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Robert A Jarrow

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This is information that was supplied by Robert Jarrow in registering through RePEc. If you are Robert A Jarrow , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Robert
Middle Name: A
Last Name: Jarrow
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RePEc Short-ID: pja39

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Affiliation

(45%) Department of Economics
Cornell University
Location: Ithaca, New York (United States)
Homepage: http://economics.cornell.edu/
Email:
Phone: 607-255-4254
Fax: 607-255-2818
Postal: Uris Hall, 4th Floor, Ithaca NY 14853
Handle: RePEc:edi:decorus (more details at EDIRC)
(45%) 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 (more details at EDIRC)
(10%) Cornell University, Operations Research and Industrial Engineering
Homepage: http://www.orie.cornell.edu/
Location: Ithaca, New York, USA

Works

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Working papers

  1. Robert A. Jarrow & Martin Larsson, 2014. "Informational Efficiency under Short Sale Constraints," Papers 1401.1851, arXiv.org.
  2. Jarrow, Robert & Kwok, Simon, 2013. "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics.
  3. Robert Jarrow & Younes Kchia & Philip Protter, 2011. "Is there a bubble in LinkedIn's stock price?," Papers 1105.5717, arXiv.org.
  4. Xin Guo & Robert A Jarrow & Adrien de Larrard, 2010. "The economic default time and the Arcsine law," Papers 1012.0843, arXiv.org, revised Jan 2011.
  5. Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim, 2009. "Housing Market Microstructure," Papers 0907.1853, arXiv.org.
  6. 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.
  7. Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2004. "Modeling Credit Risk with Partial Information," Papers math/0407060, arXiv.org.
  8. 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.
  9. 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.
  10. Laurence K. Eisenberg & Robert A. Jarrow, 1991. "Option pricing with random volatilities in complete markets," Working Paper 91-16, Federal Reserve Bank of Atlanta.
  11. 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.

