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Robert Jarrow

Personal Details

First Name:Robert
Middle Name:A
Last Name:Jarrow
Suffix:
RePEc Short-ID:pja39
[This author has chosen not to make the email address public]
Terminal Degree:1979 Sloan School of Management; Massachusetts Institute of Technology (MIT) (from RePEc Genealogy)

Affiliation

(5%) Johnson Graduate School of Management
Cornell University

Ithaca, New York (United States)
http://www.johnson.cornell.edu/
RePEc:edi:gscorus (more details at EDIRC)

(95%) Department of Economics
Cornell University

Ithaca, New York (United States)
http://economics.cornell.edu/
RePEc:edi:decorus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Karen Grigorian & Robert Jarrow, 2023. "Filtration Reduction and Completeness in Jump-Diffusion Models," Papers 2304.06202, arXiv.org, revised Jan 2024.
  2. Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
  3. Robert Jarrow & Philip Protter & Alejandra Quintos, 2021. "Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk," Papers 2110.10936, arXiv.org, revised Dec 2022.
  4. Liao Zhu & Robert A. Jarrow & Martin T. Wells, 2020. "Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model," Papers 2011.04171, arXiv.org, revised Apr 2021.
  5. Robert A. Jarrow & Rinald Murataj & Martin T. Wells & Liao Zhu, 2020. "The Low-volatility Anomaly and the Adaptive Multi-Factor Model," Papers 2003.08302, arXiv.org, revised Apr 2021.
  6. Jarrow, Robert A. & Kwok, Simon S., 2020. "Inferring Financial Bubbles from Option Data," Working Papers 2020-04, University of Sydney, School of Economics, revised Jun 2021.
  7. Liao Zhu & Sumanta Basu & Robert A. Jarrow & Martin T. Wells, 2018. "High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model," Papers 1804.08472, arXiv.org, revised Dec 2021.
  8. Robert Jarrow & Philip Protter & Sergio Pulido, 2015. "The effect of trading futures on short sale constraints," Post-Print hal-02265269, HAL.
  9. Robert A. Jarrow & Martin Larsson, 2014. "Informational Efficiency under Short Sale Constraints," Papers 1401.1851, arXiv.org.
  10. Jarrow, Robert & Kwok, Simon, 2013. "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics, revised Dec 2014.
  11. Robert Jarrow & Younes Kchia & Philip Protter, 2011. "Is there a bubble in LinkedIn's stock price?," Papers 1105.5717, arXiv.org.
  12. 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.
  13. Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim, 2009. "Housing Market Microstructure," Papers 0907.1853, arXiv.org.
  14. 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.
  15. Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2004. "Modeling Credit Risk with Partial Information," Papers math/0407060, arXiv.org.
  16. 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.
  17. Eric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO.
  18. 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.
  19. Laurence K. Eisenberg & Robert A. Jarrow, 1991. "Option pricing with random volatilities in complete markets," FRB Atlanta Working Paper 91-16, Federal Reserve Bank of Atlanta.

