Robert Jarrow : Citation Profile


Are you Robert Jarrow?

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

30

H index

59

i10 index

4910

Citations

RESEARCH PRODUCTION:

134

Articles

20

Papers

2

Books

45

Chapters

RESEARCH ACTIVITY:

   44 years (1977 - 2021). See details.
   Cites by year: 111
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 419.    Total self citations: 59 (1.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja39
   Updated: 2022-05-14    RAS profile: 2022-04-06    
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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 (63)

Wong, Wing-Keung (41)

Schlogl, Erik (27)

McAleer, Michael (26)

gourieroux, christian (25)

Nikitopoulos-Sklibosios, Christina (22)

Monfort, Alain (21)

Das, Sanjiv (21)

Schuermann, Til (20)

Lo, Andrew (19)

Platen, Eckhard (18)

Cites to:

merton, robert (39)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (18)

Yildirim, Yildiray (17)

Scholes, Myron (13)

Fama, Eugene (12)

Basak, Suleyman (12)

Chen, Zhiwu (11)

Cao, Charles (10)

Carr, Peter (10)

Main data


Where Robert Jarrow has published?


Journals with more than one article published# docs
Mathematical Finance13
Finance Research Letters11
Review of Derivatives Research10
Journal of Finance8
Journal of Banking & Finance6
Annual Review of Financial Economics6
Quarterly Journal of Finance (QJF)6
Journal of Financial and Quantitative Analysis6
Review of Financial Studies5
International Journal of Theoretical and Applied Finance (IJTAF)5
Journal of Financial Economics5
Finance and Stochastics5
Review of Finance3
The Quarterly Review of Economics and Finance3
The Journal of Business2
Real Estate Economics2
International Review of Finance2
Management Science2
The Financial Review2
Financial Management2
Quantitative Finance2
Journal of Financial Services Research2
Journal of Econometrics2
Annals of Finance2
Economics Letters2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9
Working Papers / University of Sydney, School of Economics2

Recent works citing Robert Jarrow (2021 and 2020)


YearTitle of citing document
2021Review on Behavioral Finance with Empirical Evidence. (2021). Woo, Kai-Yin ; Moslehpour, Massoud ; Hon, Tai-Yuen . In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:15-41.

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2021Lévy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020.

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2022The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao. In: Papers. RePEc:arx:papers:1606.01343.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2021Counterparty 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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2022A default system with overspilling contagion. (2017). Coculescu, Delia. In: Papers. RePEc:arx:papers:1709.09255.

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2020Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2021Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278.

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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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2022Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859.

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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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2021Term 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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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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2020The 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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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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2021Closed 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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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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2021Pricing 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). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12392.

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

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Recipes for hedging exotics with illiquid vanillas. (2020). Gu, Olivier ; Fernandez-Tapia, Joaquin . In: Papers. RePEc:arx:papers:2005.10064.

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2020A moment matching method for option pricing under stochastic interest rates. (2020). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:2005.14063.

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2021Accuracy of Deep Learning in Calibrating HJM Forward Curves. (2020). Lavagnini, Silvia ; Detering, Nils ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2006.01911.

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2020Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632.

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2020Optimal Group Size in Microlending. (2020). Quintos, Alejandra ; Protter, Philip. In: Papers. RePEc:arx:papers:2006.06035.

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2020The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004.

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2021Consistent Recalibration Models and Deep Calibration. (2020). Teichmann, Josef ; Gambara, Matteo. In: Papers. RePEc:arx:papers:2006.09455.

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2021Credit migration: Generating generators. (2020). Martin, Richard J. In: Papers. RePEc:arx:papers:2006.11146.

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2020Valuing the quality option in agricultural commodity futures: a Monte Carlo simulation based approach. (2020). Yaganti, Hussain C ; Mansabdar, Sanjay. In: Papers. RePEc:arx:papers:2006.11222.

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2020A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814.

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2021A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Evidence of Predicting Early Signs of Corporate Bankruptcy Using Financial Ratios in the Indian Landscape. (2020). Wadhwa, Aryaman ; Bansal, Abhi ; Chopra, Adit. In: Papers. RePEc:arx:papers:2008.04782.

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2021Pseudo-Hermiticity, and Removing the Brownian Motion from Finance. (2020). Hicks, Will. In: Papers. RePEc:arx:papers:2009.00360.

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2020Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092.

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2020On Detecting Spoofing Strategies in High Frequency Trading. (2020). Drapeau, Samuel ; Ling, Lan ; Day, Andrew ; Tao, Xuan. In: Papers. RePEc:arx:papers:2009.14818.

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2020Inflation, ECB and short-term interest rates: A new model, with calibration to market data. (2020). Papi, M ; D'Ippoliti, F ; Costantini, C ; Antonacci, F. In: Papers. RePEc:arx:papers:2010.05462.

