Robert Jarrow : Citation Profile

Are you Robert Jarrow?

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

32

H index

65

i10 index

5581

Citations

RESEARCH PRODUCTION:

146

Articles

22

Papers

2

Books

45

Chapters

RESEARCH ACTIVITY:

   46 years (1977 - 2023). See details.
   Cites by year: 121
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 269.    Total self citations: 64 (1.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja39
   Updated: 2023-08-19    RAS profile: 2023-07-07    
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Relations with other researchers

Works with:

Lamichhane, Sujan (3)

Kwok, Simon Sai Man (2)

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

Is cited by:

Wong, Wing-Keung (42)

Xiao, Tim (36)

Schlogl, Erik (32)

Nikitopoulos-Sklibosios, Christina (25)

gourieroux, christian (25)

Detemple, Jerome (22)

Das, Sanjiv (22)

Monfort, Alain (21)

Schuermann, Til (20)

Lo, Andrew (19)

Platen, Eckhard (19)

Cites to:

merton, robert (44)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (18)

Yildirim, Yildiray (17)

Chen, Zhiwu (14)

Bernanke, Ben (13)

Scholes, Myron (13)

Cao, Charles (13)

Basak, Suleyman (13)

Fama, Eugene (12)

Main data

Where Robert Jarrow has published?

Journals with more than one article published# docs
Mathematical Finance13
Finance Research Letters12
Review of Derivatives Research11
Journal of Finance8
Quarterly Journal of Finance (QJF)7
Annual Review of Financial Economics6
Journal of Financial and Quantitative Analysis6
International Journal of Theoretical and Applied Finance (IJTAF)6
Journal of Banking & Finance6
Review of Financial Studies5
Journal of Financial Economics5
Finance and Stochastics5
International Review of Finance3
Review of Finance3
Quantitative Finance3
The Quarterly Review of Economics and Finance3
Real Estate Economics2
Journal of Econometrics2
Journal of Financial Stability2
Annals of Finance2
Economics Letters2
Journal of Financial Services Research2
Journal of Risk Management in Financial Institutions2
The Journal of Business2
Agricultural Finance Review2
Financial Management2
The Financial Review2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org11
Working Papers / University of Sydney, School of Economics2

Recent works citing Robert Jarrow (2023 and 2022)

YearTitle of citing document
2023Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts. (2023). Kim, Hyeongwoo ; Durmaz, Nazif ; Sun, Yanfei ; Lee, Hyejin. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-03.

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2022.

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2022Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14.

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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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2023A default system with overspilling contagion. (2017). Coculescu, Delia. In: Papers. RePEc:arx:papers:1709.09255.

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2023Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917.

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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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2022A 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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2023Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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

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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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2023Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2023Rating 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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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2022Dependent Stopping Times. (2021). Quintos, Alejandra ; Protter, Philip. In: Papers. RePEc:arx:papers:2111.09458.

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2023A 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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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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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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2023Metric 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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2022Distance between closed sets and the solutions to stochastic partial differential equations. (2022). Tappe, Stefan ; Nakayama, Toshiyuki. In: Papers. RePEc:arx:papers:2205.00279.

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2022A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520.

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2022Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach. (2022). Maki, Daiki ; Jiang, YU ; Ota, Yasushi. In: Papers. RePEc:arx:papers:2205.11012.

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2022A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups. (2022). Muniz, Michelle ; Kamm, Kevin. In: Papers. RePEc:arx:papers:2205.15699.

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2022Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913.

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2023Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948.

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2022Linear and Nonlinear Partial Integro-Differential Equations arising from Finance. (2022). Udeani, Cyril Izuchukwu ; Sevcovic, Daniel ; Grossinho, Maria ; Cruz, Jose. In: Papers. RePEc:arx:papers:2207.11568.

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2022Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (2022). Vachon, Marie-Claude ; MacKay, Anne ; Cui, Zhenyu. In: Papers. RePEc:arx:papers:2207.14793.

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2022Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework. (2022). Gueye, Djibril ; Chaieb, Zied. In: Papers. RePEc:arx:papers:2208.02609.

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2023Automated Market Making and Loss-Versus-Rebalancing. (2022). Zhang, Anthony Lee ; Roughgarden, Tim ; Moallemi, Ciamac C ; Milionis, Jason. In: Papers. RePEc:arx:papers:2208.06046.

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2022Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing. (2022). , Bruno ; Bruno, ; Swishchuk, Anatoliy ; Guo, QI. In: Papers. RePEc:arx:papers:2209.07621.