Articles

  1. Robert A. Jarrow & Simon S. Kwok, 2023. "An explosion time characterization of asset price bubbles," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 469-479, June.
  2. Robert A. Jarrow & Rinald Murataj & Martin T. Wells & Liao Zhu, 2023. "The Low-Volatility Anomaly And The Adaptive Multi-Factor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(04n05), pages 1-33, August.
  3. Robert Jarrow & Siguang Li, 2023. "Media trading groups and short selling manipulation," Quantitative Finance, Taylor & Francis Journals, vol. 23(7-8), pages 1035-1052, August.
  4. Jarrow, Robert & Van Deventer, Donald R., 2023. "A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 16(3), pages 237-255, June.
  5. Jarrow, Robert A. & Kwok, Simon S., 2023. "Futures contract collateralization and its implications," Journal of Empirical Finance, Elsevier, vol. 74(C).
  6. Robert Jarrow & Siguang Li, 2023. "Interest rate swaps: a comparison of compounded daily versus discrete reference rates," Review of Derivatives Research, Springer, vol. 26(1), pages 1-21, April.
  7. Robert A. Jarrow, 2023. "The no-arbitrage pricing of non-traded assets," Annals of Finance, Springer, vol. 19(3), pages 401-418, September.
  8. Jarrow, Robert & Lamichhane, Sujan, 2022. "Risk premia, asset price bubbles, and monetary policy," Journal of Financial Stability, Elsevier, vol. 60(C).
  9. Robert Jarrow & Siguang Li, 2022. "Index Design: Hedging and Manipulation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-36, June.
  10. Soon Hyeok Choi & Robert A. Jarrow, 2022. "Applying The Local Martingale Theory Of Bubbles To Cryptocurrencies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 25(03), pages 1-25, May.
  11. Jarrow, Robert A., 2022. "High frequency trading and standard asset pricing models," Finance Research Letters, Elsevier, vol. 49(C).
  12. Robert Jarrow & Sujan Lamichhane, 2022. "Funding shortages, expectations, and forward rate risk premium," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1321-1341, July.
  13. Liao Zhu & Robert A. Jarrow & Martin T. Wells, 2021. "Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-30, December.
  14. Robert A. Jarrow, 2021. "The Economics of Insurance: A Derivatives-Based Approach," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 79-110, November.
  15. Robert A. Jarrow & Simon S. Kwok, 2021. "Inferring financial bubbles from option data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1013-1046, November.
  16. Robert Jarrow & Siguang Li, 2021. "Concavity, stochastic utility, and risk aversion," Finance and Stochastics, Springer, vol. 25(2), pages 311-330, April.
  17. Robert A. Jarrow & Pierre Patie & Anna Srapionyan & Yixuan Zhao, 2021. "Risk‐neutral pricing techniques and examples," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 857-884, July.
  18. Jarrow, Robert & Li, Siguang, 2021. "Endogenous liquidity risk and dealer market structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 449-453.
  19. Robert Jarrow & Philip Protter, 2020. "Credit Risk, Liquidity, and Bubbles," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 737-746, September.
  20. Liao Zhu & Sumanta Basu & Robert A. Jarrow & Martin T. Wells, 2020. "High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 1-52, December.
  21. Robert Jarrow & Sujan Lamichhane, 2020. "The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-38, March.
  22. Robert Jarrow & Philip Protter, 2019. "Fair Microfinance Loan Rates," International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 909-918, December.
  23. Robert Jarrow & Haitao Li & Xiaoxia Ye & May Hu, 2019. "Exploring Mispricing in the Term Structure of CDS Spreads," Review of Finance, European Finance Association, vol. 23(1), pages 161-198.
  24. PeiLin Hsieh & Robert Jarrow, 2019. "Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market," Management Science, INFORMS, vol. 65(4), pages 1833-1854, April.
  25. Robert Jarrow & Philip Protter, 2019. "A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory," Mathematical Finance, Wiley Blackwell, vol. 29(4), pages 1157-1170, October.
  26. Robert Jarrow, 2018. "An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-33, June.
  27. Thomas Emmerling & Robert Jarrow & Yildiray Yildirim, 2018. "Portfolio balance effects and the Federal Reserve’s large-scale asset purchases," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 2-24, March.
  28. Robert Jarrow & Scott Fung & Shih-Chuan Tsai, 2018. "An empirical investigation of large trader market manipulation in derivatives markets," Review of Derivatives Research, Springer, vol. 21(3), pages 331-374, October.
  29. Robert Jarrow & Andrey Krishenik & Andreea Minca, 2018. "Optimal cash holdings under heterogeneous beliefs," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 712-747, April.
  30. Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
  31. Robert Jarrow, 2018. "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, vol. 14(2), pages 253-288, May.
  32. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
  33. Robert Jarrow, 2017. "A Capm With Trading Constraints And Price Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-39, December.
  34. Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.
  35. Robert Jarrow, 2016. "Bubbles And Multiple-Factor Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-19, February.
  36. Lin Sun & Calum G. Turvey & Robert A. Jarrow, 2015. "Designing catastrophic bonds for catastrophic risks in agriculture," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 75(1), pages 47-62, May.
  37. Jarrow, Robert & Kwok, Simon Sai Man, 2015. "Specification tests of calibrated option pricing models," Journal of Econometrics, Elsevier, vol. 189(2), pages 397-414.
