Information about:
Robert A Jarrow

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Affiliation

• Cornell University, Operations Research and Industrial Engineering

  Homepage: http://www.orie.cornell.edu/
  Location: Ithaca, New York, USA
  

• Department of Economics
  Cornell University

  Location: Ithaca, New York (United States)
  Homepage: http://www.arts.cornell.edu/econ/
  Email:
  Phone: 607-255-4254
  Fax: 607-255-2818
  Postal: Uris Hall, 4th Floor, Ithaca NY 14853
  Handle: RePEc:edi:decorus (registered authors at this institution)

• Johnson Graduate School of Management
  Cornell University

  Location: Ithaca, New York (United States)
  Homepage: http://www.johnson.cornell.edu/
  Email:
  Phone:
  Fax: 607 255 1858
  Postal:
  Handle: RePEc:edi:gscorus (registered authors at this institution)

Lists

1. Average Rank Score
2. Number of Distinct Works
3. Number of Citations
4. Number of Citations, Discounted by Citation Age
5. Number of Citations, Weighted by Simple Impact Factor
6. Number of Citations, Weighted by Number of Authors
7. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
8. h, where author has written h papers that have each been cited at least h times.
9. Number of Journal Pages
10. Number of Journal Pages, Weighted by Simple Impact Factor
11. Number of Journal Pages, Weighted by Recursive Impact Factor
12. Number of Journal Pages, Weighted by Number of Authors
13. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
14. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
15. Number of Abstract Views in RePEc Services over the past 12 months
16. Number of Downloads through RePEc Services over the past 12 months
17. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
18. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
19. Wu-Index

Working papers

1. Antje Berndt & Robert Jarrow & ChoongOh Kang, 2006. "Restructuring Risk in Credit Default Swaps: An Empirical Analysis," GSIA Working Papers 2006-E30, Carnegie Mellon University, Tepper School of Business. [Downloadable!]

2. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society. [Downloadable!]

3. Robert Jarrow & Stuart Turnbull, 1996. "An Integrated Approach to Hedging and Pricing Eurodollar Derivatives," Center for Financial Institutions Working Papers 96-25, Wharton School Center for Financial Institutions, University of Pennsylvania.

4. Laurence K. Eisenberg & Robert A. Jarrow, 1991. "Option pricing with random volatilities in complete markets," Working Paper 91-16, Federal Reserve Bank of Atlanta.

5. Eric Jacquier & Robert Jarrow, . "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 7-96, Wharton School Rodney L. White Center for Financial Research.
   Other versions:
   • Éric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO. [Downloadable!]
   • Eric Jacquier & Robert Jarrow, . "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 07-96, Wharton School Rodney L. White Center for Financial Research.

1. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March. [Downloadable!] (restricted)

2. Jarrow, Robert A., 2008. "Operational risk," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 870-879, May. [Downloadable!] (restricted)

3. Andreas D. Christopoulos & Robert A. Jarrow & Yildiray Yildirim, 2008. "Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 441-498, 09. [Downloadable!] (restricted)

4. Robert Jarrow & Philip Protter & A. Sezer, 2007. "Information reduction via level crossings in a credit risk model," Finance and Stochastics, Springer, vol. 11(2), pages 195-212, April. [Downloadable!] (restricted)

5. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, 02. [Downloadable!] (restricted)

6. R. Jarrow & A. Purnanandam, 2007. "The valuation of a firm’s investment opportunities: a reduced form credit risk perspective," Review of Derivatives Research, Springer, vol. 10(1), pages 39-58, January. [Downloadable!] (restricted)

7. Robert Jarrow & Vikrant Tyagi, 2007. "Tax liens: a novel application of asset pricing theory," Review of Derivatives Research, Springer, vol. 10(2), pages 181-204, May. [Downloadable!] (restricted)

8. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer, vol. 32(1), pages 1-16, October. [Downloadable!] (restricted)

