Robert Jarrow : Citation Profile


Are you Robert Jarrow?

Cornell University (95% share)
Cornell University (5% share)

28

H index

50

i10 index

3999

Citations

RESEARCH PRODUCTION:

121

Articles

15

Papers

2

Books

23

Chapters

RESEARCH ACTIVITY:

   42 years (1977 - 2019). See details.
   Cites by year: 95
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 222.    Total self citations: 47 (1.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja39
   Updated: 2019-06-22    RAS profile: 2019-06-04    
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Relations with other researchers


Works with:

Kwok, Simon Sai Man (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Jarrow.

Is cited by:

Chiarella, Carl (59)

Wong, Wing-Keung (41)

McAleer, Michael (26)

Schlogl, Erik (25)

gourieroux, christian (22)

Nikitopoulos-Sklibosios, Christina (21)

Das, Sanjiv (21)

Monfort, Alain (19)

Platen, Eckhard (17)

Schuermann, Til (17)

Lean, Hooi Hooi (17)

Cites to:

merton, robert (35)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (17)

Scholes, Myron (12)

Fama, Eugene (11)

pan, jun (9)

Basak, Suleyman (8)

Leland, Hayne (8)

Chen, Zhiwu (8)

Bernanke, Ben (8)

Main data


Where Robert Jarrow has published?


Journals with more than one article published# docs
Mathematical Finance11
Finance Research Letters11
Review of Derivatives Research10
Journal of Finance8
Journal of Banking & Finance6
Journal of Financial and Quantitative Analysis6
Annual Review of Financial Economics5
Journal of Financial Economics5
International Journal of Theoretical and Applied Finance (IJTAF)5
Review of Financial Studies5
Finance and Stochastics4
Review of Finance3
Quarterly Journal of Finance (QJF)3
Quantitative Finance2
Economics Letters2
The Quarterly Review of Economics and Finance2
The Journal of Business2
Journal of Financial Services Research2
The Financial Review2
Real Estate Economics2
Journal of Econometrics2
Financial Management2
Annals of Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6

Recent works citing Robert Jarrow (2019 and 2018)


YearTitle of citing document
2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018Matching distributions: Asset pricing with density shape correction. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1312.4227.

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2018Symmetry reduction and exact solutions of the non-linear Black--Scholes equation. (2018). Kovalenko, Sergii ; Patsiuk, Oleksii . In: Papers. RePEc:arx:papers:1512.06151.

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2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07099.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2018Estimation and prediction of credit risk based on rating transition systems. (2018). Shao, Jinghai ; Li, Yong. In: Papers. RePEc:arx:papers:1607.00448.

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2018A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2018Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2018Stability for gains from large investors strategies in M1/J1 topologies. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1701.02167.

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2019Optimal Trading with a Trailing Stop. (2017). Leung, Tim ; Zhang, Hongzhong. In: Papers. RePEc:arx:papers:1701.03960.

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2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Altay, Suhan ; Eksi, Zehra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1704.06697.

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2018Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Christodoulou, Panagiotis ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:1705.06918.

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2018An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing. (2018). Chen, Dianfa ; Feng, Jianfen ; Deng, Jun. In: Papers. RePEc:arx:papers:1706.06285.

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2018On the existence of sure profits via flash strategies. (2018). Platen, Eckhard ; Pelger, Markus ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1708.03099.

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2018Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2018). , Hyong-Chol ; Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517.

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2018Arbitrage-Free Regularization. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114.

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2018Dynamic Portfolio Optimization with Looping Contagion Risk. (2018). Jia, Longjie ; Zheng, Harry ; Pistorius, Martijn. In: Papers. RePEc:arx:papers:1710.05168.

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2018Non-Euclidean Conditional Expectation and Filtering. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05829.

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2018Valuation of Currency Options in Markets with a Crunch. (2018). Hatemi-J, Abdulnasser ; El-Khatib, Youssef. In: Papers. RePEc:arx:papers:1801.08346.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804.