Articles

  1. Jarrow, Robert A., 2014. "Financial crises and economic growth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 194-207.
  2. Jarrow, Robert, 2013. "A leverage ratio rule for capital adequacy," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 973-976.
  3. Robert Jarrow, 2013. "Capital adequacy rules, catastrophic firm failure, and systemic risk," Review of Derivatives Research, Springer, vol. 16(3), pages 219-231, October.
  4. Robert Jarrow & Hao Li, 2013. "Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1350012-1-1.
  5. Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013. "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, vol. 17(2), pages 305-324, April.
  6. Jarrow, Robert A., 2013. "The zero-lower bound on interest rates: Myth or reality?," Finance Research Letters, Elsevier, vol. 10(4), pages 151-156.
  7. Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, vol. 9(2), pages 58-62.
  8. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  9. Nicolas Diener & Robert Jarrow & Philip Protter, 2012. "Relating Top-Down With Bottom-Up Approaches In The Evaluation Of Abs With Large Collateral Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1250011-1-1.
  10. Robert A. Jarrow & Philip Protter & Alexandre F. Roch, 2012. "A liquidity-based model for asset price bubbles," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1339-1349, August.
  11. Robert Jarrow, 2012. "The Third Fundamental Theorem Of Asset Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1250007-1-1.
  12. Robert A. Jarrow, 2012. "Hedging derivatives with model error," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 855-863, February.
  13. Robert A. Jarrow & Philip Protter, 2012. "A Dysfunctional Role Of High Frequency Trading In Electronic Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1250022-1-1.
  14. Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
  15. Robert A. Jarrow, 2011. "The Economics of Credit Default Swaps," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 235-257, December.
  16. Robert A. Jarrow & Siegfried Trautmann, 2011. "A Reduced‐Form Model for Warrant Valuation," The Financial Review, Eastern Finance Association, vol. 46(3), pages 413-425, 08.
  17. İnaltekin, Hazer & Jarrow, Robert A. & Sağlam, Mehmet & Yıldırım, Yıldıray, 2011. "Housing prices and the optimal time-on-the-market decision," Finance Research Letters, Elsevier, vol. 8(4), pages 171-179.
  18. Jarrow, Robert A., 2011. "Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate," Finance Research Letters, Elsevier, vol. 8(1), pages 2-7, March.
  19. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  20. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 95(2), pages 227-248, February.
  21. Jarrow, Robert A., 2010. "A simple robust model for Cat bond valuation," Finance Research Letters, Elsevier, vol. 7(2), pages 72-79, June.
  22. Jarrow, Robert A., 2010. "Hedging in a HJM model," Finance Research Letters, Elsevier, vol. 7(1), pages 8-13, March.
  23. Jarrow, Robert A., 2010. "Understanding the risk of leveraged ETFs," Finance Research Letters, Elsevier, vol. 7(3), pages 135-139, September.
  24. Robert A. Jarrow, 2010. "On Model Testing in Financial Economics," The Financial Review, Eastern Finance Association, vol. 45(2), pages 277-285, 05.
  25. Robert Jarrow & Jeff Oxman & Yildiray Yildirim, 2010. "The cost of operational risk loss insurance," Review of Derivatives Research, Springer, vol. 13(3), pages 273-295, October.
  26. Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
  27. Robert A. Jarrow & Philip Protter, 2009. "Forward And Futures Prices With Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 901-924.
  28. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  29. Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Modeling The Recovery Rate In A Reduced Form Model," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 73-97.
  30. Jarrow, Robert A., 2008. "Operational risk," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 870-879, May.
  31. Xin Guo & Robert Jarrow & Haizhi Lin, 2008. "Distressed debt prices and recovery rate estimation," Review of Derivatives Research, Springer, vol. 11(3), pages 171-204, October.
  32. 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.
  33. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
  34. 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.
  35. Berndt, Antje & Jarrow, Robert A. & Kang, ChoongOh, 2007. "Restructuring risk in credit default swaps: An empirical analysis," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1724-1749, November.
  36. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer, vol. 32(1), pages 1-16, October.
  37. 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.
  38. 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.
  39. 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.
  40. U. �etin & 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, Society for Financial Studies, vol. 19(2), pages 493-529.
  41. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  42. Jana Hranaiova & Robert A. Jarrow & William G. Tomek, 2005. "Estimating The Value Of Delivery Options In Futures Contracts," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 28(3), pages 363-383.
  43. 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.
  44. Jarrow, Robert & Protter, Philip, 2005. "Large traders, hidden arbitrage, and complete markets," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2803-2820, November.
  45. Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 1-26.
  46. 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.
  47. Umut Çetin & Robert Jarrow & Philip Protter, 2004. "Liquidity risk and arbitrage pricing theory," Finance and Stochastics, Springer, vol. 8(3), pages 311-341, 08.
  48. 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.
  49. 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.
  50. 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.
  51. Jarrow, Robert & Yildirim, Yildiray, 2003. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 337-358, June.
  52. 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.
  53. Robert Jarrow, 2002. "Put Option Premiums and Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 135-142.
  54. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474.
  55. 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.
  56. 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.
  57. Jacquier, Eric & Jarrow, Robert, 2000. "Bayesian analysis of contingent claim model error," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 145-180.
  58. Robert Jarrow & Dilip B. Madan, 1999. "Hedging contingent claims on semimartingales," Finance and Stochastics, Springer, vol. 3(1), pages 111-134.
  59. Robert A. Jarrow & Xing Jin & Dilip B. Madan, 1999. "The Second Fundamental Theorem of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 255-273.
  60. 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.
  61. Battig, Robert J & Jarrow, Robert A, 1999. "The Second Fundamental Theorem of Asset Pricing: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1219-35.
  62. 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.
  63. Chatterjea, Arkadev & Jarrow, Robert A., 1998. "Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(02), pages 255-289, June.
  64. 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.
  65. 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.
  66. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
  67. 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.
  68. Robert Jarrow & Dilip Madan, 1995. "Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 311-336.
  69. Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 241-261, June.
  70. Robert Jarrow & Stuart Turnbull, 1994. "Delta, gamma and bucket hedging of interest rate derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 21-48.
  71. 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.
  72. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
  73. Jarrow, Robert A., 1992. "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 311-336, September.
  74. 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.
  75. Kaushik I. Amin & Robert A. Jarrow, 1992. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 217-237.
  76. 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.
  77. Jarrow, Robert A. & Leach, J. Chris, 1991. "The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(04), pages 533-547, December.
  78. Robert A. Jarrow & Dilip B. Madan, 1991. "A Characterization of Complete Security Markets On A Brownian Filtration," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 31-43.
  79. Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 419-440, December.
  80. 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, Society for Financial Studies, vol. 3(3), pages 469-92.
  81. 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.
  82. Jarrow, Robert A & Wiggins, James B, 1989. " Option Pricing and Implicit Volatilities," Journal of Economic Surveys, Wiley Blackwell, vol. 3(1), pages 59-81.
  83. Heath, David C & Jarrow, Robert A, 1988. "Ex-dividend Stock Price Behavior and Arbitrage Opportunities," The Journal of Business, University of Chicago Press, vol. 61(1), pages 95-108, January.
  84. Robert A. Jarrow, 1988. "Preferences, Continuity, and the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 1(2), pages 159-172.
  85. Jarrow, Robert, 1987. "Beliefs and arbitrage pricing," Economics Letters, Elsevier, vol. 24(2), pages 165-169.
  86. 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.
  87. 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.
  88. Jarrow, Robert A., 1986. "A characterization theorem for unique risk neutral probability measures," Economics Letters, Elsevier, vol. 22(1), pages 61-65.
  89. 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.
  90. Jarrow, Robert A & Rosenfeld, Eric R, 1984. "Jump Risks and the Intertemporal Capital Asset Pricing Model," The Journal of Business, University of Chicago Press, vol. 57(3), pages 337-51, July.
  91. Jarrow, Robert, 1984. "The error learning hypothesis: The evidence reexamined," Journal of Economics and Business, Elsevier, vol. 36(2), pages 177-188, May.
  92. 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.
  93. 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.
  94. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
  95. Jarrow, Robert A. & Oldfield, George S., 1981. "Forward contracts and futures contracts," Journal of Financial Economics, Elsevier, vol. 9(4), pages 373-382, December.
  96. 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.
  97. 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.
  98. 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.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2013-07-15
  2. NEP-RMG: Risk Management (1) 2010-12-11

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