degrees

PhD Education Massachusetts Institute of Technology

Why Is Robert A. Jarrow Influential?

(Suggest an Edit or Addition)

According to Wikipedia, Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives, a co-creator of the reduced form Jarrow–Turnbull credit risk models employed for pricing credit derivatives, and the creator of the forward price martingale measure. These tools and models are now the standards utilized for pricing and hedging in major investment and commercial banks.

(See a Problem?)

Robert A. Jarrow's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation (1990) (3079)
Pricing Derivatives on Financial Securities Subject to Credit Risk (1995) (2124)
A Markov Model for the Term Structure of Credit Risk Spreads (1997) (1576)
Bankruptcy Prediction With Industry Effects (2004) (928)
Counterparty Risk and the Pricing of Defaultable Securities (1999) (749)
APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES (1982) (628)
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992) (506)
Liquidity risk and arbitrage pricing theory (2004) (400)
Market Manipulation, Bubbles, Corners, and Short Squeezes (1992) (396)
The intersection of market and credit risk (2000) (327)
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices (1980) (297)
STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE (2004) (287)
Pricing foreign currency options under stochastic interest rates (1991) (276)
Jump Risks and the Intertemporal Capital Asset Pricing Model (1984) (266)
Default Parameter Estimation Using Market Prices (2001) (230)
ASSET PRICE BUBBLES IN INCOMPLETE MARKETS * (2008) (221)
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2003) (215)
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003) (210)
Derivative Security Markets, Market Manipulation, and Option Pricing Theory (1994) (204)
The Subprime Credit Crisis of 07 (2008) (194)
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006) (189)
Modeling Credit Risk with Partial Information (2004) (181)
Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies (2003) (173)
Forward contracts and futures contracts (1981) (158)
DEFAULT RISK AND DIVERSIFICATION: THEORY AND APPLICATIONS (2000) (149)
A Dysfunctional Role of High Frequency Trading in Electronic Markets (2011) (147)
Modelling Fixed Income Securities and Interest Rate Options (1995) (145)
The Liquidity Discount (2001) (142)
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy (1992) (136)
Spanning and Completeness in Markets with Contingent Claims (1987) (132)
Downside Loss Aversion and Portfolio Management (2006) (124)
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 (1995) (116)
The arbitrage-free valuation and hedging of demand deposits and credit card loans (1998) (111)
THE MEANING OF MARKET EFFICIENCY (2011) (111)
Contingent claim valuation with a random evolution of interest rates (1989) (107)
Ex-dividend Stock Price Behavior and Arbitrage Opportunities (1988) (97)
Volatility: New Estimation Techniques for Pricing Derivatives (1998) (97)
How to Detect an Asset Bubble (2011) (97)
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value (1990) (94)
The Relationship between Arbitrage and First Order Stochastic Dominance (1986) (91)
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? (2007) (90)
Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2007) (83)
An autoregressive jump process for common stock returns (1977) (80)
Bayesian analysis of contingent claim model error (2000) (72)
Primes and Scores: An Essay on Market Imperfections (1989) (71)
Credit Risk Models with Incomplete Information (2009) (68)
Understanding the risk of leveraged ETFs (2010) (67)
The Economics of Credit Default Swaps (2011) (66)
Market Pricing of Deposit Insurance (2003) (66)
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004) (66)
A Characterization of Complete Security Markets On A Brownian Filtration1 (1991) (64)
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? (2004) (63)
A simple robust model for Cat bond valuation (2010) (63)
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market (1998) (61)
The Subprime Credit Crisis of 2007 (2008) (61)
Valuing Default Swaps Under Market and Credit Risk Correlation (2002) (61)
A short history of stochastic integration and mathematical finance the early years, 1880-1970 (2004) (60)
Arbitrage, Continuous Trading, and Margin Requirements (1987) (54)
An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits (1999) (53)
THE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS (1978) (52)
Handbooks in Operations Research and Management Science Volume 9 Finance (1997) (50)
The Second Fundamental Theorem of Asset Pricing ? A New Approach (1999) (50)
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL (2009) (48)