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2018Asian Option Pricing with Orthogonal Polynomials. (2018). Willems, Sander. In: Papers. RePEc:arx:papers:1802.01307.

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2019A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843.

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2018Optimal investment with transient price impact. (2018). Bank, Peter ; Voss, Moritz . In: Papers. RePEc:arx:papers:1804.07392.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151.

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2018Asset Price Bubbles: An Option-based Indicator. (2018). Piiroinen, Petteri ; Simon, Martin ; Schoden, Tobias ; Roininen, Lassi. In: Papers. RePEc:arx:papers:1805.07403.

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2018Optimal portfolio selection in an It\^o-Markov additive market. (2018). Palmowski, Zbigniew ; Sulima, Anna ; Stettner, Lukasz. In: Papers. RePEc:arx:papers:1806.03496.

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2018The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards. (2018). Fujimoto, Masahiro. In: Papers. RePEc:arx:papers:1806.05401.

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2018Portfolio Choice with Market-Credit Risk Dependencies. (2018). Bo, Lijun ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1806.07175.

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2018Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107.

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2018Explicit Asymptotics on First Passage Times of Diffusion Processes. (2018). Dassios, Angelos ; Li, Luting. In: Papers. RePEc:arx:papers:1806.08161.

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2018European Option Pricing with Stochastic Volatility models under Parameter Uncertainty. (2018). Cohen, Samuel N ; Tegn, Martin. In: Papers. RePEc:arx:papers:1807.03882.

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2018Hedging with transient price impact for non-covered and covered options. (2018). Becherer, Dirk ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1807.05917.

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2018Liquidity in Competitive Dealer Markets. (2018). Bank, Peter ; Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1807.08278.

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2019A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap. (2018). Jiang, Liyuan ; Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang. In: Papers. RePEc:arx:papers:1808.05289.

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2018Fast calibration of two-factor models for energy option pricing. (2018). Fabbiani, Emanuele ; de Nicolao, Giuseppe ; Marziali, Andrea. In: Papers. RePEc:arx:papers:1809.03941.

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2018On the sensitivity analysis of energy quanto options. (2018). Kufakunesu, Rodwell ; Mhlanga, Farai. In: Papers. RePEc:arx:papers:1810.06335.

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2018Scaling Limits for Super--replication with Transient Price Impact. (2018). Bank, Peter ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1810.07832.

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2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

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2018Predicting Distresses using Deep Learning of Text Segments in Annual Reports. (2018). Matin, Rastin ; Molgaard, Pia ; Hansen, Christian. In: Papers. RePEc:arx:papers:1811.05270.

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2018CVA and vulnerable options pricing by correlation expansions. (2018). Antonelli, Fabio ; Scarlatti, Sergio ; Ramponi, Alessandro. In: Papers. RePEc:arx:papers:1811.07294.

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2018Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859.

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2018Predicting the Stock Price of Frontier Markets Using Modified Black-Scholes Option Pricing Model and Machine Learning. (2018). Chowdhury, Reaz ; al Quaderi, Golam Dastegir ; Alam, Tanisha Nourin ; M. R. C. Mahdy, . In: Papers. RePEc:arx:papers:1812.10619.

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2019Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion. (2019). Lin, Qian ; Holzermann, Julian. In: Papers. RePEc:arx:papers:1904.02930.

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2019Penneys Game Odds From No-Arbitrage. (2019). Miller, Joshua B. In: Papers. RePEc:arx:papers:1904.09888.

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2018Significance of Controllable and Uncontrollable Drivers in Credit Defaults. (2018). Shi, Lei ; Yun, Yin ; Evans, John ; Allan, Neil. In: Economic Papers. RePEc:bla:econpa:v:37:y:2018:i:1:p:30-41.

