Robert Jarrow : Citation Profile

Are you Robert Jarrow?

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

29

H index

52

i10 index

4243

Citations

RESEARCH PRODUCTION:

124

Articles

17

Papers

3

Books

49

Chapters

RESEARCH ACTIVITY:

   43 years (1977 - 2020). See details.
   Cites by year: 98
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 208.    Total self citations: 48 (1.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja39
   Updated: 2020-05-23    RAS profile: 2020-05-05    
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Relations with other researchers

Works with:

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 (27)

Schlogl, Erik (25)

gourieroux, christian (22)

Das, Sanjiv (21)

Nikitopoulos-Sklibosios, Christina (21)

Monfort, Alain (19)

Lo, Andrew (18)

Platen, Eckhard (18)

Schuermann, Til (18)

Cites to:

merton, robert (36)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (17)

Scholes, Myron (12)

Fama, Eugene (11)

Bernanke, Ben (9)

Basak, Suleyman (8)

Chen, Zhiwu (8)

Longstaff, Francis (8)

Shleifer, Andrei (7)

Main data

Where Robert Jarrow has published?

Journals with more than one article published# docs
Mathematical Finance12
Finance Research Letters11
Review of Derivatives Research10
Journal of Finance8
Journal of Financial and Quantitative Analysis6
Journal of Banking & Finance6
International Journal of Theoretical and Applied Finance (IJTAF)5
Journal of Financial Economics5
Annual Review of Financial Economics5
Review of Financial Studies5
Quarterly Journal of Finance (QJF)4
Finance and Stochastics4
Review of Finance3
The Journal of Business2
Economics Letters2
Quantitative Finance2
Journal of Econometrics2
Real Estate Economics2
Journal of Financial Services Research2
Annals of Finance2
The Quarterly Review of Economics and Finance2
Financial Management2
The Financial Review2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7

Recent works citing Robert Jarrow (2020 and 2019)

YearTitle of citing document
2019Sensitivity of bankruptcy prediction models to the change in econometric methods. (2019). Mishra, Alok Kumar ; Singh, Bhanu Pratap. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:71-86.

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

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2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:1612.00828.

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

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2019On the existence of sure profits via flash strategies. (2019). Platen, Eckhard ; Pelger, Markus ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1708.03099.

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2020Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: Papers. RePEc:arx:papers:1709.08238.

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2019Arbitrage-Free Regularization. (2018). Hyndman, Cody B ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1710.05114.

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

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2019A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices. (2019). Korn, Ralf ; Wagner, Andreas ; Hinderks, Wieger. In: Papers. RePEc:arx:papers:1803.08831.

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

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

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2020Fast calibration of two-factor models for energy option pricing. (2018). de Nicolao, Giuseppe ; Marziali, Andrea ; Fabbiani, Emanuele. In: Papers. RePEc:arx:papers:1809.03941.

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2019Scaling Limits for Super--replication with Transient Price Impact. (2019). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:1810.07832.

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2020A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855.

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2020Term 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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2019Existence of affine realizations for stochastic partial differential equations driven by L\evy processes. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.00335.

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2019Affine realizations with affine state processes for stochastic partial differential equations. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.00336.

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2019Existence of affine realizations for L\evy term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.02363.

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2019An alternative approach on the existence of affine realizations for HJM term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.03256.

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2019Existence of L\evy term structure models. (2019). Tappe, Stefan ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1907.03561.

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2019Real-world forward rate dynamics with affine realizations. (2019). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.05072.

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2019Stochastic mortality models: An infinite dimensional approach. (2019). Weber, Stefan ; Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.05157.

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2019Generalized statistical arbitrage concepts and related gain strategies. (2019). Schmidt, Thorsten ; Ruschendorf, Ludger ; Rein, Christian. In: Papers. RePEc:arx:papers:1907.09218.

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2019Bilateral Gamma distributions and processes in financial mathematics. (2019). Tappe, Stefan ; Kuchler, Uwe. In: Papers. RePEc:arx:papers:1907.09857.