9. U. Çetin & R. Jarrow & P. Protter & M. Warachka, 2006. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(2), pages 493-529. [Downloadable!] (restricted)

10. Jarrow, Robert A. & Purnanandam, Amiyatosh K., 2005. "A generalized coherent risk measure: The firm's perspective," Finance Research Letters, Elsevier, vol. 2(1), pages 23-29, March. [Downloadable!] (restricted)

11. Jarrow, Robert & Protter, Philip, 2005. "Large traders, hidden arbitrage, and complete markets," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2803-2820, November. [Downloadable!] (restricted)

12. Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Blackwell Publishing, vol. 15(1), pages 1-26. [Downloadable!] (restricted)

13. Jarrow, Robert & Ruppert, David & Yu, Yan, 2004. "Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 57-66, January. [Downloadable!] (restricted)

14. Jarrow, Robert A., 2004. "Risky coupon bonds as a portfolio of zero-coupon bonds," Finance Research Letters, Elsevier, vol. 1(2), pages 100-105, June. [Downloadable!] (restricted)

15. Hogan, Steve & Jarrow, Robert & Teo, Melvyn & Warachka, Mitch, 2004. "Testing market efficiency using statistical arbitrage with applications to momentum and value strategies," Journal of Financial Economics, Elsevier, vol. 73(3), pages 525-565, September. [Downloadable!] (restricted)

16. Joseph A. Cherian & Eric Jacquier & Robert A. Jarrow, 2004. "A Model of the Convenience Yields in On-the-Run Treasuries," Review of Derivatives Research, Springer, vol. 7(2), pages 79-97, 08. [Downloadable!]

17. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2003. "Market Pricing of Deposit Insurance," Journal of Financial Services Research, Springer, vol. 24(2), pages 93-119, October. [Downloadable!] (restricted)

18. Robert Jarrow, 2002. "Put Option Premiums and Coherent Risk Measures," Mathematical Finance, Blackwell Publishing, vol. 12(2), pages 135-142. [Downloadable!] (restricted)

19. Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October. [Downloadable!] (restricted)

20. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 447-474. [Downloadable!] (restricted)

21. Jacquier, Eric & Jarrow, Robert, 2000. "Bayesian analysis of contingent claim model error," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 145-180. [Downloadable!] (restricted)

22. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January. [Downloadable!] (restricted)

23. Robert Jarrow & Dilip B. Madan, 1999. "Hedging contingent claims on semimartingales," Finance and Stochastics, Springer, vol. 3(1), pages 111-134. [Downloadable!] (restricted)

24. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall. [Downloadable!] (restricted)

25. Battig, Robert J & Jarrow, Robert A, 1999. "The Second Fundamental Theorem of Asset Pricing: A New Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(5), pages 1219-35.

26. Jarrow, Robert A. & van Deventer, Donald R., 1998. "The arbitrage-free valuation and hedging of demand deposits and credit card loans," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 249-272, March. [Downloadable!] (restricted)

27. Jarrow, Robert A & Turnbull, Stuart M, 1998. " A Unified Approach for Pricing Contingent Claims on Multiple Term Structures," Review of Quantitative Finance and Accounting, Springer, vol. 10(1), pages 5-19, January. [Downloadable!] (restricted)

28. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(2), pages 481-523.

29. Robert Jarrow, 1997. "Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible?," Financial Management, Financial Management Association, vol. 26(1), Spring.

30. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March. [Downloadable!] (restricted)

31. Arkadev Chatterjea & Joseph A. Cherian & Robert A. Jarrow, 1993. "Market Manipulation and Corporate Finance: A New Perspective," Financial Management, Financial Management Association, vol. 22(2), Summer.

32. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)

33. Amin, Kaushik I. & Jarrow, Robert A., 1991. "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 310-329, September. [Downloadable!] (restricted)

34. Carr, Peter P & Jarrow, Robert A, 1990. "The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(3), pages 469-92. [Downloadable!] (restricted)

35. Jarrow, Robert A & O'Hara, Maureen, 1989. " Primes and Scores: An Essay on Market Imperfections," Journal of Finance, American Finance Association, vol. 44(5), pages 1263-87, December. [Downloadable!] (restricted)

36. Jarrow, Robert A & Wiggins, James B, 1989. " Option Pricing and Implicit Volatilities," Journal of Economic Surveys, Blackwell Publishing, vol. 3(1), pages 59-81.

37. Heath, David C & Jarrow, Robert A, 1988. "Ex-dividend Stock Price Behavior and Arbitrage Opportunities," Journal of Business, University of Chicago Press, vol. 61(1), pages 95-108, January. [Downloadable!] (restricted)

38. Robert A. Jarrow, 1988. "Preferences, Continuity, and the Arbitrage Pricing Theory," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(2), pages 159-172. [Downloadable!] (restricted)

39. Jarrow, Robert, 1987. "Beliefs and arbitrage pricing," Economics Letters, Elsevier, vol. 24(2), pages 165-169. [Downloadable!] (restricted)

40. Heath, David C & Jarrow, Robert A, 1987. " Arbitrage, Continuous Trading, and Margin Requirements," Journal of Finance, American Finance Association, vol. 42(5), pages 1129-42, December. [Downloadable!] (restricted)

41. Green, Richard C. & Jarrow, Robert A., 1987. "Spanning and completeness in markets with contingent claims," Journal of Economic Theory, Elsevier, vol. 41(1), pages 202-210, February. [Downloadable!] (restricted)

42. Jarrow, Robert A., 1986. "A characterization theorem for unique risk neutral probability measures," Economics Letters, Elsevier, vol. 22(1), pages 61-65. [Downloadable!] (restricted)

43. Jarrow, Robert, 1986. " The Relationship between Arbitrage and First Order Stochastic Dominance," Journal of Finance, American Finance Association, vol. 41(4), pages 915-21, September. [Downloadable!] (restricted)

44. Jarrow, Robert A & Rosenfeld, Eric R, 1984. "Jump Risks and the Intertemporal Capital Asset Pricing Model," Journal of Business, University of Chicago Press, vol. 57(3), pages 337-51, July. [Downloadable!] (restricted)

45. Jarrow, Robert, 1984. "The error learning hypothesis: The evidence reexamined," Journal of Economics and Business, Elsevier, vol. 36(2), pages 177-188, May. [Downloadable!] (restricted)

46. Jarrow, Robert & Rudd, Andrew, 1983. "A comparison of the APT and CAPM a note," Journal of Banking & Finance, Elsevier, vol. 7(2), pages 295-303, June. [Downloadable!] (restricted)

47. Easley, David & Jarrow, Robert A, 1983. " Consensus Beliefs Equilibrium and Market Efficiency," Journal of Finance, American Finance Association, vol. 38(3), pages 903-11, June. [Downloadable!] (restricted)

48. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November. [Downloadable!] (restricted)

49. Jarrow, Robert A. & Oldfield, George S., 1981. "Forward contracts and futures contracts," Journal of Financial Economics, Elsevier, vol. 9(4), pages 373-382, December. [Downloadable!] (restricted)

50. Jarrow, Robert A, 1980. " Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices," Journal of Finance, American Finance Association, vol. 35(5), pages 1105-13, December. [Downloadable!] (restricted)

51. Jarrow, Robert A, 1978. "The Relationship between Yield, Risk and Return of Corporate Bonds," Journal of Finance, American Finance Association, vol. 33(4), pages 1235-40, September. [Downloadable!] (restricted)

52. Oldfield, George Jr. & Rogalski, Richard J. & Jarrow, Robert A., 1977. "An autoregressive jump process for common stock returns," Journal of Financial Economics, Elsevier, vol. 5(3), pages 389-418, December. [Downloadable!] (restricted)

1. No paper was announced in a field specific NEP report

This page was last updated on 2008-10-4.