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2018Are the Fama French factors treated as risk? Evidence from CEO compensation. (2018). Bertomeu, Jeremy ; Liuwatts, Michelle ; Cheynel, Edwige. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:728-774.

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2017NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK. (2017). Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:2:p:568-603.

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2018Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets. (2018). Korus, Arthur ; Kadiric, Samir. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei251.

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2019Designing a Multinational Deposit Insurance System: Implications for the European Deposit Insurance Scheme. (2019). Pennacchi, George ; Jokivuolle, Esa. In: ifo DICE Report. RePEc:ces:ifodic:v:17:y:2019:i:1:p:50000000005874.

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2019Bank Risk Dynamics and Distance to Default. (2019). Nagel, Stefan ; Purnanandam, Amiyatosh. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13715.

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2019Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84.

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2018Predicting unlisted SMEs default: Incorporating market information on accounting-based models for improved accuracy. (2018). Andrikopoulos, Panagiotis ; Khorasgani, Amir. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:5:p:559-573.

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2018Initial compensation contracts for new executives and financial distress risk: An empirical investigation of UK firms. (2018). Chen, Jie ; Ozkan, Neslihan ; Hill, Paula ; de Cesari, Amedeo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:292-313.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2018A hybrid spline-based parametric model for the yield curve. (2018). Almeida, Caio ; Faria, Adriano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:72-94.

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2018Portfolio selection with consumption ratcheting. (2018). Jeon, Junkee ; Shin, Yong Hyun ; Koo, Hyeng Keun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:153-182.

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2018A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150.

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2018Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157.

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2018Predicting failure risk using financial ratios: Quantile hazard model approach. (2018). Chen, Cathy W. S. ; Tian, Shaonan ; Dong, Manh Cuong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:204-220.

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2018European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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2019Pricing of vulnerable options with early counterparty credit risk. (2019). Kim, Geonwoo ; Jeon, Junkee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:645-656.

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2019Pricing of Islamic deposit insurance. (2019). Hassan, Kabir M ; Sabah, Nasim. In: Economics Letters. RePEc:eee:ecolet:v:178:y:2019:i:c:p:91-94.

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2018Estimating Chinese Treasury yield curves with Bayesian smoothing splines. (2018). Tong, Xiaojun ; Sun, Dongchu ; He, Zhuoqiong Chong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:94-124.

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2018Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam. (2018). Vo, Binh Pham ; Do, Trung. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:616-624.

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2017Measurement of interest rates using a convex optimization model. (2017). Blomvall, Jorgen . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:308-316.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2018Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171.

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2018Managing risks from climate impacted hazards – The value of investment flexibility under uncertainty. (2018). Trueck, Stefan ; Mathew, Supriya ; Truck, Stefan ; Truong, Chi . In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:132-145.

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2018Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards. (2018). Djeundje, Viani Biatat ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:697-709.

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2019Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach. (2019). Ciommi, Mariateresa ; Recchioni, Maria Cristina ; Mariani, Francesca. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:1178-1189.

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2018Modeling recovery rates of corporate defaulted bonds in developed and developing countries. (2018). Teulon, Frédéric ; Sahut, Jean-Michel ; Mili, Medhi . In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:28-44.

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2019Ex-dividend day price behavior and liquidity in a tax-free emerging market. (2019). Dupuis, Daniel . In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:239-250.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Industry specific defaults. (2018). Kwon, Tae Yeon ; Lee, Yoonjung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:45-58.

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2018Default prediction models: The role of forward-looking measures of returns and volatility. (2018). Miao, Hong ; Wang, Tianyang ; Ryan, Patricia ; Ramchander, Sanjay. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:146-162.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses. (2018). Scheule, Harald ; Rosch, Daniel ; Oehme, Toni ; Kruger, Steffen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:246-262.

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2018Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

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2018Modelling market implied ratings using LASSO variable selection techniques. (2018). Sermpinis, Georgios ; Zhang, Ping ; Tsoukas, Serafeim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:19-35.