Delta, gamma and bucket hedging of interest rate derivatives (1994) (46)
Advances in mathematical finance (2007) (46)
No Arbitrage Without Semimartingales (2009) (45)
Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (2006) (45)
Market manipulation and corporate finance: A new perspective (1993) (44)
Hedging contingent claims on semimartingales (1999) (44)
Distressed debt prices and recovery rate estimation (2008) (41)
Options markets, self-fulfilling prophecies, and implied volatilities (1998) (39)
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? (1997) (39)
Option pricing with random volatilities in complete markets (1994) (39)
Discretely sampled variance and volatility swaps versus their continuous approximations (2011) (39)
A liquidity-based model for asset price bubbles (2011) (39)
Credit Risk Models (2009) (38)
Liquidity Risk and Risk Measure Computation (2005) (37)
Put Option Premiums and Coherent Risk Measures (2002) (36)
A Critique of Revised Basel II (2007) (36)
POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE (2010) (35)
Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices (2012) (34)
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate (2011) (32)
A Model of the Convenience Yields in On-the-Run Treasuries (2004) (31)
An Introduction to Financial Asset Pricing (2005) (31)
Information Reduction in Credit Risk Models (2006) (30)
The impact of quantitative easing on the US term structure of interest rates (2014) (29)
Forward And Futures Prices With Bubbles (2009) (29)
The Role of ABS , CDS and CDOs in the Credit Crisis and the Economy (2011) (29)
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World (1999) (29)
The Second Fundamental Theorem of Asset Pricing (1999) (28)
Preferences, Continuity, and the Arbitrage Pricing Theory (1988) (28)
Liquidity Risk and Option Pricing Theory (2005) (27)
Is there a bubble in LinkedIn's stock price? (2011) (27)
Information reduction via level crossings in a credit risk model (2007) (26)
Continuous-Time Asset Pricing Theory (2021) (26)
An Integrated Approach to the Hedging and Pricing of Eurodollar Derivatives (1996) (25)
An improved test for statistical arbitrage (2012) (25)
The Third Fundamental Theorem of Asset Pricing (2012) (25)
Active Portfolio Management and Positive Alphas: Fact or Fantasy? (2010) (24)
Problems with Using CDS to Infer Default Probabilities (2012) (23)
A robust test of Merton's structural model for credit risk (2003) (23)
Positive alphas and a generalized multiple-factor asset pricing model (2015) (22)
Option Pricing and Implicit Volatilities (1989) (22)
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model (2018) (21)
Foreign currency bubbles (2010) (21)
Risky coupon bonds as a portfolio of zero-coupon bonds (2004) (21)
Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications (2005) (20)
Negotiation vs. Competitive Bidding in the Sale of Securities by Public Utilities (1978) (20)
1 Asset Price Bubbles in Complete Markets (2006) (20)
Arbitrage, martingales, and private monetary value (2000) (20)
Modeling loan commitments (2008) (20)
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information (2008) (20)
Large traders, hidden arbitrage, and complete markets (2005) (19)
Asset Price Bubbles (2015) (19)
Risk Management Models: Construction, Testing, Usage (2011) (19)
An Introduction to Derivative Securities, Financial Markets, and Risk Management (2013) (19)
Testing for asset price bubbles: three new approaches (2016) (19)
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS (2005) (19)
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective (2007) (19)
Exploring Mispricing in the Term Structure of CDS Spreads (2018) (18)
Bubbles and Multiple-Factor Asset Pricing Models (2015) (18)
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures (1998) (18)
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets (2015) (17)
Financial Crises and Economic Growth (2013) (17)
The cost of operational risk loss insurance (2008) (17)
Option pricing using a binomial model with random time steps (A formal model of gamma hedging) (1996) (17)
Chapter 7 A discrete time synthesis of derivative security valuation using a term structure of futures prices (1995) (16)
A characterization theorem for unique risk neutral probability measures (1986) (16)
A generalized coherent risk measure: The firm's perspective (2005) (16)
A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated (2001) (16)
A generalized coherent risk measure: The firm's perspective (2005) (16)
The impact of quantitative easing on the US term structure of interest rates (2012) (15)
The Low-volatility Anomaly and the Adaptive Multi-Factor Model (2020) (15)
LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS (1981) (15)
