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51

The Liquidity Discount

Ajay Subramanian, Robert A. Jarrow

Journal:

Mathematical Finance

Year:

2001

Language:

english

File:

PDF, 201 KB

english, 2001

52

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

53

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

54

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

55

An autoregressive jump process for common stock returns

George S. Oldfield Jr., Richard J. Rogalski, Robert A. Jarrow

Journal:

Journal of Financial Economics

Year:

1977

Language:

english

File:

PDF, 1.61 MB

english, 1977

56

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

57

Risky coupon bonds as a portfolio of zero-coupon bonds

Robert A. Jarrow

Journal:

Finance Research Letters

Year:

2004

Language:

english

File:

PDF, 165 KB

english, 2004

58

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

59

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

60

Liquidity premiums and the expectations hypothesis

Robert A. Jarrow

Journal:

Journal of Banking & Finance

Year:

1981

Language:

english

File:

PDF, 369 KB

english, 1981

61

[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

62

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

63

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

64

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

65

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

66

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING

Journal:

Annals of Financial Economics

Year:

2012

Language:

english

File:

PDF, 108 KB

english, 2012

67

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

68

Option Pricing and Market Efficiency

Journal:

The Journal of Portfolio Management

Year:

2013

Language:

english

File:

PDF, 116 KB

english, 2013

69

Editor's Letter

Figlewski, Stephen, Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

2000

Language:

english

File:

PDF, 30 KB

english, 2000

70

Editor's Letter

Figlewski, Stephen, Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

1999

Language:

english

File:

PDF, 48 KB

english, 1999

71

Editor's Letter

Figlewski, Stephen, Jarrow, Robert A

Journal:

The Journal of Derivatives

Year:

2000

Language:

english

File:

PDF, 35 KB

english, 2000

72

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

73

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

74

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

75

Modeling Credit Risk with Partial Information

Umut Çetin , Robert Jarrow, Philip Protter and Yildiray Yildirim

Journal:

The Annals of Applied Probability

Year:

2004

Language:

english

File:

PDF, 391 KB

english, 2004

76

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

77

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

Year:

2017

Language:

english

File:

PDF, 119 KB

english, 2017

78

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

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

[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

81

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

Jarrow, Robert A.

Year:

2018

Language:

english

File:

PDF, 123 KB

english, 2018

82

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

83

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

84

Bribes, power, and managerial control in corporate voting games

Robert A. Jarrow, J. Chris Leach

Journal:

Theory and Decision

Year:

1989

Language:

english

File:

PDF, 697 KB

english, 1989

85

Option pricing using a binomial model with random time steps (A formal model of gamma hedging)

Heike Dengler, Robert A. Jarrow

Journal:

Review of Derivatives Research

Year:

1996

Language:

english

File:

PDF, 1.23 MB

english, 1996

86

Tax liens: a novel application of asset pricing theory

Robert A. Jarrow, Vikrant Tyagi

Journal:

Review of Derivatives Research

Year:

2007

Language:

english

File:

PDF, 348 KB

english, 2007

87

A Characterization of Complete Security Markets On A Brownian Filtration

Robert A. Jarrow, Dilip B. Madan

Journal:

Mathematical Finance

Year:

1991

Language:

english

File:

PDF, 493 KB

english, 1991

88

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS

Robert Jarrow, Dilip Madan

Journal:

Mathematical Finance

Year:

1995

Language:

english

File:

PDF, 1.19 MB

english, 1995

89

ASSET PRICE BUBBLES IN INCOMPLETE MARKETS

Robert A. Jarrow, Philip Protter, Kazuhiro Shimbo

Journal:

Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 335 KB

english, 2010

90

Market Pricing of Deposit Insurance

Darrell Duffie, Robert Jarrow, Amiyatosh Purnanandam, Wei Yang

Journal:

Journal of Financial Services Research

Year:

2003

Language:

english

File:

PDF, 278 KB

english, 2003

91

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

92

A liquidity-based model for asset price bubbles

Jarrow, Robert A., Protter, Philip, Roch, Alexandre F.

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 211 KB

english, 2012

93

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

94

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory

Robert Jarrow, Philip Protter

Journal:

Finance Research Letters

Year:

2012

Language:

english

File:

PDF, 158 KB

english, 2012

95

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

96

Discretely sampled variance and volatility swaps versus their continuous approximations

Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter

Journal:

Finance and Stochastics

Year:

2013

Language:

english

File:

PDF, 636 KB

english, 2013

97

[Applied and Numerical Harmonic Analysis] Advances in Mathematical Finance || Taxation and Transaction Costs in a General Equilibrium Asset Economy

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

Year:

2007

Language:

english

File:

PDF, 325 KB

english, 2007

98

The Economics of Credit Default Swaps

Jarrow, Robert A.

Journal:

Annual Review of Financial Economics

Year:

2011

Language:

english

File:

PDF, 895 KB

english, 2011

99

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS

Jarrow, Robert, Protter, Philip, Pulido, Sergio

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 655 KB

english, 2015

100

Financial crises and economic growth

Jarrow, Robert A.

Journal:

The Quarterly Review of Economics and Finance

Year:

2014

Language:

english

File:

PDF, 579 KB

english, 2014