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    
   Missing citations? Add them    Incorrect content? Let us know

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
article2
2009Credit Risk Models In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article29
2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article75
2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article14
2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article3
2015Asset Price Bubbles In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article21
2009Housing Market Microstructure In: Papers.
[Full Text][Citation analysis]
paper0
2011The economic default time and the Arcsine law In: Papers.
[Full Text][Citation analysis]
paper0
2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2011Is there a bubble in LinkedIns stock price? In: Papers.
[Full Text][Citation analysis]
paper9
2014Informational Efficiency under Short Sale Constraints In: Papers.
[Full Text][Citation analysis]
paper0
2020High Dimensional Estimation, Basis Assets, and Adaptive Multi-Factor Models In: Papers.
[Full Text][Citation analysis]
paper0
2020Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]
paper0
2004Modeling Credit Risk with Partial Information In: Papers.
[Full Text][Citation analysis]
paper30
2004Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
chapter
2004Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article17
2010On Model Testing in Financial Economics In: The Financial Review.
[Full Text][Citation analysis]
article0
2011A Reduced‐Form Model for Warrant Valuation In: The Financial Review.
[Citation analysis]
article3
2019Fair Microfinance Loan Rates In: International Review of Finance.
[Full Text][Citation analysis]
article0
1989 Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys.
[Citation analysis]
article4
1978The Relationship between Yield, Risk and Return of Corporate Bonds. In: Journal of Finance.
[Full Text][Citation analysis]
article8
1980 Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance.
[Full Text][Citation analysis]
article79
1983 Consensus Beliefs Equilibrium and Market Efficiency. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1986 The Relationship between Arbitrage and First Order Stochastic Dominance. In: Journal of Finance.
[Full Text][Citation analysis]
article48
1987 Arbitrage, Continuous Trading, and Margin Requirements. In: Journal of Finance.
[Full Text][Citation analysis]
article7
2008Arbitrage, Continuous Trading, and Margin Requirements.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
chapter
1995 Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance.
[Full Text][Citation analysis]
article498
2008Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 498
chapter
2001Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance.
[Full Text][Citation analysis]
article195
2008Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 195
chapter
2007Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance.
[Full Text][Citation analysis]
article16
2005ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research.
[Full Text][Citation analysis]
article3
2001The Liquidity Discount In: Mathematical Finance.
[Full Text][Citation analysis]
article39
2002Put Option Premiums and Coherent Risk Measures In: Mathematical Finance.
[Full Text][Citation analysis]
article12
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
[Full Text][Citation analysis]
article77
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 77
chapter
2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance.
[Full Text][Citation analysis]
article9
1991A Characterization of Complete Security Markets On A Brownian Filtration1 In: Mathematical Finance.
[Full Text][Citation analysis]
article11
2015THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS In: Mathematical Finance.
[Full Text][Citation analysis]
article2
2015The effect of trading futures on short sale constraints.(2015) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2018Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance.
[Full Text][Citation analysis]
article0
2019A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory In: Mathematical Finance.
[Full Text][Citation analysis]
article0
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance.
[Full Text][Citation analysis]
article119
2008ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 119
chapter
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance.
[Full Text][Citation analysis]
article59
1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 In: Mathematical Finance.
[Full Text][Citation analysis]
article26
1999The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance.
[Full Text][Citation analysis]
article15
2008Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
[Full Text][Citation analysis]
article8
2014Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics.
[Full Text][Citation analysis]
article0
1996Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper1
1996Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1996Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
[Full Text][Citation analysis]
paper6
2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article69
1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article7
1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article104
2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104
chapter
1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article47
2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
chapter
1998Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article24
2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article41
2008Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
chapter
1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
[Full Text][Citation analysis]
article803
2008BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 803
chapter
2004Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article0
2015Specification tests of calibrated option pricing models In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2014Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2000Bayesian analysis of contingent claim model error In: Journal of Econometrics.
[Full Text][Citation analysis]
article25
2013The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters.
[Full Text][Citation analysis]
article2
2014Computing present values: Capital budgeting done correctly In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2004Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters.
[Full Text][Citation analysis]
article5
2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
[Full Text][Citation analysis]
article2
2008Modeling loan commitments In: Finance Research Letters.
[Full Text][Citation analysis]
article6
2010Hedging in a HJM model In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2010A simple robust model for Cat bond valuation In: Finance Research Letters.
[Full Text][Citation analysis]
article11
2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
[Full Text][Citation analysis]
article11
2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
[Full Text][Citation analysis]
article5
2011Housing prices and the optimal time-on-the-market decision In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2012Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters.
[Full Text][Citation analysis]
article3
2012An improved test for statistical arbitrage In: Journal of Financial Markets.
[Full Text][Citation analysis]
article4
2018CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability.
[Full Text][Citation analysis]
article1
1998The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article33
2000The intersection of market and credit risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article103
2005Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article5
2008Operational risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article15
2013A leverage ratio rule for capital adequacy In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article18
1983A comparison of the APT and CAPM a note In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article3
1984The error learning hypothesis: The evidence reexamined In: Journal of Economics and Business.
[Full Text][Citation analysis]
article0
1987Spanning and completeness in markets with contingent claims In: Journal of Economic Theory.
[Full Text][Citation analysis]
article38
1982Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics.
