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1

Market Manipulation, Bubbles, Corners, and Short Squeezes

Robert A. Jarrow

Journal:

Journal of Financial and Quantitative Analysis

Year:

1992

Language:

english

File:

PDF, 2.98 MB

english, 1992

2

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

David Heath, Robert Jarrow and Andrew Morton

Journal:

Journal of Financial and Quantitative Analysis

Year:

1990

Language:

english

File:

PDF, 1.31 MB

english, 1990

3

A leverage ratio rule for capital adequacy

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 160 KB

english, 2013

4

Pricing Derivatives on Financial Securities Subject to Credit Risk

JARROW, ROBERT A., TURNBULL, STUART M.

Journal:

The Journal of Finance

Year:

1995

Language:

english

File:

PDF, 1.77 MB

english, 1995

5

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

Heath, David, Jarrow, Robert, Morton, Andrew

Journal:

Year:

1992

Language:

english

File:

PDF, 528 KB

english, 1992

6

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

Journal:

The Quarterly Journal of Finance

Year:

2018

Language:

english

File:

PDF, 267 KB

english, 2018

7

Forward contracts and futures contracts

Robert A. Jarrow, George S. Oldfield

Journal:

Journal of Financial Economics

Year:

1981

Language:

english

File:

PDF, 644 KB

english, 1981

8

The Term Structure of Interest Rates

Jarrow, Robert A.

Journal:

Annual Review of Financial Economics

Year:

2009

Language:

english

File:

PDF, 1.35 MB

english, 2009

9

Delta, gamma and bucket hedging of interest rate derivatives

Jarrow, Robert A., Turnbull, Stuart M.

Journal:

Applied Mathematical Finance

Year:

1994

Language:

english

File:

PDF, 1.05 MB

english, 1994

10

A Markov Model for the Term Structure of Credit Risk Spreads

Robert A. Jarrow, David Lando and Stuart M. Turnbull

Journal:

Review of Financial Studies

Year:

1997

Language:

english

File:

PDF, 893 KB

english, 1997

11

The arbitrage-free valuation and hedging of demand deposits and credit card loans

Robert A. Jarrow, Donald R. van Deventer

Journal:

Journal of Banking & Finance

Year:

1998

Language:

english

File:

PDF, 173 KB

english, 1998

12

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

ROBERT JARROW, HAITAO LI, FENG ZHAO

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 1.40 MB

english, 2007

13

The Subprime Credit Crisis of 2007

Crouhy, Michel G, Jarrow, Robert A, Turnbull, Stuart M

Journal:

The Journal of Derivatives

Year:

2008

Language:

english

File:

PDF, 393 KB

english, 2008

14

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model

Robert Jarrow and Yildiray Yildirim

Journal:

Journal of Financial and Quantitative Analysis

Year:

2003

Language:

english

File:

PDF, 749 KB

english, 2003

15

The Dangers of Calibration and Hedging the Greeks in Option Pricing

Arkadev Chatterjea and Robert A. Jarrow

Journal:

Journal of Financial Education

Year:

2012

Language:

english

File:

PDF, 776 KB

english, 2012

16

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market

Arkadev Chatterjea and Robert A. Jarrow

Journal:

Journal of Financial and Quantitative Analysis

Year:

1998

Language:

english

File:

PDF, 860 KB

english, 1998

17

Credit Risk Models

Jarrow, Robert A.

Journal:

Annual Review of Financial Economics

Year:

2009

Language:

english

File:

PDF, 1.39 MB

english, 2009

18

The impact of quantitative easing on the US term structure of interest rates

Jarrow, Robert, Li, Hao

Journal:

Review of Derivatives Research

Year:

2014

Language:

english

File:

PDF, 2.23 MB

english, 2014

19

An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits

Janosi, Tibor, Jarrow, Robert A, Zullo, Ferdinando

Journal:

The Journal of Derivatives

Year:

1999

Language:

english

File:

PDF, 313 KB

english, 1999

20

Pricing Derivatives on Financial Securities Subject to Credit Risk

Robert A. Jarrow and Stuart M. Turnbull

Journal:

The Journal of Finance

Year:

1995

Language:

english

File:

PDF, 764 KB

english, 1995

21

A comparison of the APT and CAPM a note

Robert Jarrow, Andrew Rudd

Journal:

Journal of Banking & Finance

Year:

1983

Language:

english

File:

PDF, 345 KB

english, 1983

22

The intersection of market and credit risk

Robert A. Jarrow, Stuart M. Turnbull

Journal:

Journal of Banking & Finance

Year:

2000

Language:

english

File:

PDF, 202 KB

english, 2000

23

A Festschrift for Herman Rubin || A Short History of Stochastic Integration and Mathematical Finance: The Early Years, 1880-1970

Robert Jarrow and Philip Protter

Journal:

IMS Lecture Notes--Monograph Series

Year:

2004

Language:

english

File:

PDF, 2.33 MB

english, 2004

24

Derivative Security Markets, Market Manipulation, and Option Pricing Theory

Robert A. Jarrow

Journal:

Journal of Financial and Quantitative Analysis

Year:

1994

Language:

english

File:

PDF, 503 KB

english, 1994

25

Counterparty Risk and the Pricing of Defaultable Securities

Robert A. Jarrow, Fan Yu

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 625 KB

english, 2001

26

THE MEANING OF MARKET EFFICIENCY

Robert A. Jarrow, Martin Larsson

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 685 KB

english, 2012

27

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

Steve Hogan, Robert Jarrow, Melvyn Teo, Mitch Warachka

Journal:

Journal of Financial Economics

Year:

2004

Language:

english

File:

PDF, 625 KB

english, 2004

28

How to Detect an Asset Bubble

Jarrow, Robert, Kchia, Younes, Protter, Philip

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 2.16 MB

english, 2011

29

BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2016

Language:

english

File:

PDF, 248 KB

english, 2016

30

[Springer Finance] Continuous-Time Asset Pricing Theory || The Heath–Jarrow–Morton Model

Jarrow, Robert A.

Year:

2018

Language:

english

File:

PDF, 335 KB

english, 2018

31

Distressed debt prices and recovery rate estimation

Xin Guo, Robert A. Jarrow, Haizhi Lin

Journal:

Review of Derivatives Research

Year:

2008

Language:

english

File:

PDF, 670 KB

english, 2008

32

Put Option Premiums and Coherent Risk Measures

Journal:

Mathematical Finance

Year:

2002

Language:

english

File:

PDF, 98 KB

english, 2002

33

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

Xin Guo, Robert A. Jarrow, Yan Zeng

Journal:

Mathematical Finance

Year:

2009

Language:

english

File:

PDF, 312 KB

english, 2009

34

A generalized coherent risk measure: The firm's perspective

Robert A. Jarrow, Amiyatosh K. Purnanandam

Journal:

Finance Research Letters

Year:

2005

Language:

english

File:

PDF, 94 KB

english, 2005

35

Operational risk

Robert A. Jarrow

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 233 KB

english, 2008

36

Risk Management Models: Construction, Testing, Usage

Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

2011

Language:

english

File:

PDF, 321 KB

english, 2011

37

Default Parameter Estimation Using Market Prices

Journal:

Financial Analysts Journal

Year:

2001

Language:

english

File:

PDF, 2.17 MB

english, 2001

38

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World

Robert A. Jarrow

Journal:

Journal of Economic Perspectives

Year:

1999

Language:

english

File:

PDF, 445 KB

english, 1999

39

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

40

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS

DIENER, NICOLAS, JARROW, ROBERT, PROTTER, PHILIP

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 253 KB

english, 2012

41

How Valuable is Credit Card Lending?

Chatterjea, Arkadev, Jarrow, Robert A, Neal, Robert, Yildirim, Yildiray

Journal:

The Journal of Derivatives

Year:

2003

Language:

english

File:

PDF, 215 KB

english, 2003

42

Active Portfolio Management and Positive Alphas: Fact or Fantasy ?

Jarrow, Robert A

Journal:

The Journal of Portfolio Management

Year:

2010

Language:

english

File:

PDF, 119 KB

english, 2010

43

Asset Price Bubbles and the Land of Oz

Journal:

The Journal of Portfolio Management

Year:

2016

Language:

english

File:

PDF, 187 KB

english, 2016

44

Counterparty Risk and the Pricing of Defaultable Securities

Robert A. Jarrow and Fan Yu

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 844 KB

english, 2001

45

The Second Fundamental Theorem of Asset Pricing: A New Approach

Robert J. Battig and Robert A. Jarrow

Journal:

Review of Financial Studies

Year:

1999

Language:

english

File:

PDF, 473 KB

english, 1999

46

On aggregation and representative agent equilibria

Jarrow, Robert, Larsson, Martin

Journal:

Journal of Mathematical Economics

Year:

2018

Language:

english

File:

PDF, 530 KB

english, 2018

47

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory

Jarrow, Robert A., Protter, Philip

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 381 KB

english, 2017

48

Asset price bubbles, market liquidity, and systemic risk

Jarrow, Robert, Lamichhane, Sujan

Journal:

Mathematics and Financial Economics

Year:

2019

Language:

english

File:

PDF, 782 KB

english, 2019

49

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

50

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