Robert Jarrow : Citation Profile

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

34

H index

67

i10 index

5939

Citations

RESEARCH PRODUCTION:

165

Articles

22

Papers

3

Books

72

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   48 years (1977 - 2025). See details.
   Cites by year: 123
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 193.    Total self citations: 67 (1.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja39
   Updated: 2025-05-24    RAS profile: 2025-05-15    
   Missing citations? Add them    Incorrect content? Let us know

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 (33)

gourieroux, christian (25)

Nikitopoulos-Sklibosios, Christina (25)

Monfort, Alain (25)

Detemple, Jerome (22)

Das, Sanjiv (22)

Schuermann, Til (20)

Napoletano, Mauro (20)

Roventini, Andrea (20)

Cites to:

merton, robert (45)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (19)

Yildirim, Yildiray (17)

Bernanke, Ben (14)

Chen, Zhiwu (14)

Basak, Suleyman (13)

Cao, Charles (13)

Scholes, Myron (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 Finance9
Quarterly Journal of Finance (QJF)9
International Journal of Theoretical and Applied Finance (IJTAF)8
Annual Review of Financial Economics7
Journal of Financial and Quantitative Analysis6
Journal of Banking & Finance6
Journal of Financial Economics5
Journal of Risk5
The Review of Financial Studies5
Finance and Stochastics5
Quantitative Finance5
Annals of Finance4
The Quarterly Review of Economics and Finance3
International Review of Finance3
Review of Finance3
Journal of Risk Management in Financial Institutions2
The Journal of Business2
The Financial Review2
Financial Management2
Journal of Financial Services Research2
Agricultural Finance Review2
Economics Letters2
Journal of Econometrics2
Real Estate Economics2
Journal of Financial Stability2

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 (2025 and 2024)

YearTitle of citing document
2025Model-free Analysis of Dynamic Trading Strategies. (2025). Xu, Renyuan ; Cont, Rama ; Ananova, Anna. In: Papers. RePEc:arx:papers:2011.02870.

Full description at Econpapers || Download paper

2024The American put with finite-time maturity and stochastic interest rate. (2024). de Angelis, Tiziano ; Palczewski, Jan ; Cai, Cheng. In: Papers. RePEc:arx:papers:2104.08502.

Full description at Econpapers || Download paper

2024Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2024). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872.

Full description at Econpapers || Download paper

2024Options Pricing under Bayesian MS-VAR Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

Full description at Econpapers || Download paper

2025Cash-subadditive risk measures without quasi-convexity. (2025). Han, Xia ; Wang, Ruodu ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198.

Full description at Econpapers || Download paper

2024Stopping Times Occurring Simultaneously. (2024). Protter, Philip ; Quintos, Alejandra. In: Papers. RePEc:arx:papers:2111.09458.

Full description at Econpapers || Download paper

2025Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

Full description at Econpapers || Download paper

2024Distance between closed sets and the solutions to stochastic partial differential equations. (2024). Nakayama, Toshiyuki ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2205.00279.

Full description at Econpapers || Download paper

2024Automated Market Making and Loss-Versus-Rebalancing. (2024). Roughgarden, Tim ; Milionis, Jason ; Moallemi, Ciamac C ; Zhang, Anthony Lee. In: Papers. RePEc:arx:papers:2208.06046.

Full description at Econpapers || Download paper

2024Detecting asset price bubbles using deep learning. (2024). Meyer-Brandis, Thilo ; Gonon, Lukas ; Biagini, Francesca ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:2210.01726.

Full description at Econpapers || Download paper

2024The law of one price in quadratic hedging and mean-variance portfolio selection. (2024). Černý, Aleš ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

Full description at Econpapers || Download paper

2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

Full description at Econpapers || Download paper

2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

Full description at Econpapers || Download paper

2024Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model. (2024). Liang, Zongxia ; Pang, Shunzhi. In: Papers. RePEc:arx:papers:2211.12168.

Full description at Econpapers || Download paper

2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

Full description at Econpapers || Download paper

2025HJM Local Volatility Model. (2025). Belyaev, V M. In: Papers. RePEc:arx:papers:2301.13595.

Full description at Econpapers || Download paper

2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2302.00728.

Full description at Econpapers || Download paper

2024Nash equilibria for relative investors with (non)linear price impact. (2024). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161.

