28
H index
50
i10 index
3999
Citations
Robert Jarrow : Citation Profile
Cornell University (95% share) | RESEARCH PRODUCTION: 121 Articles 15 Papers 2 Books 23 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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42 years (1977 - 2019). 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:
| Cites to:
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Main data
Where Robert Jarrow has published?
| Working Papers Series with more than one paper published | # docs |
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| Papers / arXiv.org | 6 |
Recent works citing Robert Jarrow (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08. Full description at Econpapers || Download paper | |
| 2018 | Matching distributions: Asset pricing with density shape correction. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1312.4227. Full description at Econpapers || Download paper | |
| 2018 | Symmetry reduction and exact solutions of the non-linear Black--Scholes equation. (2018). Kovalenko, Sergii ; Patsiuk, Oleksii . In: Papers. RePEc:arx:papers:1512.06151. Full description at Econpapers || Download paper | |
| 2018 | The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07099. Full description at Econpapers || Download paper | |
| 2019 | Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419. Full description at Econpapers || Download paper | |
| 2018 | Estimation and prediction of credit risk based on rating transition systems. (2018). Shao, Jinghai ; Li, Yong. In: Papers. RePEc:arx:papers:1607.00448. Full description at Econpapers || Download paper | |
| 2018 | A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900. Full description at Econpapers || Download paper | |
| 2018 | Securities 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 | |
| 2018 | Stability for gains from large investors strategies in M1/J1 topologies. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1701.02167. Full description at Econpapers || Download paper | |
| 2019 | Optimal Trading with a Trailing Stop. (2017). Leung, Tim ; Zhang, Hongzhong. In: Papers. RePEc:arx:papers:1701.03960. Full description at Econpapers || Download paper | |
| 2018 | Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Altay, Suhan ; Eksi, Zehra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1704.06697. Full description at Econpapers || Download paper | |
| 2018 | Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Christodoulou, Panagiotis ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:1705.06918. Full description at Econpapers || Download paper | |
| 2018 | An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing. (2018). Chen, Dianfa ; Feng, Jianfen ; Deng, Jun. In: Papers. RePEc:arx:papers:1706.06285. Full description at Econpapers || Download paper | |
| 2018 | On the existence of sure profits via flash strategies. (2018). Platen, Eckhard ; Pelger, Markus ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1708.03099. Full description at Econpapers || Download paper | |
| 2018 | Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2018). , Hyong-Chol ; Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517. Full description at Econpapers || Download paper | |
| 2018 | Arbitrage-Free Regularization. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114. Full description at Econpapers || Download paper | |
| 2018 | Dynamic Portfolio Optimization with Looping Contagion Risk. (2018). Jia, Longjie ; Zheng, Harry ; Pistorius, Martijn. In: Papers. RePEc:arx:papers:1710.05168. Full description at Econpapers || Download paper | |
| 2018 | Non-Euclidean Conditional Expectation and Filtering. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05829. Full description at Econpapers || Download paper | |
| 2018 | Valuation of Currency Options in Markets with a Crunch. (2018). Hatemi-J, Abdulnasser ; El-Khatib, Youssef. In: Papers. RePEc:arx:papers:1801.08346. Full description at Econpapers || Download paper | |
| 2018 | Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper | |
| 2018 | Asian Option Pricing with Orthogonal Polynomials. (2018). Willems, Sander. In: Papers. RePEc:arx:papers:1802.01307. Full description at Econpapers || Download paper | |
| 2019 | A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249. Full description at Econpapers || Download paper | |
| 2018 | Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996. Full description at Econpapers || Download paper | |
| 2018 | Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843. Full description at Econpapers || Download paper | |
| 2018 | Optimal investment with transient price impact. (2018). Bank, Peter ; Voss, Moritz . In: Papers. RePEc:arx:papers:1804.07392. Full description at Econpapers || Download paper | |
| 2018 | Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997. Full description at Econpapers || Download paper | |
| 2018 | Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151. Full description at Econpapers || Download paper | |
| 2018 | Asset Price Bubbles: An Option-based Indicator. (2018). Piiroinen, Petteri ; Simon, Martin ; Schoden, Tobias ; Roininen, Lassi. In: Papers. RePEc:arx:papers:1805.07403. Full description at Econpapers || Download paper | |
| 2018 | Optimal portfolio selection in an It\^o-Markov additive market. (2018). Palmowski, Zbigniew ; Sulima, Anna ; Stettner, Lukasz. In: Papers. RePEc:arx:papers:1806.03496. Full description at Econpapers || Download paper | |
| 2018 | The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards. (2018). Fujimoto, Masahiro. In: Papers. RePEc:arx:papers:1806.05401. Full description at Econpapers || Download paper | |
| 2018 | Portfolio Choice with Market-Credit Risk Dependencies. (2018). Bo, Lijun ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1806.07175. Full description at Econpapers || Download paper | |
| 2018 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107. Full description at Econpapers || Download paper | |
| 2018 | Explicit Asymptotics on First Passage Times of Diffusion Processes. (2018). Dassios, Angelos ; Li, Luting. In: Papers. RePEc:arx:papers:1806.08161. Full description at Econpapers || Download paper | |
| 2018 | European Option Pricing with Stochastic Volatility models under Parameter Uncertainty. (2018). Cohen, Samuel N ; Tegn, Martin. In: Papers. RePEc:arx:papers:1807.03882. Full description at Econpapers || Download paper | |