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2020The loss optimisation of loan recovery decision times using forecast cash flows. (2020). de Villiers, Pieter ; Beyers, Conrad ; Botha, Arno. In: Papers. RePEc:arx:papers:2010.05601.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2021A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2010.09186.

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2021The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915.

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2021Dynamic Default Contagion in Interbank Systems. (2020). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2010.15254.

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2020Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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2020Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price. (2020). Korn, Ralf ; Hinderks, Wieger ; Wagner, Andreas. In: Papers. RePEc:arx:papers:2011.03987.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2020Affine Pricing and Hedging of Collateralized Debt Obligations. (2020). Filipovi, Damir ; Eksi, Zehra. In: Papers. RePEc:arx:papers:2011.10101.

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2021Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113.

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2021Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308.

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2021Group Quantization of Quadratic Hamiltonians in Finance. (2021). Garcia, Santiago . In: Papers. RePEc:arx:papers:2102.05338.

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2021The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693.

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2021Climate Change Valuation Adjustment (CCVA) using parameterized climate change impacts. (2021). Berrahoui, Mourad ; Kenyon, Chris. In: Papers. RePEc:arx:papers:2102.10691.

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2022Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2102.10756.

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2021Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302.

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2021Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan. In: Papers. RePEc:arx:papers:2103.15400.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2021The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2021A note on a PDE approach to option pricing under xVA. (2021). Baustian, Falko ; Vsv, Vladim'Ir ; Posp, Jan ; Fencl, Martin. In: Papers. RePEc:arx:papers:2105.00051.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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2021A News-based Machine Learning Model for Adaptive Asset Pricing. (2021). Wells, Martin T ; Wu, Haoxuan ; Zhu, Liao. In: Papers. RePEc:arx:papers:2106.07103.

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2021CeFi vs. DeFi -- Comparing Centralized to Decentralized Finance. (2021). Gervais, Arthur ; Lazzaretti, Ludovico ; Afonin, Yaroslav ; Zhou, Liyi ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2106.08157.

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2021The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452.

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2021Clustering Structure of Microstructure Measures. (2021). Wells, Martin T ; Sun, Ningning ; Zhu, Liao. In: Papers. RePEc:arx:papers:2107.02283.

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2021A new class of conditional Markov jump processes with regime switching and path dependence: properties and maximum likelihood estimation. (2021). Surya, Budhi. In: Papers. RePEc:arx:papers:2107.07026.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2021From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. (2021). Spreij, Peter ; Khedher, Asma ; Michielon, Matteo. In: Papers. RePEc:arx:papers:2108.06578.

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2021Crypto Wash Trading. (2021). Yang, Yang ; Tang, KE ; Li, XI ; Cong, Lin William. In: Papers. RePEc:arx:papers:2108.10984.

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2021Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872.

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2021Risk-Adjusted Valuation for Real Option Decisions. (2021). Ward, Charles ; Chen, XI ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.04793.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2022Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198.

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2021Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2021A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902.

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2021A Bayesian take on option pricing with Gaussian processes. (2021). Roberts, Stephen ; Tegner, Martin. In: Papers. RePEc:arx:papers:2112.03718.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2021Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129.

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2022Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105.

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2022Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

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2022Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148.

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2022A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946.

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2020Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540.

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2021Exploring the sources of loan default clustering using survival analysis with frailty. (2021). Sanchez-Cajal, Fatima ; Mohamed, Abdulkadir ; Enrique, Enrique Batiz-Zuk. In: Working Papers. RePEc:bdm:wpaper:2021-14.

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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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2020The seasonality of gold prices in China does the risk‐aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664.

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2020Environmental, social, and governance practices and perceived tail risk. (2020). Szado, Edward ; Shafer, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4195-4224.

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2020Determinants and consequences of financial distress: review of the empirical literature. (2020). Sun, LI ; Uddin, Md Borhan ; Huang, Hedy Jiaying ; D'Costa, Mabel ; Habib, Ahsan. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:1023-1075.

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2021Modelling of Chinese corporate bond default – A machine learning approach. (2021). Zhuo, Zhuyao ; Lu, Zhou. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:5:p:6147-6191.

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2020Portfolio optimization in the catastrophe space. (2020). Yu, Min-Teh ; Zhao, Yang ; Chang, Carolyn W. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:5:p:1414-1448.

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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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article2
2021The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics.
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article0
2009Credit Risk Models In: Annual Review of Financial Economics.
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article30
2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
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article74
2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
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article17
2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
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article3
2015Asset Price Bubbles In: Annual Review of Financial Economics.
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article24
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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2021High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers.
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2020High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.(2020) In: Quarterly Journal of Finance (QJF).
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