Full description at Econpapers || Download paper

2024Unifying Market Microstructure and Dynamic Asset Pricing. (2024). Hu, Yuan ; Rachev, Svetlozar T ; Lauria, Davide ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2304.02356.

Full description at Econpapers || Download paper

2024COVID-19 Demand Shocks Revisited: Did Advertising Technology Help Mitigate Adverse Consequences for Small and Midsize Businesses?. (2024). Bart, Yakov ; Lee, Shun-Yang ; Schneider, J W ; Runge, Julian ; Yoo, Daniel ; Gyurak, Anett. In: Papers. RePEc:arx:papers:2307.09035.

Full description at Econpapers || Download paper

2024Reconciling Open Interest with Traded Volume in Perpetual Swaps. (2024). Giagkiozis, Ioannis ; Said, Emilio. In: Papers. RePEc:arx:papers:2310.14973.

Full description at Econpapers || Download paper

2024Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2024). Wunderlich, Ralf ; Lamert, Kerstin ; Auer, Benjamin R. In: Papers. RePEc:arx:papers:2311.15635.

Full description at Econpapers || Download paper

2024Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2024). Wang, Zhipeng ; Xiong, Xihan ; Knottenbelt, William ; Cui, Tianxiang ; Huth, Michael. In: Papers. RePEc:arx:papers:2311.17715.

Full description at Econpapers || Download paper

2024Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057.

Full description at Econpapers || Download paper

2024Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435.

Full description at Econpapers || Download paper

2024Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2402.08108.

Full description at Econpapers || Download paper

2025A Unifying Approach for the Pricing of Debt Securities. (2025). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2403.06303.

Full description at Econpapers || Download paper

2024Deep Limit Order Book Forecasting. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267.

Full description at Econpapers || Download paper

2024A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868.

Full description at Econpapers || Download paper

2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885.

Full description at Econpapers || Download paper

2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

Full description at Econpapers || Download paper

2024Inflation Models with Correlation and Skew. (2024). Ogetbil, Orcan ; Hientzsch, Bernhard. In: Papers. RePEc:arx:papers:2405.05101.

Full description at Econpapers || Download paper

2024Risk-neutral valuation of options under arithmetic Brownian motions. (2024). Jiao, Yuhan ; Guo, Shuxin ; Liu, Qiang. In: Papers. RePEc:arx:papers:2405.11329.

Full description at Econpapers || Download paper

2024Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2406.19412.

Full description at Econpapers || Download paper

2025A note on Refracted Skew Brownian Motion with an application. (2025). Ahmadi, Zaniar ; Zhou, Xiaowen. In: Papers. RePEc:arx:papers:2407.09321.

Full description at Econpapers || Download paper

2024MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing. (2024). Beigi, Homayoon ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2409.06724.

Full description at Econpapers || Download paper

2024Heat modulated affine stochastic volatility models for forward curve dynamics. (2024). Karbach, Sven. In: Papers. RePEc:arx:papers:2409.13070.

Full description at Econpapers || Download paper

2024Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty. (2024). Oosterlee, Cornelis W ; Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2410.21110.

Full description at Econpapers || Download paper

2025Real-world models for multiple term structures: a unifying HJM semimartingale framework. (2025). Tappe, Stefan ; Platen, Eckhard ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2411.01983.

Full description at Econpapers || Download paper

2024Short-maturity options on realized variance in local-stochastic volatility models. (2024). Wang, Xiaoyu ; Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2411.02520.

Full description at Econpapers || Download paper

2025Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431.

Full description at Econpapers || Download paper

2024Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options. (2024). Wei, Dongming ; Kazbek, Rakhymzhan ; Erlangga, Yogi ; Amanbek, Yerlan. In: Papers. RePEc:arx:papers:2412.08987.

Full description at Econpapers || Download paper

2024Battery valuation on electricity intraday markets with liquidity costs. (2024). Warin, Xavier ; Deschatre, Thomas ; Cogn, Enzo. In: Papers. RePEc:arx:papers:2412.15959.

Full description at Econpapers || Download paper

2025Asset Pricing Model in Markets of Imperfect Information and Subjective Views. (2025). Bellalah, Makram ; ben Amar, Amine ; Lalioui, Hafid. In: Papers. RePEc:arx:papers:2501.11983.