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2018The role of regulatory learning in energy transition: The case of solar PV in Brazil. (2018). Vazquez, Miguel ; Hallack, Michelle. In: Energy Policy. RePEc:eee:enepol:v:114:y:2018:i:c:p:465-481.

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2019Financial distress in electricity distributors from the perspective of Brazilian regulation. (2019). Wanke, Peter ; Da, Marcelo Alvaro ; Rodrigues, Adriano ; Scalzer, Rodrigo S. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:250-259.

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2018Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. (2018). Ulyah, Siti Maghfirotul ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:113-128.

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2018The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. (2018). Österholm, Pär ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:186-192.

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2018Portfolio valuation under liquidity constraints with permanent price impact. (2018). Csóka, Péter ; Hever, Judit ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241.

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2018The impact of liquidity risk on the yield spread of green bonds. (2018). Febi, Wulandari ; Sun, Chen ; Stephan, Andreas ; Schafer, Dorothea. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:53-59.

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2019Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?. (2019). Pukthuanthong, Kuntara ; Qiao, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:39-44.

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2018Do leveraged ETFs really amplify late-day returns and volatility?. (2018). Ivanov, Ivan T ; Lenkey, Stephen L. In: Journal of Financial Markets. RePEc:eee:finmar:v:41:y:2018:i:c:p:36-56.

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2018To be bailed out or to be left to fail? A dynamic competing risks hazard analysis. (2018). Papanikolaou, Nikolaos. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:61-85.

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2018Forest-based carbon sequestration, and the role of forward, futures, and carbon-lending markets: A comparative institutions approach. (2018). Coleman, Andrew. In: Journal of Forest Economics. RePEc:eee:foreco:v:33:y:2018:i:c:p:95-104.

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2018Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (2018). Tang, Mei-Ling ; Wu, Ting-Pin ; Lai, Gene C ; Chen, Son-Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:87-104.

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2018Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2019Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity. (2019). Roseman, Brian S ; Griffith, Todd G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:104-121.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2018The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

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More than 100 citations found, this list is not complete...

Works by Robert Jarrow:


YearTitleTypeCited
1999In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World In: Journal of Economic Perspectives.
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article1
2009Credit Risk Models In: Annual Review of Financial Economics.
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article29
2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
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article75
2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
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article14
2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
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article3
2015Asset Price Bubbles In: Annual Review of Financial Economics.
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article20
2009Housing Market Microstructure In: Papers.
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paper0
2011The economic default time and the Arcsine law In: Papers.
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paper0
2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
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article
2011Is there a bubble in LinkedIns stock price? In: Papers.
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paper8
2014Informational Efficiency under Short Sale Constraints In: Papers.
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paper0
2019High Dimensional Estimation and Multi-Factor Models In: Papers.
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paper0
2004Modeling Credit Risk with Partial Information In: Papers.
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paper29
2004Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 29
paper
2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 29
chapter
2004Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model In: Journal of the American Statistical Association.
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article16
2010On Model Testing in Financial Economics In: The Financial Review.
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article0
2011A Reduced‐Form Model for Warrant Valuation In: The Financial Review.
[Citation analysis]
article3
1989 Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys.
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article4
1978The Relationship between Yield, Risk and Return of Corporate Bonds. In: Journal of Finance.
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article8
1980 Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance.
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article77
1983 Consensus Beliefs Equilibrium and Market Efficiency. In: Journal of Finance.
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article0
1986 The Relationship between Arbitrage and First Order Stochastic Dominance. In: Journal of Finance.
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article48
1987 Arbitrage, Continuous Trading, and Margin Requirements. In: Journal of Finance.
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article6
2008Arbitrage, Continuous Trading, and Margin Requirements.(2008) In: World Scientific Book Chapters.
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chapter
1995 Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance.
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article471
2008Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters.
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chapter
2001Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance.
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article177
2008Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters.
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chapter
2007Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance.
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article16
2005ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research.
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article2
2001The Liquidity Discount In: Mathematical Finance.
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article38
2002Put Option Premiums and Coherent Risk Measures In: Mathematical Finance.
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article12
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
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article71
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
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chapter
2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance.
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article9
1991A Characterization of Complete Security Markets On A Brownian Filtration In: Mathematical Finance.
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article10
2015THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS In: Mathematical Finance.
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article2
2018Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance.
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1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance.
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article107
2008ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters.
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chapter
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy In: Mathematical Finance.
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article56
2008PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY.(2008) In: World Scientific Book Chapters.
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chapter
1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS In: Mathematical Finance.
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article24
1999The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance.
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article15
2008Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
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article8
2014Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics.
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article0
1996Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers.
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paper1
1996Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers.
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paper
1996Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
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paper
2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
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paper6
2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
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article
1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis.
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article66
1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
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article7
1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
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article98
2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
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chapter
1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
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article43
2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
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chapter
1998Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market In: Journal of Financial and Quantitative Analysis.
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article23
2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
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article38
2008Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.(2008) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 38
chapter
1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
[Full Text][Citation analysis]
article759
2008BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION.(2008) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 759
chapter
2004Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? In: Econometric Society 2004 North American Winter Meetings.
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paper11
1986A characterization theorem for unique risk neutral probability measures In: Economics Letters.
[Full Text][Citation analysis]
article7
1987Beliefs and arbitrage pricing In: Economics Letters.
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article0
2015Specification tests of calibrated option pricing models In: Journal of Econometrics.
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article7
2014Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
2000Bayesian analysis of contingent claim model error In: Journal of Econometrics.
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article24
2013The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters.
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article2
2014Computing present values: Capital budgeting done correctly In: Finance Research Letters.
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article0
2004Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters.
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article5
2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
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article2
2008Modeling loan commitments In: Finance Research Letters.
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article6
2010Hedging in a HJM model In: Finance Research Letters.
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article0
2010A simple robust model for Cat bond valuation In: Finance Research Letters.
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article9
2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
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article11
2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
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article4
2011Housing prices and the optimal time-on-the-market decision In: Finance Research Letters.
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article0
2012Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters.
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article2
2012An improved test for statistical arbitrage In: Journal of Financial Markets.
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article4
2018CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability.
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article0
1998The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance.
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article31