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2022Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework. (2022). Semeraro, Patrizia ; Romeo, Andrea ; Marena, Marina. In: Papers. RePEc:arx:papers:2209.13314.

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2022Detecting asset price bubbles using deep learning. (2022). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.01726.

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2022Zero-Knowledge Optimal Monetary Policy under Stochastic Dominance. (2022). Cerezo, David. In: Papers. RePEc:arx:papers:2210.06139.

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2022Measure-valued processes for energy markets. (2022). Svaluto-Ferro, Sara ; Guida, Francesco ; di Persio, Luca ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2210.09331.

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2022Liquidity based modeling of asset price bubbles via random matching. (2022). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.13804.

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2022The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2022Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2022Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332.

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2023Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898.

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2023Local Volatility in Interest Rate Models. (2023). Belyaev, V M. In: Papers. RePEc:arx:papers:2301.13595.

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2023Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728.

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2023Pricing basket options with the first three moments of the basket: log-normal models and beyond. (2023). Viens, Frederi ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2302.08041.

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2023The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140.

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2023Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2303.12483.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161.

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2023Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485.

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2023Study on Intelligent Forecasting of Credit Bond Default Risk. (2023). Ren, Kai. In: Papers. RePEc:arx:papers:2305.12142.

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2023Discount Models. (2023). Filipovic, Damir. In: Papers. RePEc:arx:papers:2306.16871.

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2023Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059.

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2022Distressed firms, zombie firms and zombie lending: a taxonomy. (2022). Mayordomo, Sergio ; Garcia-Posada, Miguel ; MiguelGarcia-Posada, ; Alvarez, Laura. In: Working Papers. RePEc:bde:wpaper:2219.

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2022Credit derivatives and loan yields. (2022). Tannous, George F ; Mamun, Abdullah ; Azam, Nimita. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:205-241.

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2022Government economic policy uncertainty and corporate debt contracting. (2022). Phan, Hieu V. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:169-199.

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2022High?frequency trading: Definition, implications, and controversies. (2022). Hsu, Weihuei ; Young, Martin R ; Zaharudin, Khairul Zharif. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:75-107.

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2021Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk. (2021). Zhu, Zhongyan ; Ou, Jitao ; Jiang, Wei. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:537-586.

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2022The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts. (2022). Gyntelberg, Jacob ; Thimsen, Christoffer ; Dicknielsen, Jens. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2577-2611.

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2022A Theory of Equivalent Expectation Measures for Contingent Claim Returns. (2022). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2853-2906.

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2022Comoment risk in corporate bond yields and returns. (2022). Lejeune, Thomas ; Hubner, Georges ; Heck, Stephanie ; Franois, Pascal. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:3:p:471-512.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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2023Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380.

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2022Consistent time?homogeneous modeling of SPX and VIX derivatives. (2022). Papanicolaou, Andrew. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:907-940.

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2023.

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2022.

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2022Contract rescission in the real estate presale market. (2022). Wan, Wayne Xinwei ; Hu, Maggie Rong ; Gan, Quan. In: Real Estate Economics. RePEc:bla:reesec:v:50:y:2022:i:4:p:1054-1106.

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2022Chronicle of a death foretold: does higher volatility anticipate corporate default?. (2022). Fornari, Fabio ; Busetto, Filippo ; Ampudia, Miguel. In: Bank of England working papers. RePEc:boe:boeewp:1001.

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2023The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303.

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2022Macroeconomic Determinants of Corporate Credit Spreads: Evidence from Canada. (2022). Jahan, Nusrat. In: Carleton Economic Papers. RePEc:car:carecp:22-07.

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2022Chronicle of a death foretold: does higher volatility anticipate corporate default?. (2022). Fornari, Fabio ; Busetto, Filippo ; Ampudia, Miguel. In: Working Paper Series. RePEc:ecb:ecbwps:20222749.

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2022Random integrodifferential equations of Volterra type with delay : attractiveness and stability. (2022). Hazarika, Bipan ; Dieye, Moustapha ; Diop, Amadou. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:430:y:2022:i:c:s0096300322003757.

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2023Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S.. (2023). Pearce, Joshua M ; Sommerfeldt, Nelson. In: Applied Energy. RePEc:eee:appene:v:336:y:2023:i:c:s0306261923002027.

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2022A Quantum Mechanics for interest rate derivatives markets. (2022). Bueno-Guerrero, Alberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010808.

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2022Lumpy investment and credit risk. (2022). Zhang, Chuanqian ; Jiao, Feng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001365.