Full description at Econpapers || Download paper

2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

Full description at Econpapers || Download paper

2025Modeling portfolio loss distribution under infectious defaults and immunization. (2025). Farina, Gianluca ; Torri, Gabriele ; Giacometti, Rosella. In: Papers. RePEc:arx:papers:2503.03306.

Full description at Econpapers || Download paper

2025No Fear of Discounting How to Manage the Transition from EONIA to ESTR. (2025). Bianchetti, Marco ; Scaringi, Marco. In: Papers. RePEc:arx:papers:2503.06806.

Full description at Econpapers || Download paper

2025Pool Value Replication (CPM) and Impermanent Loss Hedging. (2025). Gonzalez, Agustin Munoz ; Sequeira, Juan Ignacio ; Dembling, Ariel. In: Papers. RePEc:arx:papers:2503.21967.

Full description at Econpapers || Download paper

2024Hedging with Financial Derivatives and Firm Performance of Consumer Goods Companies Listed on Nigeria Exchange Group. (2024). Bamidele, Oyegbile Akeem. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:1:p:2358-2373.

Full description at Econpapers || Download paper

2025Forecasting corporate default probabilities: a local logit approach for scenario analysis. (2025). Quaglia, Ivan ; Ciocchetta, Federica ; Pietrosanti, Stefano ; Cascarino, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_909_25.

Full description at Econpapers || Download paper

2024Approaches to Default Probability Estimation of Credit Rating Agencies Rating Scales. (2024). Ozerov, Kirill ; Kutenko, Sergey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:4:p:98-118.

Full description at Econpapers || Download paper

2024Evolution of Chinese futures markets from a high frequency perspective. (2024). Tao, Xuan ; Drapeau, Samuel ; Wang, Tao ; Li, Zhengqiang. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:3:p:1416-1449.

Full description at Econpapers || Download paper

2024Why do banks use credit default swaps (CDS)? A systematic review. (2024). , Tabassum ; Yameen, Mohammad. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:201-231.

Full description at Econpapers || Download paper

2024Lending and risk controls for BHCs after the Dodd–Frank act. (2024). Degl, Marta ; Zhou, SI. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:275-315.

Full description at Econpapers || Download paper

2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402.

Full description at Econpapers || Download paper

2025The Extent to which Contingent Convertible Leasing Protects Bank Deposits:A Barrier Option Approach. (2025). Fathi, Abid ; Asma, Khadimallah. In: China Finance and Economic Review. RePEc:bpj:cferev:v:14:y:2025:i:1:p:113-129:n:1006.

Full description at Econpapers || Download paper

2025Mean-field equilibrium price formation with exponential utility. (2025). Sekine, Masashi ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf594.

Full description at Econpapers || Download paper

2025Martingale defects in the volatility surface and bubble conditions in the underlying. (2025). Blauth, Jrme ; Stahl, Philip. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:154110.

Full description at Econpapers || Download paper

2024The influence of trauma insurance on quality of life among cancer survivors. (2024). Nithi, P P ; Reddy, Krishna ; Muschert, Glenn ; Hatswell, David Todd ; Wallace, Damien ; Nair, A V ; Ramiah, Vikash. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000443.

Full description at Econpapers || Download paper

2024Understanding sentiment shifts in central bank digital currencies. (2024). Corbet, Shaen ; Larkin, Charles ; Hu, Yang ; Conlon, Thomas ; Hou, Yang ; Oxley, Les. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001035.

Full description at Econpapers || Download paper

2024Corporate insider purchases and the options market: Competition among informed investors. (2024). Sulaeman, Johan ; Jeon, Byounghyun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000750.

Full description at Econpapers || Download paper

2024Financial distress, bank branching deregulation, and customer-supplier relationships. (2024). Lian, Yili. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924001081.

Full description at Econpapers || Download paper

2024Financial decisions involving credit default swaps over the business cycle. (2024). Yang, Zhaojun ; Gan, Liu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000228.

Full description at Econpapers || Download paper

2024Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies. (2024). Zhang, Wanjuan ; Wang, Jing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:938-953.

Full description at Econpapers || Download paper

2024Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962.

Full description at Econpapers || Download paper

2024Target rate factors in short rate models. (2024). Harju, Antti J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001560.