| 2018 | Hedging with transient price impact for non-covered and covered options. (2018). Becherer, Dirk ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper | |
| 2018 | Liquidity in Competitive Dealer Markets. (2018). Bank, Peter ; Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1807.08278. Full description at Econpapers || Download paper | |
| 2019 | A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap. (2018). Jiang, Liyuan ; Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang. In: Papers. RePEc:arx:papers:1808.05289. Full description at Econpapers || Download paper | |
| 2018 | Fast calibration of two-factor models for energy option pricing. (2018). Fabbiani, Emanuele ; de Nicolao, Giuseppe ; Marziali, Andrea. In: Papers. RePEc:arx:papers:1809.03941. Full description at Econpapers || Download paper | |
| 2018 | On the sensitivity analysis of energy quanto options. (2018). Kufakunesu, Rodwell ; Mhlanga, Farai. In: Papers. RePEc:arx:papers:1810.06335. Full description at Econpapers || Download paper | |
| 2018 | Scaling Limits for Super--replication with Transient Price Impact. (2018). Bank, Peter ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1810.07832. Full description at Econpapers || Download paper | |
| 2018 | Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382. Full description at Econpapers || Download paper | |
| 2018 | Predicting Distresses using Deep Learning of Text Segments in Annual Reports. (2018). Matin, Rastin ; Molgaard, Pia ; Hansen, Christian. In: Papers. RePEc:arx:papers:1811.05270. Full description at Econpapers || Download paper | |
| 2018 | CVA and vulnerable options pricing by correlation expansions. (2018). Antonelli, Fabio ; Scarlatti, Sergio ; Ramponi, Alessandro. In: Papers. RePEc:arx:papers:1811.07294. Full description at Econpapers || Download paper | |
| 2018 | Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859. Full description at Econpapers || Download paper | |
| 2018 | Predicting the Stock Price of Frontier Markets Using Modified Black-Scholes Option Pricing Model and Machine Learning. (2018). Chowdhury, Reaz ; al Quaderi, Golam Dastegir ; Alam, Tanisha Nourin ; M. R. C. Mahdy, . In: Papers. RePEc:arx:papers:1812.10619. Full description at Econpapers || Download paper | |
| 2019 | Term 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 | |
| 2019 | Penneys Game Odds From No-Arbitrage. (2019). Miller, Joshua B. In: Papers. RePEc:arx:papers:1904.09888. Full description at Econpapers || Download paper | |
| 2018 | Significance of Controllable and Uncontrollable Drivers in Credit Defaults. (2018). Shi, Lei ; Yun, Yin ; Evans, John ; Allan, Neil. In: Economic Papers. RePEc:bla:econpa:v:37:y:2018:i:1:p:30-41. Full description at Econpapers || Download paper | |
| 2018 | Are the Fama French factors treated as risk? Evidence from CEO compensation. (2018). Bertomeu, Jeremy ; Liuwatts, Michelle ; Cheynel, Edwige. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:728-774. Full description at Econpapers || Download paper | |
| 2017 | NO-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 | |
| 2018 | Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets. (2018). Korus, Arthur ; Kadiric, Samir. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei251. Full description at Econpapers || Download paper | |
| 2019 | Designing 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 | |
| 2019 | Bank 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 | |
| 2019 | Volatility 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 | |
| 2018 | Predicting unlisted SMEs default: Incorporating market information on accounting-based models for improved accuracy. (2018). Andrikopoulos, Panagiotis ; Khorasgani, Amir. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:5:p:559-573. Full description at Econpapers || Download paper | |
| 2018 | Initial compensation contracts for new executives and financial distress risk: An empirical investigation of UK firms. (2018). Chen, Jie ; Ozkan, Neslihan ; Hill, Paula ; de Cesari, Amedeo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:292-313. Full description at Econpapers || Download paper | |
| 2019 | It 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 | |
| 2018 | A hybrid spline-based parametric model for the yield curve. (2018). Almeida, Caio ; Faria, Adriano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:72-94. Full description at Econpapers || Download paper | |
| 2018 | Portfolio selection with consumption ratcheting. (2018). Jeon, Junkee ; Shin, Yong Hyun ; Koo, Hyeng Keun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:153-182. Full description at Econpapers || Download paper | |
| 2018 | A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150. Full description at Econpapers || Download paper | |
| 2018 | Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157. Full description at Econpapers || Download paper | |
| 2018 | Predicting failure risk using financial ratios: Quantile hazard model approach. (2018). Chen, Cathy W. S. ; Tian, Shaonan ; Dong, Manh Cuong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:204-220. Full description at Econpapers || Download paper | |
| 2018 | European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244. Full description at Econpapers || Download paper | |
| 2019 | Pricing 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 | |
| 2019 | Pricing 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 | |
| 2018 | Estimating Chinese Treasury yield curves with Bayesian smoothing splines. (2018). Tong, Xiaojun ; Sun, Dongchu ; He, Zhuoqiong Chong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:94-124. Full description at Econpapers || Download paper | |
| 2018 | Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam. (2018). Vo, Binh Pham ; Do, Trung. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:616-624. Full description at Econpapers || Download paper | |
| 2017 | Measurement 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 | |
| 2017 | Electricity 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 | |
| 2018 | Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171. Full description at Econpapers || Download paper | |