  38. Jarrow, Robert & Xu, Liheng, 2015. "Bank runs and self-insured bank deposits," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 180-189.
  39. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
  40. Robert Jarrow & Philip Protter & Sergio Pulido, 2015. "The Effect Of Trading Futures On Short Sale Constraints," Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 311-338, April.
  41. Jarrow, Robert A. & Van Deventer, Donald R., 2015. "Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 8(4), pages 332-346, October.
  42. Robert Jarrow & Hao Li, 2015. "The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-34.
  43. Marius Ascheberg & Robert A. Jarrow & Holger Kraft & Yildiray Yildirim, 2014. "Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(3), pages 627-661, September.
  44. Jarrow, Robert, 2014. "Computing present values: Capital budgeting done correctly," Finance Research Letters, Elsevier, vol. 11(3), pages 183-193.
  45. Xin Guo & Robert A. Jarrow & Adrien de Larrard, 2014. "The economic default time and the arcsine law," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 1-18.
  46. Robert A. Jarrow, 2014. "Forward Rate Curve Smoothing," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 443-458, December.
  47. Jarrow, Robert A., 2014. "Financial crises and economic growth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 194-207.
  48. Robert Jarrow & Hao Li, 2014. "The impact of quantitative easing on the US term structure of interest rates," Review of Derivatives Research, Springer, vol. 17(3), pages 287-321, October.
  49. Jarrow, Robert A., 2013. "The zero-lower bound on interest rates: Myth or reality?," Finance Research Letters, Elsevier, vol. 10(4), pages 151-156.
  50. Jarrow, Robert, 2013. "A leverage ratio rule for capital adequacy," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 973-976.
  51. Robert Jarrow, 2013. "Capital adequacy rules, catastrophic firm failure, and systemic risk," Review of Derivatives Research, Springer, vol. 16(3), pages 219-231, October.
  52. 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.
  53. 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 1-12.
  54. 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 1-11.
  55. 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 1-15.
  56. 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.
  57. 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 1-20.
  58. 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.
  59. 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.
  60. Robert A. Jarrow, 2012. "Hedging derivatives with model error," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 855-863, February.
  61. Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
  62. 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.
  63. Robert A. Jarrow, 2011. "The Economics of Credit Default Swaps," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 235-257, December.
  64. 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, August.
  65. 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.
  66. Jarrow, Robert A., 2010. "Hedging in a HJM model," Finance Research Letters, Elsevier, vol. 7(1), pages 8-13, March.
  67. 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.
  68. Robert A. Jarrow, 2010. "On Model Testing in Financial Economics," The Financial Review, Eastern Finance Association, vol. 45(2), pages 277-285, May.
  69. Jarrow, Robert A., 2010. "Understanding the risk of leveraged ETFs," Finance Research Letters, Elsevier, vol. 7(3), pages 135-139, September.
  70. Jarrow, Robert A., 2010. "A simple robust model for Cat bond valuation," Finance Research Letters, Elsevier, vol. 7(2), pages 72-79, June.
  71. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  72. 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.
  73. Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
  74. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  75. 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.
  76. 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, January.
  77. 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, September.
  78. Chava, Sudheer & Jarrow, Robert, 2008. "Modeling loan commitments," Finance Research Letters, Elsevier, vol. 5(1), pages 11-20, March.
  79. Jarrow, Robert A., 2008. "Operational risk," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 870-879, May.
  80. 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.
  81. 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.
  82. 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.
  83. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
  84. 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.
  85. 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, February.
  86. 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.
  87. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  88. 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, Society for Financial Studies, vol. 19(2), pages 493-529.
  89. 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, September.
  90. Jarrow, Robert & Protter, Philip, 2005. "Large traders, hidden arbitrage, and complete markets," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2803-2820, November.
  91. 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, January.
  92. 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.
  93. 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.
  94. 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.
  95. 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, August.