Full description at Econpapers || Download paper

2024Seemingly manipulated anomaly: Evidence from corporate site visits. (2024). Yang, Jinyu ; Cao, Jiawei ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001104.

Full description at Econpapers || Download paper

2024Valuing American options using multi-step rebate options. (2024). Lee, Minha ; Ha, Hongjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001529.

Full description at Econpapers || Download paper

2024Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x.

Full description at Econpapers || Download paper

2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

Full description at Econpapers || Download paper

2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

Full description at Econpapers || Download paper

2024Machine learning in bank merger prediction: A text-based approach. (2024). Leledakis, George ; Katsafados, Apostolos ; Fergadiotis, Manos ; Androutsopoulos, Ion ; Pyrgiotakis, Emmanouil G. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:783-797.

Full description at Econpapers || Download paper

2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

Full description at Econpapers || Download paper

2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

Full description at Econpapers || Download paper

2024An efficient and provable sequential quadratic programming method for American and swing option pricing. (2024). Huang, Weizhang ; Shen, Jinye ; Ma, Jingtang. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35.

Full description at Econpapers || Download paper

2025Contagion network, portfolio credit risk, and financial crisis. (2025). Wu, Rongwen ; Li, Fei ; Fu, Michael C. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

Full description at Econpapers || Download paper

2024Technological disparity and its impact on market quality. (2024). Kim, Seo Young ; Chung, Kiseo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001111.

Full description at Econpapers || Download paper

2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

Full description at Econpapers || Download paper

2024Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Yang, Jinyu ; Dong, Dayong ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111.

Full description at Econpapers || Download paper

2024International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework. (2024). Beaupain, Renaud ; Braouezec, Yann. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005410.

Full description at Econpapers || Download paper

2024Does short selling reduce classification shifting?—— Exploration of market-oriented governance mechanism. (2024). Bai, Xuelian ; He, Meng ; Zhang, Junrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400125x.

Full description at Econpapers || Download paper

2024The financial health of a company and the risk of its default: Back to the future. (2024). Dainelli, Francesco ; Bet, Gianmarco ; Fabrizi, Eugenio. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003818.

Full description at Econpapers || Download paper

2024The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?. (2024). Belkacem, Lotfi ; ben Hamida, Amal ; de Peretti, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004496.

Full description at Econpapers || Download paper

2024Exploiting the potential of a directional changes-based trading algorithm in the stock market. (2024). Li, Munan ; Ao, Han. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013089.

Full description at Econpapers || Download paper

2024The impact of position limits on options trading. (2024). Switzer, Lorne ; Tu, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013417.

Full description at Econpapers || Download paper

2024Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Storani, Saverio ; Cerqueti, Roy ; Pampurini, Francesca ; Quaranta, Anna Grazia. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916.

Full description at Econpapers || Download paper

2024A new estimation of default probabilities based on non-performing loans. (2024). Mayordomo, Sergio ; Garcia-Posada, Miguel ; Blanco, Roberto ; Fernandez-Ortiz, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s154461232400179x.

Full description at Econpapers || Download paper

2024The price of firm-level information uncertainty. (2024). Wang, XI ; Gao, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008122.

Full description at Econpapers || Download paper

2024Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699.

Full description at Econpapers || Download paper

2024Synthetic cap rate indices (1991-Covid era). (2024). Barratt, Joshua G ; Ilut, Daniel C ; Christopoulos, Andreas D. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s1044028324000334.

Full description at Econpapers || Download paper

2024Estimating probability of default via delinquencies? Evidence from European P2P lending market. (2024). Shams, Syed ; Nigmonov, Asror ; Urbonas, Povilas. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s1044028324001224.

Full description at Econpapers || Download paper

2024Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates. (2024). Jia, Zijian ; Wu, Lan ; Zhao, Chaoyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:156-175.

Full description at Econpapers || Download paper

2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131.

Full description at Econpapers || Download paper

2024Value-enhancing modeling of surrenders and lapses. (2024). Hwang, Yawen ; Huang, Hsiao-Tzu ; Tsai, Chenghsien Jason ; Chan, Linus Fang-Shu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:48-63.