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2019Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to Mathematical Finance. (2019). Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1908.03946.

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2019Small-noise limit of the quasi-Gaussian log-normal HJM model. (2019). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1908.07098.

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2019Explosion in the quasi-Gaussian HJM model. (2019). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1908.07102.

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2020No-Arbitrage Commodity Option Pricing with Market Manipulation. (2019). Campi, Luciano ; Callegaro, Giorgia ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1909.07896.

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2020A financial market with delay driven by reflected Brownian motion. (2019). Oksendal, Bernt ; Agram, Nacira. In: Papers. RePEc:arx:papers:1909.12578.

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2019The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods. (2019). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Papers. RePEc:arx:papers:1910.04075.

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2019Nonhedgeable risk and Credit Risk Pricing. (2019). Sezer, Deniz ; Korobenko, Lyudmila ; Dong, Juan. In: Papers. RePEc:arx:papers:1910.08641.

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2019The Value of Insider Information for Super--Replication with Quadratic Transaction Costs. (2019). Zouari, Jonathan ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1910.09855.

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2019A Self-Exciting Modelling Framework for Forward Prices in Power Markets. (2019). Sgarra, Carlo ; Mazzoran, Andrea ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1910.13286.

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2020Quantization-based Bermudan option pricing in the $FX$ world. (2019). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent ; Fayolle, Jean-Michel. In: Papers. RePEc:arx:papers:1911.05462.

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2020Asset Price Bubbles in market models with proportional transaction costs. (2019). Reitsam, Thomas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1911.10149.

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2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

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2020Understanding the dual formulation for the hedging of path-dependent options with price impact. (2019). Tan, Xiaolu ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1912.03946.

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2019Adaptive Financial Fraud Detection in Imbalanced Data with Time-Varying Poisson Processes. (2019). Robert, Stephan ; Bovay, J'Erome ; Houssou, R'Egis. In: Papers. RePEc:arx:papers:1912.04308.

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2019Market Price of Trading Liquidity Risk and Market Depth. (2019). Ting, Christopher ; Kijima, Masaaki. In: Papers. RePEc:arx:papers:1912.04565.

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2019Closed form optimal exercise boundary of the American put option. (2019). Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1912.05438.

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2020Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile. (2019). Simon, Martin ; Roininen, Lassi ; Piiroinen, Petteri. In: Papers. RePEc:arx:papers:1912.05773.

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2019Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery. (2019). Soleymani, Fazlollah ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1912.08713.

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2019Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator. (2019). Juneja, Sandeep ; Deo, Anand. In: Papers. RePEc:arx:papers:1912.12611.

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2019On the positivity of local mild solutions to stochastic evolution equations. (2019). Scarpa, Luca ; Marinelli, Carlo. In: Papers. RePEc:arx:papers:1912.13259.

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2020Trading on the Floor after Sweeping the Book. (2020). POLIMENIS, VASSILIS. In: Papers. RePEc:arx:papers:2001.06445.

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2020On Calibration Neural Networks for extracting implied information from American options. (2020). Oosterlee, Cornelis W ; Borovykh, Anastasia ; 'Alvaro Leitao, ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2001.11786.

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2020Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405.

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2020Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale. (2020). Gaillardetz, Patrice ; Essis-Breton, Nicolas. In: Papers. RePEc:arx:papers:2002.11258.

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2020Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Papers. RePEc:arx:papers:2003.04606.

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2020Optional projection under equivalent local martingale measures. (2020). Perkkio, Ari-Pekka ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2003.09940.

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2020Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier. (2020). Martin, Richard J. In: Papers. RePEc:arx:papers:2004.02312.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Correlating L\evy processes with Self-Decomposability: Applications to Energy Markets. (2020). Sasso, Emanuela ; Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2004.04048.

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2020The Jarrow & Turnbull setting revisited. (2020). Krabichler, Thomas ; Teichmann, Josef. In: Papers. RePEc:arx:papers:2004.12392.

