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51

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy

Kaushik I. Amin, Robert A. Jarrow

Journal:

Mathematical Finance

Year:

1992

Language:

english

File:

PDF, 822 KB

english, 1992

52

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate

Robert A. Jarrow

Journal:

Finance Research Letters

Year:

2011

Language:

english

File:

PDF, 160 KB

english, 2011

53

Option Pricing and Market Efficiency

Journal:

The Journal of Portfolio Management

Year:

2013

Language:

english

File:

PDF, 116 KB

english, 2013

54

Large-Trader Impact and Market Regulation

Gary L. Gastineau and Robert A. Jarrow

Journal:

Financial Analysts Journal

Year:

1991

Language:

english

File:

PDF, 2.19 MB

english, 1991

55

Reduced-form valuation of callable corporate bonds: Theory and evidence

Robert Jarrow, Haitao Li, Sheen Liu, Chunchi Wu

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 743 KB

english, 2010

56

[Springer Finance] Continuous-Time Asset Pricing Theory || The Black–Scholes–Merton Model

Jarrow, Robert A.

Year:

2018

Language:

english

File:

PDF, 150 KB

english, 2018

57

Financial Derivatives Pricing (Selected Works of Robert Jarrow) || BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION

Jarrow, Robert A

Year:

2008

Language:

english

File:

PDF, 1.03 MB

english, 2008

58

Credit Risk Models with Incomplete Information

Xin Guo, Robert A. Jarrow and Yan Zeng

Journal:

Mathematics of Operations Research

Year:

2009

Language:

english

File:

PDF, 1.26 MB

english, 2009

59

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

Robert A. Jarrow, David Lando, Fan Yu

Journal:

Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 186 KB

english, 2005

60

Large traders, hidden arbitrage, and complete markets

Robert Jarrow, Philip Protter

Journal:

Journal of Banking & Finance

Year:

2005

Language:

english

File:

PDF, 214 KB

english, 2005

61

Arbitrage, Continuous Trading, and Margin Requirements

David C. Heath and Robert A. Jarrow

Journal:

The Journal of Finance

Year:

1987

Language:

english

File:

PDF, 476 KB

english, 1987

62

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile?

Robert Jarrow, Haitao Li and Feng Zhao

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 4.04 MB

english, 2007

63

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

Peter Carr, Robert Jarrow, Ravi Myneni

Journal:

Mathematical Finance

Year:

1992

Language:

english

File:

PDF, 961 KB

english, 1992

64

Liquidity Suppliers and High Frequency Trading

Jarrow, Robert, Protter, Philip

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 340 KB

english, 2015

65

Downside Loss Aversion and Portfolio Management

Robert Jarrow and Feng Zhao

Journal:

Management Science

Year:

2006

Language:

english

File:

PDF, 1.73 MB

english, 2006

66

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information

Andreas D. Christopoulos, Robert A. Jarrow, Yildiray Yildirim

Journal:

Real Estate Economics

Year:

2008

Language:

english

File:

PDF, 342 KB

english, 2008

67

A simple robust model for Cat bond valuation

Robert A. Jarrow

Journal:

Finance Research Letters

Year:

2010

Language:

english

File:

PDF, 176 KB

english, 2010

68

Portfolio balance effects and the federal reserve’s large-scale asset purchases

Jarrow, Robert, Yildirim, Yildiray, Emmerling, Thomas, Wagner, NiklasF, Wagner, NiklasF

Journal:

Studies in Economics and Finance

Year:

2018

Language:

english

File:

PDF, 8.74 MB

english, 2018

69

Editor's Letter

Figlewski, Stephen, Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

1999

Language:

english

File:

PDF, 48 KB

english, 1999

70

Options markets, self-fulfilling prophecies, and implied volatilities

Joseph A. Cherian, Robert A. Jarrow

Journal:

Review of Derivatives Research

Year:

1998

Language:

english

File:

PDF, 1.44 MB

english, 1998

71

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING

Journal:

Annals of Financial Economics

Year:

2012

Language:

english

File:

PDF, 108 KB

english, 2012

72

The Economic Foundations of Risk Management (Theory, Practice, and Applications) || Diversification

Year:

2017

Language:

english

File:

PDF, 119 KB

english, 2017

73

Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Hogan, Steve, Jarrow, Robert A., Teo, Melvyn, Warachka, Mitch

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 835 KB

english, 2003

74

Editor's Letter

Figlewski, Stephen, Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

2000

Language:

english

File:

PDF, 30 KB

english, 2000

75

Financial Derivatives Pricing (Selected Works of Robert Jarrow) || Pricing Derivatives on Financial Securities Subject to Credit Risk

Jarrow, Robert A

Year:

2008

Language:

english

File:

PDF, 1.36 MB

english, 2008

76

Approximate option valuation for arbitrary stochastic processes

Robert Jarrow, Andrew Rudd

Journal:

Journal of Financial Economics

Year:

1982

Language:

english

File:

PDF, 1.20 MB

english, 1982

77

Editor's Letter

Figlewski, Stephen, Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

2000

Language:

english

File:

PDF, 35 KB

english, 2000

78

[Applied and Numerical Harmonic Analysis] Advances in Mathematical Finance || Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model

Fu, Michael C., Jarrow, Robert A., Yen, Ju-Yi J., Elliott, Robert J.