Full description at Econpapers || Download paper

2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

Full description at Econpapers || Download paper

2024The efficiency of the Estr overnight index swap market. (2024). Realdon, Marco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s104244312400009x.

Full description at Econpapers || Download paper

2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

Full description at Econpapers || Download paper

2024Corporate bankruptcy and banking deregulation: The effect of financial leverage. (2024). Rossi, Ludovico ; Dufour, Alfonso ; Varotto, Simone ; Cathcart, Lara. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:166:y:2024:i:c:s0378426624001365.

Full description at Econpapers || Download paper

2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

Full description at Econpapers || Download paper

2025A new measure for differences of opinions: Institutional trade dispersion. (2025). Alldredge, Dallin M ; Caglayan, Mustafa O. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002486.

Full description at Econpapers || Download paper

2024Digital transformation and firms’ bargaining power: Evidence from China. (2024). Zhu, Yongyi ; Yu, DI. In: Journal of Business Research. RePEc:eee:jbrese:v:183:y:2024:i:c:s0148296324003552.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Robert Jarrow has edited the books:

YearTitleTypeCited

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
2021The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article0
2023Inflation-Adjusted Bonds, Swaps, and Derivatives In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article0
2009Credit Risk Models In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article51
2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article73
2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article22
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]		article28
2009Housing Market Microstructure In: Papers.
[Full Text][Citation analysis]		paper0
2011The economic default time and the Arcsine law In: Papers.
[Full Text][Citation analysis]		paper4
2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2011Is there a bubble in LinkedIns stock price? In: Papers.
[Full Text][Citation analysis]		paper11
2014Informational Efficiency under Short Sale Constraints In: Papers.
[Full Text][Citation analysis]		paper0
2021High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper4
2020High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.(2020) In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2021The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper3
2023THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL.(2023) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper4
2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.(2021) In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2022Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk In: Papers.
[Full Text][Citation analysis]		paper1
2024Computing the probability of a financial market failure: a new measure of systemic risk.(2024) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2023Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples In: Papers.
[Full Text][Citation analysis]		paper0
2024Filtration Reduction and Completeness in Jump-Diffusion Models In: Papers.
[Full Text][Citation analysis]		paper0
2004Modeling Credit Risk with Partial Information In: Papers.
[Full Text][Citation analysis]		paper37
2004Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		chapter
2015Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates In: Journal of Risk Management in Financial Institutions.
[Full Text][Citation analysis]		article0
2023A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital In: Journal of Risk Management in Financial Institutions.
[Full Text][Citation analysis]		article1
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]		article18
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]		article6
2019Fair Microfinance Loan Rates In: International Review of Finance.
[Full Text][Citation analysis]		article4
2020Credit Risk, Liquidity, and Bubbles In: International Review of Finance.
[Full Text][Citation analysis]		article3
2023An explosion time characterization of asset price bubbles In: International Review of Finance.
[Full Text][Citation analysis]		article1
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]		article13
1980 Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance.
[Full Text][Citation analysis]		article99
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]		article55
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 nother version. Agregated cites: 7		chapter
1989 Primes and Scores: An Essay on Market Imperfections. In: Journal of Finance.
[Full Text][Citation analysis]		article9
1995 Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance.
[Full Text][Citation analysis]		article640
2008Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 640		chapter
2001Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance.
[Full Text][Citation analysis]		article263
2008Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 263		chapter
2007Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance.
[Full Text][Citation analysis]		article39
2005ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research.
[Full Text][Citation analysis]		article6
2001The Liquidity Discount In: Mathematical Finance.
[Full Text][Citation analysis]		article45
2002Put Option Premiums and Coherent Risk Measures In: Mathematical Finance.
[Full Text][Citation analysis]		article17
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article93
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		chapter
2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance.
[Full Text][Citation analysis]		article12
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]		article3
2015The effect of trading futures on short sale constraints.(2015) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2018Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance.
[Full Text][Citation analysis]		article3
2019A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory In: Mathematical Finance.
[Full Text][Citation analysis]		article6
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article155
2008ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		chapter
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance.
[Full Text][Citation analysis]		article72
2021Risk‐neutral pricing techniques and examples In: Mathematical Finance.
[Full Text][Citation analysis]		article0
1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 In: Mathematical Finance.
[Full Text][Citation analysis]		article28
1999The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance.
[Full Text][Citation analysis]		article21
2008Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
[Full Text][Citation analysis]		article11
2014Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics.
[Full Text][Citation analysis]		article1
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 nother 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 nother version. Agregated cites: 1		paper
2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
[Full Text][Citation analysis]		paper13
2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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]		article90