  96. Umut Çetin & Robert Jarrow & Philip Protter, 2004. "Liquidity risk and arbitrage pricing theory," Finance and Stochastics, Springer, vol. 8(3), pages 311-341, August.
  97. Sudheer Chava & Robert A. Jarrow, 2004. "Bankruptcy Prediction with Industry Effects," Review of Finance, European Finance Association, vol. 8(4), pages 537-569.
  98. 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.
  99. 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(2), pages 337-358, June.
  100. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2003. "Market Pricing of Deposit Insurance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 93-119, October.
  101. Robert Jarrow, 2002. "Put Option Premiums and Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 135-142, April.
  102. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474, October.
  103. Robert A. Jarrow & Fan Yu, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
  104. 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.
  105. Jacquier, Eric & Jarrow, Robert, 2000. "Bayesian analysis of contingent claim model error," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 145-180.
  106. 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.
  107. Robert Jarrow & Dilip B. Madan, 1999. "Hedging contingent claims on semimartingales," Finance and Stochastics, Springer, vol. 3(1), pages 111-134.
  108. 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 1219-1235.
  109. 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, July.
  110. 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(2), pages 255-289, June.
  111. 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.
  112. 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.
  113. 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.
  114. Robert A. Jarrow & Dilip B. Madan, 1997. "Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?," Review of Finance, European Finance Association, vol. 1(1), pages 15-30.
  115. 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.
  116. 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.
  117. Robert Jarrow & Dilip Madan, 1995. "Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns1," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 311-336, October.
  118. 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.
  119. Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 241-261, June.
  120. 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.
  121. Kaushik I. Amin & Robert A. Jarrow, 1992. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 217-237, October.
  122. Jarrow, Robert A., 1992. "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 311-336, September.
  123. 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.
  124. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106, April.
  125. 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(4), pages 533-547, December.
  126. Robert A. Jarrow & Dilip B. Madan, 1991. "A Characterization of Complete Security Markets On A Brownian Filtration1," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 31-43, July.
  127. 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.
  128. 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(4), pages 419-440, December.
  129. 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 469-492.
  130. Jarrow, Robert A & Wiggins, James B, 1989. "Option Pricing and Implicit Volatilities," Journal of Economic Surveys, Wiley Blackwell, vol. 3(1), pages 59-81.
  131. 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.
  132. 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.
  133. Jarrow, Robert, 1987. "Beliefs and arbitrage pricing," Economics Letters, Elsevier, vol. 24(2), pages 165-169.
  134. Heath, David C & Jarrow, Robert A, 1987. "Arbitrage, Continuous Trading, and Margin Requirements," Journal of Finance, American Finance Association, vol. 42(5), pages 1129-1142, December.
  135. 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.
  136. Jarrow, Robert A., 1986. "A characterization theorem for unique risk neutral probability measures," Economics Letters, Elsevier, vol. 22(1), pages 61-65.
  137. Jarrow, Robert, 1986. "The Relationship between Arbitrage and First Order Stochastic Dominance," Journal of Finance, American Finance Association, vol. 41(4), pages 915-921, September.
  138. 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 337-351, July.
  139. Jarrow, Robert, 1984. "The error learning hypothesis: The evidence reexamined," Journal of Economics and Business, Elsevier, vol. 36(2), pages 177-188, May.
  140. 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.
  141. Easley, David & Jarrow, Robert A, 1983. "Consensus Beliefs Equilibrium and Market Efficiency," Journal of Finance, American Finance Association, vol. 38(3), pages 903-911, June.
  142. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
  143. Jarrow, Robert A. & Oldfield, George S., 1981. "Forward contracts and futures contracts," Journal of Financial Economics, Elsevier, vol. 9(4), pages 373-382, December.
  144. Jarrow, Robert A, 1980. "Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices," Journal of Finance, American Finance Association, vol. 35(5), pages 1105-1113, December.
  145. Jarrow, Robert A, 1978. "The Relationship between Yield, Risk and Return of Corporate Bonds," Journal of Finance, American Finance Association, vol. 33(4), pages 1235-1240, September.
  146. 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.
    RePEc:eme:sef000:sef-10-2017-0284 is not listed on IDEAS
    RePEc:eme:afrpps:afr-02-2015-0010 is not listed on IDEAS
    RePEc:eme:afr000:afr-02-2015-0010 is not listed on IDEAS
    RePEc:inm:ormoor:v:34:y:2009:i:2:p:320-332 is not listed on IDEAS