Year:

2007

Language:

english

File:

PDF, 367 KB

english, 2007

79

Financial Derivatives Pricing (Selected Works of Robert Jarrow) || FORWARD CONTRACTS AND FUTURES CONTRACTS

Jarrow, Robert A

Year:

2008

Language:

english

File:

PDF, 431 KB

english, 2008

80

Liquidity risk and the term structure of interest rates

Jarrow, Robert A., Roch, Alexandre F.

Journal:

Mathematics and Financial Economics

Year:

2015

Language:

english

File:

PDF, 329 KB

english, 2015

81

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model

Jarrow, Robert, Ruppert, David, Yu, Yan

Journal:

Journal of the American Statistical Association

Year:

2004

Language:

english

File:

PDF, 970 KB

english, 2004

82

The Second Fundamental Theorem of Asset Pricing

Robert A. Jarrow, Xing Jin, Dilip B. Madan

Journal:

Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 110 KB

english, 1999

83

Liquidity premiums and the expectations hypothesis

Robert A. Jarrow

Journal:

Journal of Banking & Finance

Year:

1981

Language:

english

File:

PDF, 369 KB

english, 1981

84

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS

JARROW, ROBERT A., PROTTER, PHILIP

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 201 KB

english, 2012

85

The Liquidity Discount

Ajay Subramanian, Robert A. Jarrow

Journal:

Mathematical Finance

Year:

2001

Language:

english

File:

PDF, 201 KB

english, 2001

86

[Springer Finance] Continuous-Time Asset Pricing Theory || Arbitrage Pricing Theory

Jarrow, Robert A.

Year:

2018

Language:

english

File:

PDF, 123 KB

english, 2018

87

Ex-Dividend Stock Price Behavior and Arbitrage Opportunities

David C. Heath and Robert A. Jarrow

Journal:

The Journal of Business

Year:

1988

Language:

english

File:

PDF, 1.54 MB

english, 1988

88

Pricing foreign currency options under stochastic interest rates

Kaushik I. Amin, Robert A. Jarrow

Journal:

Journal of International Money and Finance

Year:

1991

Language:

english

File:

PDF, 1.13 MB

english, 1991

89

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value

Peter P. Carr and Robert A. Jarrow

Journal:

Review of Financial Studies

Year:

1990

Language:

english

File:

PDF, 640 KB

english, 1990

90

Bayesian analysis of contingent claim model error

Eric Jacquier, Robert Jarrow

Journal:

Journal of Econometrics

Year:

2000

Language:

english

File:

PDF, 456 KB

english, 2000

91

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices

Journal:

The Journal of Finance

Year:

1980

Language:

english

File:

PDF, 339 KB

english, 1980

92

[Springer Finance] Continuous-Time Asset Pricing Theory || Incomplete Markets

Jarrow, Robert A.

Year:

2018

Language:

english

File:

PDF, 144 KB

english, 2018

93

An Equilibrium Capital Asset Pricing Model in Markets with Trading Constraints and Price Bubbles

Jarrow, Robert A.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 575 KB

english, 2017

94

The Relationship between Arbitrage and First Order Stochastic Dominance

Journal:

The Journal of Finance

Year:

1986

Language:

english

File:

PDF, 268 KB

english, 1986

95

The Economic Foundations of Risk Management (Theory, Practice, and Applications) || Introduction

Year:

2017

Language:

english

File:

PDF, 68 KB

english, 2017

96

Bubbles and Multiple-Factor Asset Pricing Models

Jarrow, Robert A.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 460 KB

english, 2015

97

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Journal:

Mathematics and Financial Economics

Year:

2018

Language:

english

File:

PDF, 640 KB

english, 2018

98

An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles

Jarrow, Robert A.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 515 KB

english, 2017

99

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices

Ascheberg, Marius, Jarrow, Robert A., Kraft, Holger, Yildirim, Yildiray

Journal:

Real Estate Economics

Year:

2014

Language:

english

File:

PDF, 746 KB

english, 2014

100

How to Detect an Asset Bubble

Jarrow, Robert A., Kchia, Younes, Protter, Philip

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 1.29 MB

english, 2011

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