1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article8
1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article159
2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 159		chapter
1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article67
2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		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]		article29
2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article65
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 nother version. Agregated cites: 65		chapter
1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
[Full Text][Citation analysis]		article1047
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 nother version. Agregated cites: 1047		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]		article8
2014Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2000Bayesian analysis of contingent claim model error In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2023Futures contract collateralization and its implications In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
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]		article8
2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2022High frequency trading and standard asset pricing models In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2008Modeling loan commitments In: Finance Research Letters.
[Full Text][Citation analysis]		article8
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]		article30
2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
[Full Text][Citation analysis]		article22
2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
[Full Text][Citation analysis]		article13
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]		article2
2012An improved test for statistical arbitrage In: Journal of Financial Markets.
[Full Text][Citation analysis]		article9
2018CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability.
[Full Text][Citation analysis]		article2
2022Risk premia, asset price bubbles, and monetary policy In: Journal of Financial Stability.
[Full Text][Citation analysis]		article3
1998The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article51
2000The intersection of market and credit risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article118
2005Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2008Operational risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2017Operational Risk.(2017) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		chapter
2013A leverage ratio rule for capital adequacy In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
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]		article52
1982Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article247
2008APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 247		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]		article61
2010Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article11
1981Forward contracts and futures contracts In: Journal of Financial Economics.
[Full Text][Citation analysis]		article39
2008FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		chapter
1991Pricing foreign currency options under stochastic interest rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article98
2008Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 98		chapter
2018On aggregation and representative agent equilibria In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article8
2014Financial crises and economic growth In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article7
2015Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article0
2021Endogenous liquidity risk and dealer market structure In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
2015Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review.
[Full Text][Citation analysis]		article0
2015Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review.
[Full Text][Citation analysis]		article1
In: .
[Full Text][Citation analysis]		article1
2018Portfolio balance effects and the Federal Reserve’s large-scale asset purchases In: Studies in Economics and Finance.
[Full Text][Citation analysis]		article1
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]		article5
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]		article45
2019Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market In: Management Science.
[Full Text][Citation analysis]		article1
2009Credit Risk Models with Incomplete Information In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article20
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
2023The no-arbitrage pricing of non-traded assets In: Annals of Finance.
[Full Text][Citation analysis]		article0
2025No arbitrage for a special class of filtration expansions In: Annals of Finance.
[Full Text][Citation analysis]		article0
2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article30
2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		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]		article5
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]		article9
2010Convenience yields In: Review of Derivatives Research.
[Full Text][Citation analysis]		article4
2010The cost of operational risk loss insurance In: Review of Derivatives Research.
[Full Text][Citation analysis]		article7
2011Foreign currency bubbles In: Review of Derivatives Research.
[Full Text][Citation analysis]		article8
2013Capital adequacy rules, catastrophic firm failure, and systemic risk In: Review of Derivatives Research.
[Full Text][Citation analysis]		article5
2014The impact of quantitative easing on the US term structure of interest rates In: Review of Derivatives Research.
[Full Text][Citation analysis]		article12
2018An empirical investigation of large trader market manipulation in derivatives markets In: Review of Derivatives Research.
[Full Text][Citation analysis]		article2
2023Interest rate swaps: a comparison of compounded daily versus discrete reference rates 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]		article12
1998A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article2
1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance.
[Full Text][Citation analysis]		article14
2019Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance.
[Full Text][Citation analysis]		article11
2004Bankruptcy Prediction with Industry Effects In: Review of Finance.
[Full Text][Citation analysis]		article351
2008Bankruptcy Prediction with Industry Effects.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 351		chapter
1997A Markov Model for the Term Structure of Credit Risk Spreads. In: The Review of Financial Studies.
[Citation analysis]		article479
2008A Markov Model for the Term Structure of Credit Risk Spreads.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 479		chapter
1999The Second Fundamental Theorem of Asset Pricing: A New Approach. In: The Review of Financial Studies.
[Citation analysis]		article23
2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: The Review of Financial Studies.
[Full Text][Citation analysis]		article67
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 nother version. Agregated cites: 67		chapter
1988Preferences, Continuity, and the Arbitrage Pricing Theory In: The Review of Financial Studies.
[Full Text][Citation analysis]		article5
1990The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article24