[Full Text][Citation analysis]
article193
2008APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 193
chapter
1977An autoregressive jump process for common stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article7
2004Testing market efficiency using statistical arbitrage with applications to momentum and value strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article32
2010Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article10
1981Forward contracts and futures contracts In: Journal of Financial Economics.
[Full Text][Citation analysis]
article32
2008FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
chapter
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
chapter
2018On aggregation and representative agent equilibria In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article0
2014Financial crises and economic growth In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article3
2015Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article0
2015Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya In: Agricultural Finance Review.
[Full Text][Citation analysis]
article0
1991Option pricing with random volatilities in complete markets In: FRB Atlanta Working Paper.
[Citation analysis]
paper5
1993Market Manipulation and Corporate Finance: A New Perspective In: Financial Management.
[Citation analysis]
article2
1997Review of John E. Gilster, Jr. Option Pricing Theory: Is Risk Free Hedging Feasible? In: Financial Management.
[Citation analysis]
article0
2006Downside Loss Aversion and Portfolio Management In: Management Science.
[Full Text][Citation analysis]
article30
2009Credit Risk Models with Incomplete Information In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article6
2016Relative asset price bubbles In: Annals of Finance.
[Full Text][Citation analysis]
article0
2018Asset market equilibrium with liquidity risk In: Annals of Finance.
[Full Text][Citation analysis]
article0
2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
[Full Text][Citation analysis]
article23
2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
chapter
2007A Critique of Revised Basel II In: Journal of Financial Services Research.
[Full Text][Citation analysis]
article7
2007The valuation of a firm’s investment opportunities: a reduced form credit risk perspective In: Review of Derivatives Research.
[Full Text][Citation analysis]
article4
2007Tax liens: a novel application of asset pricing theory In: Review of Derivatives Research.
[Full Text][Citation analysis]
article0
2008Distressed debt prices and recovery rate estimation In: Review of Derivatives Research.
[Full Text][Citation analysis]
article5
2010Convenience yields In: Review of Derivatives Research.
[Full Text][Citation analysis]
article3
2010The cost of operational risk loss insurance In: Review of Derivatives Research.
[Full Text][Citation analysis]
article4
2011Foreign currency bubbles In: Review of Derivatives Research.
[Full Text][Citation analysis]
article7
2013Capital adequacy rules, catastrophic firm failure, and systemic risk In: Review of Derivatives Research.
[Full Text][Citation analysis]
article3
2014The impact of quantitative easing on the US term structure of interest rates In: Review of Derivatives Research.
[Full Text][Citation analysis]
article7
2018An empirical investigation of large trader market manipulation in derivatives markets In: Review of Derivatives Research.
[Full Text][Citation analysis]
article0
2004A Model of the Convenience Yields in On-the-Run Treasuries In: Review of Derivatives Research.
[Full Text][Citation analysis]
article7
1998A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article1
1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance.
[Full Text][Citation analysis]
article9
2019Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance.
[Full Text][Citation analysis]
article0
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 142
chapter
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 386
chapter
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.
[Full Text][Citation analysis]
article47
2008Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
chapter
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.
[Full Text][Citation analysis]
article18
2008The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
chapter
2007Information reduction via level crossings in a credit risk model In: Finance and Stochastics.
[Full Text][Citation analysis]
article5
2013Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics.
[Full Text][Citation analysis]
article13
1998Hedging contingent claims on semimartingales In: Finance and Stochastics.
[Full Text][Citation analysis]
article4
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123
chapter
1994Delta, gamma and bucket hedging of interest rate derivatives In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article21
2012Hedging derivatives with model error In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2012A liquidity-based model for asset price bubbles In: Quantitative Finance.
[Full Text][Citation analysis]
article5
1984Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business.
[Full Text][Citation analysis]
article80
1988Ex-dividend Stock Price Behavior and Arbitrage Opportunities. In: The Journal of Business.
[Full Text][Citation analysis]
article26
2008Ex-Dividend Stock Price Behavior and Arbitrage Opportunities.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
chapter
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).
[Full Text][Citation analysis]
article2
2009FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article2
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).
[Full Text][Citation analysis]
article0
2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article13
2016BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article1
2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2013Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article0
2015The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article0
2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article1
2020The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article0
2017The Economic Foundations of Risk Management:Theory, Practice, and Applications In: World Scientific Books.
[Full Text][Citation analysis]
book1
2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
[Full Text][Citation analysis]
book0
2019An Introduction to Derivative Securities, Financial Markets, and Risk Management In: World Scientific Books.
[Full Text][Citation analysis]
book0
2019Derivatives and Risk Management In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Interest Rates In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Stocks In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Forwards and Futures In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Options In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Arbitrage and Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Financial Engineering and Swaps In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Forwards and Futures Markets In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Futures Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Futures Regulations In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019The Cost-of-Carry Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019The Extended Cost-of-Carry Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Futures Hedging In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Options Markets and Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Option Trading Strategies In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Option Relations In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Single-Period Binomial Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Multiperiod Binomial Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019The Black–Scholes–Merton Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Using the Black–Scholes–Merton Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Yields and Forward Rates In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Interest Rate Swaps In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Single-Period Binomial Heath–Jarrow–Morton Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Multiperiod Binomial HJM Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019The Heath–Jarrow–Morton Libor Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Risk Management Models In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
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.
[Full Text][Citation analysis]
chapter0
2008PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team