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2020A constraint-based notion of illiquidity. (2020). Krabichler, Thomas ; Teichmann, Josef. In: Papers. RePEc:arx:papers:2004.12394.

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2020Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:633.

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2019The use of big data analytics and artificial intelligence in central banking. (2019). Committee, Irving Fisher. In: IFC Bulletins. RePEc:bis:bisifb:50.

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2019A robust machine learning approach for credit risk analysis of large loan-level datasets using deep learning and extreme gradient boosting. (2019). Klamargias, Aristotelis ; Stavroulakis, Evaggelos ; Siakoulis, Vasilis ; Petropoulos, Anastasios. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-22.

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2019Squeezing the bears: cornering risk and limits on arbitrage during the ‘British bicycle mania’, 1896–8. (2019). Quinn, William. In: Economic History Review. RePEc:bla:ehsrev:v:72:y:2019:i:4:p:1286-1311.

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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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2019Financial models with defaultable numéraires. (2019). Ruf, Johannes ; Pulido, Sergio ; Fisher, Travis . In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:117-136.

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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:01:p:21-25.

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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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2019Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304.

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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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2019Credit risk in commercial real estate bank loans: the role of idiosyncratic versus macro-economic factors. (2019). Nijskens, Rob ; Mokas, Dimitris. In: DNB Working Papers. RePEc:dnb:dnbwpp:653.

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2019Monetary policy, macroprudential policy, and financial stability. (2019). Repullo, Rafael ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192297.

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2019Empirical Analysis on Price-Volume Relation in the Stock Market of China. (2019). Zhu, Lu-Jie ; Yan, Surong ; Lin, Li-Wei ; Wei, Shih-Yung. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-05-14.

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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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2020The differential impact of leverage on the default risk of small and large firms. (2020). Rossi, Ludovico ; Varotto, Simone ; Dufour, Alfonso ; Cathcart, Lara. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918305443.

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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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2019Portfolio selection with inflation-linked bonds and indexation lags. (2019). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:10.

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2019The effect of short selling and borrowing on market prices and traders’ behavior. (2019). Noussair, Charles N ; Hanaki, Nobuyuki ; Guerci, Eric ; Duchene, Sebastien. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:4.

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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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2019An analytical approximation approach for pricing European options in a two-price economy. (2019). Yi, Zhigao ; Zhang, Yue ; Li, Zhe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306065.

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2019Bank risk aggregation with forward-looking textual risk disclosures. (2019). Zhu, Xiaoqian ; Li, Jianping ; Wenli, Guo ; Wei, LU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306168.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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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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2019Does monetary policy influence banks’ risk weights under the internal ratings-based approach?. (2019). Malovana, Simona ; Bro, Vaclav ; Kolcunova, Dominika. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:10.

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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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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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2020American step options. (2020). De Temple, Jerome ; Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:363-385.

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2020Estimating the term structure of commodity market preferences. (2020). Christodoulakis, George . In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1146-1163.

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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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2020Does societal trust make firms more trustworthy?. (2020). Ho, Kung-Cheng ; Shi, Lisi ; Gu, Yan ; Yen, Huang-Ping. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014118302401.

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2019Mean-reverting no-arbitrage additive models for forward curves in energy markets. (2019). Vargiolu, Tiziano ; Piccirilli, Marco ; Latini, Luca. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:157-170.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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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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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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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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2019Credit rating and microfinance lending decisions based on loss given default (LGD). (2019). Wu, BI ; Zhao, Xue ; Shi, Baofeng ; Dong, Yizhe. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:124-129.

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2019Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in australia. (2019). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:378-384.

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2020Can international supply chain induce a return premium? Evidence from U.S. leading high-technology firms and Taiwan stock market. (2020). Tsai, Li-Chuan ; Zhao, Cuifang ; Zhang, Ruhui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306330.

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2020Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position. (2020). lucey, brian ; Corbet, Shaen ; Yarovaya, Larisa ; Meegan, Andrew ; Larkin, Charles. In: Journal of Financial Stability. RePEc:eee:finsta:v:46:y:2020:i:c:s1572308919306576.