2000The intersection of market and credit risk In: Journal of Banking & Finance.
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article101
2005Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance.
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article4
2008Operational risk In: Journal of Banking & Finance.
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article15
2013A leverage ratio rule for capital adequacy In: Journal of Banking & Finance.
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article15
1983A comparison of the APT and CAPM a note In: Journal of Banking & Finance.
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article3
1984The error learning hypothesis: The evidence reexamined In: Journal of Economics and Business.
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1987Spanning and completeness in markets with contingent claims In: Journal of Economic Theory.
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article38
1982Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics.
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article185
2008APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 185
chapter
1977An autoregressive jump process for common stock returns In: Journal of Financial Economics.
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article7
2004Testing market efficiency using statistical arbitrage with applications to momentum and value strategies In: Journal of Financial Economics.
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article31
2010Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics.
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article10
1981Forward contracts and futures contracts In: Journal of Financial Economics.
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article32
2008FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters.
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1991Pricing foreign currency options under stochastic interest rates In: Journal of International Money and Finance.
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article71
2008Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters.
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chapter
2018On aggregation and representative agent equilibria In: Journal of Mathematical Economics.
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2014Financial crises and economic growth In: The Quarterly Review of Economics and Finance.
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article3
2015Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance.
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article0
2015Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya In: Agricultural Finance Review.
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article0
1991Option pricing with random volatilities in complete markets In: FRB Atlanta Working Paper.
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paper5
1993Market Manipulation and Corporate Finance: A New Perspective In: Financial Management.
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article2
1997Review of John E. Gilster, Jr. Option Pricing Theory: Is Risk Free Hedging Feasible? In: Financial Management.
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2006Downside Loss Aversion and Portfolio Management In: Management Science.
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article28
2009Credit Risk Models with Incomplete Information In: Mathematics of Operations Research.
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article5
2016Relative asset price bubbles In: Annals of Finance.
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2018Asset market equilibrium with liquidity risk In: Annals of Finance.
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article0
2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
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article21
2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
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2007A Critique of Revised Basel II In: Journal of Financial Services Research.
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article7
2007The valuation of a firm’s investment opportunities: a reduced form credit risk perspective In: Review of Derivatives Research.
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article4
2007Tax liens: a novel application of asset pricing theory In: Review of Derivatives Research.
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2008Distressed debt prices and recovery rate estimation In: Review of Derivatives Research.
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2010Convenience yields In: Review of Derivatives Research.
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2010The cost of operational risk loss insurance In: Review of Derivatives Research.
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2011Foreign currency bubbles In: Review of Derivatives Research.
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2013Capital adequacy rules, catastrophic firm failure, and systemic risk In: Review of Derivatives Research.
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2014The impact of quantitative easing on the US term structure of interest rates In: Review of Derivatives Research.
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2018An empirical investigation of large trader market manipulation in derivatives markets In: Review of Derivatives Research.
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2004A Model of the Convenience Yields in On-the-Run Treasuries In: Review of Derivatives Research.
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article7
1998A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting.
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article1
1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance.
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article8
2019Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance.
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2004Bankruptcy Prediction with Industry Effects In: Review of Finance.
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2008Bankruptcy Prediction with Industry Effects.(2008) In: World Scientific Book Chapters.
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1997A Markov Model for the Term Structure of Credit Risk Spreads. In: Review of Financial Studies.
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2008A Markov Model for the Term Structure of Credit Risk Spreads.(2008) In: World Scientific Book Chapters.
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1999The Second Fundamental Theorem of Asset Pricing: A New Approach. In: Review of Financial Studies.
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article18
2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: Review of Financial Studies.
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article42
2008Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence.(2008) In: World Scientific Book Chapters.
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chapter
1988Preferences, Continuity, and the Arbitrage Pricing Theory In: Review of Financial Studies.
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article4
1990The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value. In: Review of Financial Studies.
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article18
2008The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value.(2008) In: World Scientific Book Chapters.
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2007Information reduction via level crossings in a credit risk model In: Finance and Stochastics.
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article3
2013Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics.
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article11
1998Hedging contingent claims on semimartingales In: Finance and Stochastics.
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article4
2004Liquidity risk and arbitrage pricing theory In: Finance and Stochastics.
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article112
2008Liquidity risk and arbitrage pricing theory.(2008) In: World Scientific Book Chapters.
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1994Delta, gamma and bucket hedging of interest rate derivatives In: Applied Mathematical Finance.
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article21
2012Hedging derivatives with model error In: Quantitative Finance.
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2012A liquidity-based model for asset price bubbles In: Quantitative Finance.
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article4
1984Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business.
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1988Ex-dividend Stock Price Behavior and Arbitrage Opportunities. In: The Journal of Business.
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2008Ex-Dividend Stock Price Behavior and Arbitrage Opportunities.(2008) In: World Scientific Book Chapters.
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1996An Integrated Approach to Hedging and Pricing Eurodollar Derivatives In: Center for Financial Institutions Working Papers.
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paper2
2012THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING In: Annals of Financial Economics (AFE).
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article2
2009FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2012RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0
2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article9
2016BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0
2013Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF).
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article0
2015The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF).
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article0
2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF).
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article0
2017The Economic Foundations of Risk Management:Theory, Practice, and Applications In: World Scientific Books.
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book0
2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
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2008LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter1
2008THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters.
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chapter0

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