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2022Statistical arbitrage and risk contagion. (2022). Ladley, Daniel ; Gao, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002329.

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2022Leverage, competition and financial distress hazard: Implications for capital structure in the presence of agency costs. (2022). Zeynalov, Ayaz ; Solomon, Edna ; Ugur, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003291.

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2022On modeling IPO failure risk. (2022). Hasan, Iftekhar ; Fu, Mengchuan ; Colak, Gonul. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000360.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2022Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959.

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2022Pricing of vulnerable exchange options with early counterparty credit risk. (2022). Yoon, Ji-Hun ; Kim, Geonwoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002187.

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2022Pricing vulnerable options with stochastic liquidity risk. (2022). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002278.

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2022Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes. (2022). Liao, Szu-Lang ; Lian, Yu-Min ; Chen, Jun-Home. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000535.

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2022Asymmetric information and inside management trading in the Chinese market. (2022). Zhong, Qian ; Yang, Jingjing ; Tuilautala, Mataiasi ; Hu, May. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001036.

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2022Option pricing with the control variate technique beyond Monte Carlo simulation. (2022). Liu, Liang-Chih ; Lyuu, Yuh-Dauh ; Dai, Tian-Shyr ; Chiu, Chun-Yuan ; Chen, Yu-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001140.

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2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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2022An inter-temporal CAPM based on First order Stochastic Dominance. (2022). Levy, Moshe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:734-739.

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2022Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784.

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2022On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution. (2022). Vecer, Jan ; Taylor, Stephen ; Navratil, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:3:p:1215-1229.

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2023Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348.

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2023Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997.

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2023A transformer-based model for default prediction in mid-cap corporate markets. (2023). Bravo, Cristian ; Mues, Christophe ; Korangi, Kamesh. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:306-320.

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2022Development banks and the syndicate structure: Evidence from a world sample. (2022). Zhou, Si ; Frigerio, Marco ; Deglinnocenti, Marta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:99-120.

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2022Partial moments and indexation investment strategies. (2022). Yao, Haixiang ; Li, Yong ; Huang, Jinbo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:39-59.

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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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2021The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics.
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2009Credit Risk Models In: Annual Review of Financial Economics.
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2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
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2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
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2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
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2015Asset Price Bubbles In: Annual Review of Financial Economics.
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2009Housing Market Microstructure In: Papers.
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2011The economic default time and the Arcsine law In: Papers.
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2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
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2011Is there a bubble in LinkedIns stock price? In: Papers.
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2020High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.(2020) In: Quarterly Journal of Finance (QJF).
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2011A Reduced?Form Model for Warrant Valuation In: The Financial Review.
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1989 Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys.
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2008Commercial Mortgage?Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
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1996Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers.
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1996Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1996Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers.
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2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
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2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
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1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis.
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1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
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1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
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2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
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1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
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2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
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1998Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market In: Journal of Financial and Quantitative Analysis.
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2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
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1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
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2004Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? In: Econometric Society 2004 North American Winter Meetings.
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1986A characterization theorem for unique risk neutral probability measures In: Economics Letters.
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1987Beliefs and arbitrage pricing In: Economics Letters.
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2013The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters.
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2014Computing present values: Capital budgeting done correctly In: Finance Research Letters.
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2004Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters.
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2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
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2008Modeling loan commitments In: Finance Research Letters.
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2010Hedging in a HJM model In: Finance Research Letters.
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2010A simple robust model for Cat bond valuation In: Finance Research Letters.
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2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
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2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
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2011Housing prices and the optimal time-on-the-market decision In: Finance Research Letters.
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2012Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters.
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1987Spanning and completeness in markets with contingent claims In: Journal of Economic Theory.
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2007Tax liens: a novel application of asset pricing theory In: Review of Derivatives Research.
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2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
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2008LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters.
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2008THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters.
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2008PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters.
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2017Introduction In: World Scientific Book Chapters.
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2017Dynamic Hedging In: World Scientific Book Chapters.
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2017Penn Square Bank (1982) In: World Scientific Book Chapters.
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2017Metallgesellschaft (1993) In: World Scientific Book Chapters.
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2017Orange County (1994) In: World Scientific Book Chapters.
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2017Barings Bank (1995) In: World Scientific Book Chapters.
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2017Long Term Capital Management (1998) In: World Scientific Book Chapters.
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2017The Credit Crisis (2007) In: World Scientific Book Chapters.
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2017Washington Mutual (2008) In: World Scientific Book Chapters.
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