| 2018 | Managing risks from climate impacted hazards – The value of investment flexibility under uncertainty. (2018). Trueck, Stefan ; Mathew, Supriya ; Truck, Stefan ; Truong, Chi . In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:132-145. Full description at Econpapers || Download paper | |
| 2018 | Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards. (2018). Djeundje, Viani Biatat ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:697-709. Full description at Econpapers || Download paper | |
| 2019 | Merton’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 | |
| 2018 | Modeling recovery rates of corporate defaulted bonds in developed and developing countries. (2018). Teulon, Frédéric ; Sahut, Jean-Michel ; Mili, Medhi . In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:28-44. Full description at Econpapers || Download paper | |
| 2019 | Ex-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 | |
| 2018 | A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268. Full description at Econpapers || Download paper | |
| 2018 | Industry specific defaults. (2018). Kwon, Tae Yeon ; Lee, Yoonjung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:45-58. Full description at Econpapers || Download paper | |
| 2018 | Default prediction models: The role of forward-looking measures of returns and volatility. (2018). Miao, Hong ; Wang, Tianyang ; Ryan, Patricia ; Ramchander, Sanjay. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:146-162. Full description at Econpapers || Download paper | |
| 2018 | Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189. Full description at Econpapers || Download paper | |
| 2018 | A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses. (2018). Scheule, Harald ; Rosch, Daniel ; Oehme, Toni ; Kruger, Steffen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:246-262. Full description at Econpapers || Download paper | |
| 2018 | Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161. Full description at Econpapers || Download paper | |
| 2018 | Modelling market implied ratings using LASSO variable selection techniques. (2018). Sermpinis, Georgios ; Zhang, Ping ; Tsoukas, Serafeim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:19-35. Full description at Econpapers || Download paper | |
| 2018 | The role of regulatory learning in energy transition: The case of solar PV in Brazil. (2018). Vazquez, Miguel ; Hallack, Michelle. In: Energy Policy. RePEc:eee:enepol:v:114:y:2018:i:c:p:465-481. Full description at Econpapers || Download paper | |
| 2019 | Financial 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 | |
| 2018 | Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. (2018). Ulyah, Siti Maghfirotul ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:113-128. Full description at Econpapers || Download paper | |
| 2018 | The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. (2018). Ãsterholm, Pär ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:186-192. Full description at Econpapers || Download paper | |
| 2018 | Portfolio valuation under liquidity constraints with permanent price impact. (2018). Csóka, Péter ; Hever, Judit ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241. Full description at Econpapers || Download paper | |
| 2018 | The impact of liquidity risk on the yield spread of green bonds. (2018). Febi, Wulandari ; Sun, Chen ; Stephan, Andreas ; Schafer, Dorothea. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:53-59. Full description at Econpapers || Download paper | |
| 2019 | Has 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 | |
| 2018 | Do leveraged ETFs really amplify late-day returns and volatility?. (2018). Ivanov, Ivan T ; Lenkey, Stephen L. In: Journal of Financial Markets. RePEc:eee:finmar:v:41:y:2018:i:c:p:36-56. Full description at Econpapers || Download paper | |
| 2018 | To be bailed out or to be left to fail? A dynamic competing risks hazard analysis. (2018). Papanikolaou, Nikolaos. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:61-85. Full description at Econpapers || Download paper | |
| 2018 | Forest-based carbon sequestration, and the role of forward, futures, and carbon-lending markets: A comparative institutions approach. (2018). Coleman, Andrew. In: Journal of Forest Economics. RePEc:eee:foreco:v:33:y:2018:i:c:p:95-104. Full description at Econpapers || Download paper | |
| 2018 | Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (2018). Tang, Mei-Ling ; Wu, Ting-Pin ; Lai, Gene C ; Chen, Son-Nan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:87-104. Full description at Econpapers || Download paper | |
| 2018 | Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129. Full description at Econpapers || Download paper | |
| 2018 | What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200. Full description at Econpapers || Download paper | |
| 2019 | Asset 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 | |
| 2019 | Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity. (2019). Roseman, Brian S ; Griffith, Todd G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:104-121. Full description at Econpapers || Download paper | |
| 2018 | Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32. Full description at Econpapers || Download paper | |
| 2018 | The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Robert Jarrow:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1999 | In 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] | article | 1 |
| 2009 | Credit Risk Models In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 29 |
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| 1995 | OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS In: Mathematical Finance. [Full Text][Citation analysis] | article | 24 |
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| 1990 | Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 66 |
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| 2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 9 |
| 2016 | BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2017 | A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2013 | Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
| 2015 | The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
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| 2008 | THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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