Chapters

  1. Robert A. Jarrow & Yuxuan Liu, 2023. "Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies," World Scientific Book Chapters, in: Robert A Jarrow & Dilip B Madan (ed.), Peter Carr Gedenkschrift Research Advances in Mathematical Finance, chapter 14, pages 475-510, World Scientific Publishing Co. Pte. Ltd..
  2. Robert Jarrow, 2017. "Barings Bank (1995)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 19, pages 155-160, World Scientific Publishing Co. Pte. Ltd..
  3. Robert Jarrow, 2017. "Dynamic Hedging," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 15, pages 115-125, World Scientific Publishing Co. Pte. Ltd..
  4. Robert Jarrow, 2017. "Firms," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 11, pages 89-91, World Scientific Publishing Co. Pte. Ltd..
  5. Robert Jarrow, 2017. "Market Risk (Interest Rates)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 5, pages 47-52, World Scientific Publishing Co. Pte. Ltd..
  6. Robert Jarrow, 2017. "The Credit Crisis (2007)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 21, pages 167-171, World Scientific Publishing Co. Pte. Ltd..
  7. Robert Jarrow, 2017. "Individuals," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 10, pages 81-87, World Scientific Publishing Co. Pte. Ltd..
  8. Robert Jarrow, 2017. "Primary Assets," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 2, pages 9-17, World Scientific Publishing Co. Pte. Ltd..
  9. Robert Jarrow, 2017. "Trading Constraints," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 9, pages 71-76, World Scientific Publishing Co. Pte. Ltd..
  10. Robert Jarrow, 2017. "Static Hedging," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 14, pages 107-113, World Scientific Publishing Co. Pte. Ltd..
  11. Robert Jarrow, 2017. "Credit Risk," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 6, pages 53-58, World Scientific Publishing Co. Pte. Ltd..
  12. Robert Jarrow, 2017. "Derivatives," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 3, pages 19-28, World Scientific Publishing Co. Pte. Ltd..
  13. Robert Jarrow, 2017. "Washington Mutual (2008)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 22, pages 173-177, World Scientific Publishing Co. Pte. Ltd..
  14. Robert Jarrow, 2017. "Diversification," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 13, pages 103-105, World Scientific Publishing Co. Pte. Ltd..
  15. Robert Jarrow, 2017. "Orange County (1994)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 18, pages 147-153, World Scientific Publishing Co. Pte. Ltd..
  16. Robert Jarrow, 2017. "Penn Square Bank (1982)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 16, pages 133-139, World Scientific Publishing Co. Pte. Ltd..
  17. Robert Jarrow, 2017. "Liquidity Risk," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 7, pages 59-68, World Scientific Publishing Co. Pte. Ltd..
  18. Robert Jarrow, 2017. "Market Risk (Equities, FX, Commodities)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 4, pages 35-45, World Scientific Publishing Co. Pte. Ltd..
  19. Robert Jarrow, 2017. "Introduction," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 1, pages 3-4, World Scientific Publishing Co. Pte. Ltd..
  20. Robert Jarrow, 2017. "Banks," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 12, pages 93-97, World Scientific Publishing Co. Pte. Ltd..
  21. Robert Jarrow, 2017. "Metallgesellschaft (1993)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 17, pages 141-145, World Scientific Publishing Co. Pte. Ltd..
  22. Robert Jarrow, 2017. "Long Term Capital Management (1998)," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 20, pages 161-166, World Scientific Publishing Co. Pte. Ltd..
  23. Robert Jarrow, 2017. "Operational Risk," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 8, pages 69-70, World Scientific Publishing Co. Pte. Ltd..
  24. Robert A. JARROW & George S. OLDFIELD, 2008. "Forward Contracts And Futures Contracts," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 11, pages 237-246, World Scientific Publishing Co. Pte. Ltd..
  25. Robert A. Jarrow, 2008. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151, World Scientific Publishing Co. Pte. Ltd..
  26. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577, World Scientific Publishing Co. Pte. Ltd..