Credit rating accuracy and incentives (2010) (14)
Large-Trader Impact and Market Regulation (1991) (13)
Over the rainbow : developments in exotic options and complex swaps (1995) (13)
Informational Efficiency under Short Sale Constraints (2014) (13)
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests (1991) (13)
Is There a Bubble in LinkedIn’s Stock Price? (2011) (12)
Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia (2006) (12)
THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES (2008) (12)
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model (2020) (11)
Capital adequacy rules, catastrophic firm failure, and systemic risk (2012) (11)
The Martingale Theory of Bubbles: Implications for the Valuation of Derivatives and Detecting Bubbles (2010) (11)
Detecting Asset Price Bubbles (2012) (11)
Convenience yields (2010) (11)
A Gold Bubble (2011) (11)
Model Error in Contingent Claim Models Dynamic Evaluation (1996) (11)
Capital Structure and the Present Value of a Firm's Investment Opportunities: A Reduced Form Credit Risk Perspective (2004) (11)
The Economics of Credit Default Swaps (CDS) (2010) (10)
Estimating Default Probabilities Implicit in Equity Prices (2012) (10)
Option Pricing and Market Efficiency (2013) (10)
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory (2012) (10)
Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads (2016) (10)
Optimal cash holdings under heterogeneous beliefs (2014) (10)
On Aggregation and Representative Agent Equilibria (2017) (10)
Fair Microfinance Loan Rates (2018) (9)
Pricing Treasury Inflation Protected Securities and Related Derivative Securities using an HJM Model (2000) (9)
Cash Stream Valuation in the Face of Transaction Costs and Taxes (1991) (9)
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS (2015) (9)
Chapter 20 Market manipulation (1995) (9)
Asset market equilibrium with liquidity risk (2017) (9)
The Term Structure of Interest Rates (2009) (9)
A Reduced‐Form Model for Warrant Valuation (2011) (8)
Forward Rate Curve Smoothing (2014) (8)
The intersection of market and credit risk q (2000) (8)
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices (2014) (8)
The Zero-Lower Bound on Interest Rates: Myth or Reality? (2013) (8)
Risk Measures and the Impact of Asset Price Bubbles (2014) (8)
The HJM Model: Its Past, Present, and Future, Keynote Address Iafe 1997 Conference (1998) (8)
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market (2013) (7)
Dynamic Evaluation of Contingent Claim Models (An Analysis of Model Error) (1999) (7)
A General Martingale Approach to Measuring and Valuing the Risk to the FDIC Deposit Insurance Funds (2003) (7)
A Tutorial on Zero Volatility and Option Adjusted Spreads (2007) (7)
A comparison of the APT and CAPM a note (1983) (7)
Liquidity Suppliers and High Frequency Trading (2013) (7)
Testing for Asset Price Bubbles using Options Data (2020) (7)
The economic default time and the Arcsine law (2010) (7)
Asset price bubbles, market liquidity, and systemic risk (2019) (7)
A Leverage Ratio Rule for Capital Adequacy (2012) (6)
Synthetic CDO Equity (2008) (6)
Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya (2015) (6)
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles (2017) (6)
The Economic Foundations of Risk Management: Theory, Practice, and Applications (2016) (6)
CMBS market efficiency: The crisis and the recovery (2018) (6)
Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates (2015) (5)
Testing the Local Martingale Theory of Bubbles using Cryptocurrencies (2020) (5)
Inferring Financial Bubbles from Option Data (2021) (5)
Specification Tests of Calibrated Option Pricing Models (2013) (5)
Liquidity risk and the term structure of interest rates (2013) (5)
Modeling Fixed-Income Securities and Interest Rate Options (2002) (5)
A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory (2017) (5)
Chapter 1 An Introduction to Financial Asset Pricing (2007) (5)
Liquidity Risk and Classical Option Pricing Theory (2012) (5)
An integrated axiomatic approach to the existence of ordinal and cardinal utility functions (1987) (4)
THE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF (1978) (4)
The Meaning of Market E ¢ ciency (2011) (4)
Hedging in a HJM model (2010) (4)
Robust Replication of Default Contingent Claims (2008) (4)
Change of Num eraires and Relative Asset Price Bubbles (2015) (4)
How Valuable is Credit Card Lending? (2003) (4)
Chapter 17 Liquidity Risk and Option Pricing Theory (2007) (4)
Market Manipulation and a Model of the United States Treasury Securities Auction Market (1995) (4)
An empirical investigation of large trader market manipulation in derivatives markets (2018) (4)
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles (2018) (4)