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2019Valuation of contingent convertible catastrophe bonds — The case for equity conversion. (2019). Burnecki, Krzysztof ; Giuricich, Mario Nicolo ; Palmowski, Zbigniew. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:238-254.

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2019Pricing industry loss warranties in a Lévy–Frailty framework. (2019). Marugg, Andrin ; Braun, Alexander ; Beer, Simone. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:171-181.

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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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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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2009Credit Risk Models In: Annual Review of Financial Economics.
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2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
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2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
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2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
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2015Asset Price Bubbles In: Annual Review of Financial Economics.
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2009Housing Market Microstructure In: Papers.
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2011The economic default time and the Arcsine law In: Papers.
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2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
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2011Is there a bubble in LinkedIns stock price? In: Papers.
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2014Informational Efficiency under Short Sale Constraints In: Papers.
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2020High Dimensional Estimation, Basis Assets, and Adaptive Multi-Factor Models In: Papers.
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2020Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers.
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2004Modeling Credit Risk with Partial Information In: Papers.
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2004Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics.
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2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters.
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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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2010On Model Testing in Financial Economics In: The Financial Review.
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2011A Reduced‐Form Model for Warrant Valuation In: The Financial Review.
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2019Fair Microfinance Loan Rates In: International Review of Finance.
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1989 Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys.
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1978The Relationship between Yield, Risk and Return of Corporate Bonds. In: Journal of Finance.
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1980 Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance.
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1983 Consensus Beliefs Equilibrium and Market Efficiency. In: Journal of Finance.
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1986 The Relationship between Arbitrage and First Order Stochastic Dominance. In: Journal of Finance.
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1987 Arbitrage, Continuous Trading, and Margin Requirements. In: Journal of Finance.
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2008Arbitrage, Continuous Trading, and Margin Requirements.(2008) In: World Scientific Book Chapters.
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1995 Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance.
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2008Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters.
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2001Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance.
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2008Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters.
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2007Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance.
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2005ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research.
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2001The Liquidity Discount In: Mathematical Finance.
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2002Put Option Premiums and Coherent Risk Measures In: Mathematical Finance.
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2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
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2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
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2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance.
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1991A Characterization of Complete Security Markets On A Brownian Filtration1 In: Mathematical Finance.
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2015THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS In: Mathematical Finance.
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2015The effect of trading futures on short sale constraints.(2015) In: Post-Print.
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2018Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance.
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2019A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory In: Mathematical Finance.
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1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance.
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2008ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters.
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1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance.
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1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 In: Mathematical Finance.
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1999The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance.
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2008Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
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2014Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics.
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1996Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers.
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1996Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1996Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers.
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2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
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2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
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1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis.
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1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
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1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
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2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
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1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
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2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
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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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2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
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2008Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.(2008) In: World Scientific Book Chapters.
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1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
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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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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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1986A characterization theorem for unique risk neutral probability measures In: Economics Letters.
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1987Beliefs and arbitrage pricing In: Economics Letters.
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2015Specification tests of calibrated option pricing models In: Journal of Econometrics.
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2014Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers.
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2000Bayesian analysis of contingent claim model error In: Journal of Econometrics.
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2013The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters.
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2014Computing present values: Capital budgeting done correctly In: Finance Research Letters.
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2004Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters.
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2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
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2008Modeling loan commitments In: Finance Research Letters.
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2010Hedging in a HJM model In: Finance Research Letters.
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2010A simple robust model for Cat bond valuation In: Finance Research Letters.
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2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
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2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
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2011Housing prices and the optimal time-on-the-market decision In: Finance Research Letters.