  27. Robert A. Jarrow, 2008. "Market Manipulation, Bubbles, Corners, and Short Squeezes," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 6, pages 105-130, World Scientific Publishing Co. Pte. Ltd..
  28. Robert A. Jarrow & David Lando & Fan Yu, 2008. "Default Risk And Diversification: Theory And Empirical Implications," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480, World Scientific Publishing Co. Pte. Ltd..
  29. Peter Carr & Robert Jarrow & Ravi Myneni, 2008. "Alternative Characterizations Of American Put Options," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages 85-103, World Scientific Publishing Co. Pte. Ltd..
  30. Robert A. Jarrow, 2008. "The Pricing Of Commodity Options With Stochastic Interest Rates," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 12, pages 247-275, World Scientific Publishing Co. Pte. Ltd..
  31. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 15, pages 327-347, World Scientific Publishing Co. Pte. Ltd..
  32. Peter P. Carr & Robert A. Jarrow, 2008. "The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 4, pages 61-84, World Scientific Publishing Co. Pte. Ltd..
  33. Robert JARROW & Andrew RUDD, 2008. "Approximate Option Valuation For Arbitrary Stochastic Processes," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31, World Scientific Publishing Co. Pte. Ltd..
  34. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453, World Scientific Publishing Co. Pte. Ltd..
  35. Sudheer Chava & Robert A. Jarrow, 2008. "Bankruptcy Prediction with Industry Effects," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 21, pages 517-549, World Scientific Publishing Co. Pte. Ltd..
  36. U. Çetin & R. Jarrow & P. Protter & M. Warachka, 2008. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 9, pages 185-221, World Scientific Publishing Co. Pte. Ltd..
  37. Robert Jarrow & Yildiray Yildirim, 2008. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 16, pages 349-370, World Scientific Publishing Co. Pte. Ltd..
  38. David C. Heath & Robert A. Jarrow, 2008. "Ex-Dividend Stock Price Behavior and Arbitrage Opportunities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 3, pages 47-60, World Scientific Publishing Co. Pte. Ltd..
  39. Umut Çetin & Robert A. Jarrow & Philip Protter, 2008. "Liquidity risk and arbitrage pricing theory," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 8, pages 153-183, World Scientific Publishing Co. Pte. Ltd..
  40. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
  41. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing foreign currency options under stochastic interest rates," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 14, pages 307-326, World Scientific Publishing Co. Pte. Ltd..
  42. Robert A. JARROW, 2008. "Liquidity Premiums And The Expectations Hypothesis," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 10, pages 229-236, World Scientific Publishing Co. Pte. Ltd..
  43. Robert A. Jarrow & Fan Yu, 2008. "Counterparty Risk and the Pricing of Defaultable Securities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515, World Scientific Publishing Co. Pte. Ltd..
  44. David C. Heath & Robert A. Jarrow, 2008. "Arbitrage, Continuous Trading, and Margin Requirements," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 2, pages 33-46, World Scientific Publishing Co. Pte. Ltd..
  45. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
  46. Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008. "Modeling Credit Risk With Partial Information," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Robert A Jarrow & Dilip B Madan (ed.), 2023. "Peter Carr Gedenkschrift:Research Advances in Mathematical Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13491, Juni.
  2. Robert Jarrow, 2017. "The Economic Foundations of Risk Management:Theory, Practice, and Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10221, Juni.
  3. Robert A Jarrow, 2008. "Financial Derivatives Pricing:Selected Works of Robert Jarrow," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6911, Juni.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2010-12-11 2020-05-11 2021-10-25
  2. NEP-FMK: Financial Markets (2) 2020-04-06 2020-11-23
  3. NEP-BAN: Banking (1) 2021-10-25
  4. NEP-ECM: Econometrics (1) 2013-07-15
  5. NEP-GEN: Gender (1) 2020-05-11

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