Consensus Beliefs Equilibrium and Market Efficiency (1983) (4)
Media Trading Groups and Short Selling Manipulation (2021) (4)
Relating Top Down with Bottom Up Approaches in the Evaluation of ABS with Large Collateral Pools (2010) (3)
A Note on Lando ’ s Formula and Conditional Independence ∗ (2007) (3)
Asset Price Bubbles and Risk Management (2017) (3)
Testing for Asset Price Bubbles: An Invariance Theorem (2019) (3)
Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading (2013) (3)
Bribes, power, and managerial control in corporate voting games (1989) (3)
A loss default simulation model of the federal bank deposit insurance funds (2005) (3)
Informational E fficiency Under Short Sale Constraints (2013) (3)
Housing Prices and the Optimal Time-on-The-Market Decision (2011) (3)
Concavity, stochastic utility, and risk aversion (2020) (3)
Single-Period Binomial Model (2019) (3)
Modeling Fixed Income Securities and Interest Rate Options (2019) (3)
Asset market equilibrium with liquidity risk (2017) (3)
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets (2017) (3)
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory (2019) (3)
The Valuation of Corporate Coupon Bonds (2019) (3)
Endogenous liquidity risk and dealer market structure (2021) (2)
Credit Risk, Liquidity, and Bubbles (2018) (2)
Beliefs and arbitrage pricing (1987) (2)
Asset Price Bubbles and the Land of Oz (2016) (2)
Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases (2017) (2)
The Economics of Insurance: A Derivatives-Based Approach (2021) (2)
Asset Price Bubbles: Invariance Theorems* (2020) (2)
Modeling Fixed-Income (2002) (2)
Informational Eﬃciency with Trading Constraints: A Characterization (2019) (2)
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk (2021) (2)
Housing Market Microstructure (2009) (2)
Computing Present Values: Capital Budgeting Done Correctly (2014) (2)
Optimal Trading of Arbitrage Opportunities with Market Impact (2010) (2)
Index Design: Hedging and Manipulation (2021) (2)
Discretely sampled variance and volatility swaps versus their continuous approximations (2012) (2)
Modelling Default Risk: A New Structural Approach (2006) (2)
Positive alphas and a generalized multiple-factor asset pricing model (2015) (2)
Speech in Honor of Robert C. Merton 1999 Mathematical Finance Day Lifetime Achievement Award by (1999) (1)
Risk‐neutral pricing techniques and examples (2021) (1)
A Capm With Trading Constraints And Price Bubbles (2017) (1)
Hedging derivatives with model error (2012) (1)
Filtration Reduction and Completeness in Brownian Motion Models (2023) (1)
High Dimensional Estimation and Multi-Factor Models (2018) (1)
RATE RISK AND CREDIT RISK IN ASSET AND LIABILITY MANAGEMENT Forthcoming in Asset & Liability Management : The Synthesis of New Methodologies Risk Publications , Fall 1998 (1998) (1)
Bank Runs and Self-Insured Bank Deposits (2015) (1)
Chapter 8 Pricing interest rate options (1995) (1)
Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles (2017) (1)
TARP Warrants Valuation Methods (2009) (1)
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples (2023) (1)
Variance and Volatility Swaps: Bubbles and Fundamental Prices (2010) (1)
Relative asset price bubbles (2016) (1)
Financial Derivatives Pricing: Selected Works of Robert Jarrow (2008) (1)
The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates (2015) (1)
The error learning hypothesis: The evidence reexamined☆ (1984) (1)
Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? (1997) (1)
The Black Scholes Merton Model (2021) (1)
Preface to the special issue on systemic risk and financial networks (2021) (1)
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES (2022) (1)
Risk Management Models (2019) (1)
Erratum to: Positive alphas and a generalized multiple-factor asset pricing model (2016) (1)
Asset price bubbles: Invariance theorems (2021) (1)
The Distributional Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions (2018) (1)
A Representative Trader Economy (2021) (0)
Traded Securities (2019) (0)
On the Existence of Stock Price Bubbles—The Smoking Gun—Discounts and Premiums on Closed-End Funds and ETFs (2019) (0)
Filtration Reduction and Completeness in Jump-Diffusion Models (2023) (0)
Bond Trading Strategies – The Theory (2019) (0)
The Fundamental Theorems (2021) (0)
Interest Rate Exotics (2019) (0)
The Evolution of the Term Structure of Interest Rates (2019) (0)
Market Informational Efficiency (2021) (0)
Reduced Form Credit Risk Models (2010) (0)
Interest rate swaps: a comparison of compounded daily versus discrete reference rates (2021) (0)
Spanning Portfolios, Multiple-Factor Beta Models, and Systematic Risk (2018) (0)
Portfolio Optimization in the Presence of Asset Price Bubbles (2023) (0)
Editor's Letter (2002) (0)