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2012Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters.
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2012An improved test for statistical arbitrage In: Journal of Financial Markets.
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2018CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability.
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1998The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance.
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2000The intersection of market and credit risk In: Journal of Banking & Finance.
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2005Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance.
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2008Operational risk In: Journal of Banking & Finance.
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2013A leverage ratio rule for capital adequacy In: Journal of Banking & Finance.
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1983A comparison of the APT and CAPM a note In: Journal of Banking & Finance.
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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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1982Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics.
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2008APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters.
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1977An autoregressive jump process for common stock returns In: Journal of Financial Economics.
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2004Testing market efficiency using statistical arbitrage with applications to momentum and value strategies In: Journal of Financial Economics.
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2010Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics.
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1981Forward contracts and futures contracts In: Journal of Financial Economics.
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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.
[Full Text][Citation analysis]		article73
2008Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters.
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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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2015Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance.
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2015Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya In: Agricultural Finance Review.
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1991Option pricing with random volatilities in complete markets In: FRB Atlanta Working Paper.
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1993Market Manipulation and Corporate Finance: A New Perspective In: Financial Management.
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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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2009Credit Risk Models with Incomplete Information In: Mathematics of Operations Research.
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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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2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
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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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2007The valuation of a firm’s investment opportunities: a reduced form credit risk perspective In: Review of Derivatives Research.
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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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1998A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting.
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1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance.
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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.
[Full Text][Citation analysis]		article142
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.
[Citation analysis]		article386
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.
[Citation analysis]		article18
2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: Review of Financial Studies.
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2008Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence.(2008) In: World Scientific Book Chapters.
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1988Preferences, Continuity, and the Arbitrage Pricing Theory In: Review of Financial Studies.
[Full Text][Citation analysis]		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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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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2013Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics.
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1998Hedging contingent claims on semimartingales In: Finance and Stochastics.
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2004Liquidity risk and arbitrage pricing theory In: Finance and Stochastics.
[Full Text][Citation analysis]		article123
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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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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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.
[Citation analysis]		paper2
2012THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING In: Annals of Financial Economics (AFE).
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2009FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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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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2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2016BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF).
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2015The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF).
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2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF).
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2020The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions In: Quarterly Journal of Finance (QJF).
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2017The Economic Foundations of Risk Management:Theory, Practice, and Applications In: World Scientific Books.
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2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
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2019An Introduction to Derivative Securities, Financial Markets, and Risk Management In: World Scientific Books.
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2019Derivatives and Risk Management In: World Scientific Book Chapters.
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2019Interest Rates In: World Scientific Book Chapters.
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2019Stocks In: World Scientific Book Chapters.
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2019Forwards and Futures In: World Scientific Book Chapters.
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2019Options In: World Scientific Book Chapters.
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2019Arbitrage and Trading In: World Scientific Book Chapters.
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2019Financial Engineering and Swaps In: World Scientific Book Chapters.
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2019Forwards and Futures Markets In: World Scientific Book Chapters.
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2019Futures Trading In: World Scientific Book Chapters.
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2019Futures Regulations In: World Scientific Book Chapters.
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2019The Cost-of-Carry Model In: World Scientific Book Chapters.
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2019The Extended Cost-of-Carry Model In: World Scientific Book Chapters.
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2019Futures Hedging In: World Scientific Book Chapters.
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2019Options Markets and Trading In: World Scientific Book Chapters.
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2019Option Trading Strategies In: World Scientific Book Chapters.
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2019Option Relations In: World Scientific Book Chapters.
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2019Single-Period Binomial Model In: World Scientific Book Chapters.
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2019Multiperiod Binomial Model In: World Scientific Book Chapters.
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2019The Black–Scholes–Merton Model In: World Scientific Book Chapters.
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2019Using the Black–Scholes–Merton Model In: World Scientific Book Chapters.
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2019Yields and Forward Rates In: World Scientific Book Chapters.
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2019Interest Rate Swaps In: World Scientific Book Chapters.
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2019Single-Period Binomial Heath–Jarrow–Morton Model In: World Scientific Book Chapters.
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2019Multiperiod Binomial HJM Model In: World Scientific Book Chapters.
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2019The Heath–Jarrow–Morton Libor Model In: World Scientific Book Chapters.
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2019Risk Management Models In: World Scientific Book Chapters.
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2008LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters.
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2008THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters.
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2008PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters.
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