Remembering Mark Rubinstein (2019) (0)
Orange County (1994) (2017) (0)
Preface to the special issue on systemic risk and financial networks (2021) (0)
Equilibrium (2021) (0)
Bond Trading Strategies – An Example (2019) (0)
Option Pricing Theory: Historical Perspectives (2010) (0)
The Classical Approach (2019) (0)
Basis Assets, Multiple-Factor Beta Models, and Systematic Risk (2021) (0)
Market Risk (Equities, FX, Commodities) (2017) (0)
Asset price bubbles, wealth preserving, dominating, and replicating trading strategies (2023) (0)
Facing an Arbitrage Opportunity: Trade or Wait? (2014) (0)
Practical Applications of Option Pricing and Market Efficiency (2014) (0)
Interest Rate Swaps (2019) (0)
The Heath–Jarrow–Morton Libor Model (2019) (0)
Portfolio Optimization (2021) (0)
Options on Bonds (2019) (0)
Unresolved Issues in Modeling Credit Risky Assets May 30 , 2005 (2005) (0)
Multiperiod Binomial HJM Model (2019) (0)
A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities (2023) (0)
Washington Mutual (2008) (2017) (0)
Relative asset price bubbles (2016) (0)
A Simple, Transparent, and Accurate MortgageValuation Yield Curve (2012) (0)
Long Term Capital Management (1998) (2017) (0)
Derivatives and Risk Management (2019) (0)
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions (2020) (0)
Market Risk (Interest Rates) (2017) (0)
Introduction (2019) (0)
The Credit Crisis (2007) (2017) (0)
Preface (1995) (0)
MODELING CREDIT RISK WITH INFORMATION (2004) (0)
Super- and Sub-Replication (2021) (0)
Continuous-Time Limits (2019) (0)
A Generalized Multiple-Factor Asset Pricing Model (2013) (0)
On Model Testing in Financial Economics (2010) (0)
Contingent Claims Valuation – Theory (2019) (0)
Yields and Forward Rates (2019) (0)
Article (Published version) (Refereed) (2011) (0)
Errata (Editorial) List for An Introduction to Derivative Securities, Financial Markets, and Risk Management (2013) (0)
An empirical investigation of large trader market manipulation in derivatives markets (2018) (0)
Incomplete Markets (Utility Over Intermediate Consumption and Terminal Wealth) (2021) (0)
Risk Premia, Asset Price Bubbles, and Monetary Policy (2019) (0)
An Explosion Time Characterization of Asset Price Bubbles (2022) (0)
Coupon Bonds (2019) (0)
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles (2018) (0)
Futures Contract Collateralization and its Implications (2021) (0)
Portfolio Balance Effects and the Equity Market (2015) (0)
The Heath Jarrow Morton Model (2021) (0)
Epilogue (The Fundamental Theorems and the CAPM) (2021) (0)
A Capital Asset Pricing Model (CAPM) with Trading Constraints and Price Bubbles (2017) (0)
Barings Bank (1995) (2017) (0)
The No-arbitrage Pricing of Non-traded Assets (2023) (0)
A Bottom-up, Reduced Form Credit Risk Model Approach for the Determination of Collateralized Loan Obligation Capital (2023) (0)
Erratum to: Positive alphas and a generalized multiple-factor asset pricing model (2015) (0)
Liquidity risk and the term structure of interest rates (2014) (0)
The Trading Constrained Market (2021) (0)
Penn Square Bank (1982) (2017) (0)
Trading Strategies, Arbitrage Opportunities, and Complete Markets (2019) (0)
The Expectations Hypothesis (2019) (0)
Incomplete Markets (2021) (0)
Extensions (2019) (0)
Incomplete Markets (Utility Over Terminal Wealth) (2021) (0)
The Auxiliary Markets (2021) (0)
Epilogue (The Static CAPM) (2018) (0)
Forwards and Futures Markets (2019) (0)
Stochastic Processes (2021) (0)
Tax liens: a novel application of asset pricing theory (2005) (0)
Series 2013-08 Specification Tests of Calibrated Option Pricing Models (2013) (0)
Asset price bubbles, market liquidity, and systemic risk (2019) (0)
Characterizing the Equilibrium (2021) (0)
Inflation-Adjusted Bonds, Swaps, and Derivatives (2022) (0)
The Cost-of-Carry Model (2019) (0)
Utility Functions (2021) (0)
Filtration Reduction and Incomplete Markets (2023) (0)
Funding shortages, expectations, and forward rate risk premium (2020) (0)
An Equilibrium Capital Asset Pricing Model in Markets with Trading Constraints and Price Bubbles (2017) (0)
Swaps, Caps, Floors, and Swaptions (2019) (0)
Parameter Estimation (2019) (0)
Arbitrage Pricing Theory (2021) (0)
Merton's Distance-to-default a Modern Approach (2008) (0)
Forwards and Futures (2019) (0)
Capital adequacy rules, catastrophic firm failure, and systemic risk (2013) (0)
Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices (2010) (0)
Complete Markets (Utility Over Terminal Wealth) (2021) (0)

This paper list is powered by the following services:

Other Resources About Robert A. Jarrow

en.wikipedia.org

What Schools Are Affiliated With Robert A. Jarrow?

Robert A. Jarrow is affiliated with the following schools:

Robert A. Jarrow's Academic­Influence.com Rankings