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 nother version. Agregated cites: 24		chapter
Credit rating accuracy and incentives In: Journal of Credit Risk.
[Full Text][Citation analysis]		article0
A robust test of Mertons structural model for credit risk In: Journal of Risk.
[Full Text][Citation analysis]		article0
Arbitrage, martingales, and private monetary value In: Journal of Risk.
[Full Text][Citation analysis]		article0
Estimating expected losses and liquidity discounts implicit in debt prices In: Journal of Risk.
[Full Text][Citation analysis]		article0
Risk measures and the impact of asset price bubbles In: Journal of Risk.
[Full Text][Citation analysis]		article0
Asset price bubbles and risk management In: Journal of Risk.
[Full Text][Citation analysis]		article0
2007Information reduction via level crossings in a credit risk model In: Finance and Stochastics.
[Full Text][Citation analysis]		article8
2013Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics.
[Full Text][Citation analysis]		article21
2021Concavity, stochastic utility, and risk aversion In: Finance and Stochastics.
[Full Text][Citation analysis]		article2
1998Hedging contingent claims on semimartingales In: Finance and Stochastics.
[Full Text][Citation analysis]		article6
2004Liquidity risk and arbitrage pricing theory In: Finance and Stochastics.
[Full Text][Citation analysis]		article142
2008Liquidity risk and arbitrage pricing theory.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		chapter
2021Inferring Financial Bubbles from Option Data In: Working Papers.
[Full Text][Citation analysis]		paper8
2021Inferring financial bubbles from option data.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
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]		article1
2012A liquidity-based model for asset price bubbles In: Quantitative Finance.
[Full Text][Citation analysis]		article9
2022Funding shortages, expectations, and forward rate risk premium In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2023Media trading groups and short selling manipulation In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2024A study on asset price bubble dynamics: explosive trend or quadratic variation? In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2001Default Parameter Estimation Using Market Prices In: Financial Analysts Journal.
[Full Text][Citation analysis]		article14
1984Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business.
[Full Text][Citation analysis]		article101
1988Ex-dividend Stock Price Behavior and Arbitrage Opportunities. In: The Journal of Business.
[Full Text][Citation analysis]		article28
2008Ex-Dividend Stock Price Behavior and Arbitrage Opportunities.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		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]		article7
2009FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article6
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]		article1
2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article35
2016BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article4
2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0
2022APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article2
2024FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 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]		article1
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]		article1
2022Index Design: Hedging and Manipulation In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0
2024Option Pricing in an Incomplete Market In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0
2024A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 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]		book2
2024An Introduction to Derivative Securities, Financial Markets, and Risk Management In: World Scientific Books.
[Full Text][Citation analysis]		book0
2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
[Full Text][Citation analysis]		book0
2023Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Derivatives and Risk Management In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Interest Rates In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Stocks In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Forwards and Futures In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Options In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Arbitrage and Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Financial Engineering and Swaps In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Forwards and Futures Markets In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Futures Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Futures Regulations In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024The Cost-of-Carry Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024The Extended Cost-of-Carry Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Futures Hedging In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Options Markets and Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Option Trading Strategies In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Option Relations In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Single-Period Binomial Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Multiperiod Binomial Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024The Black–Scholes–Merton Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Using the Black–Scholes–Merton Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Yields and Forward Rates In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Interest Rate Swaps In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Single-Period Binomial Heath–Jarrow–Morton Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Multiperiod Binomial HJM Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024The Heath–Jarrow–Morton Libor Model In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2024Risk 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
2017Introduction In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Primary Assets In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Derivatives In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter36
2017Market Risk (Equities, FX, Commodities) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Market Risk (Interest Rates) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Credit Risk In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter17
2017Liquidity Risk In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter15
2017Trading Constraints In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Individuals In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Firms In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Banks In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Diversification In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Static Hedging In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Dynamic Hedging In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Penn Square Bank (1982) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Metallgesellschaft (1993) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Orange County (1994) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Barings Bank (1995) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Long Term Capital Management (1998) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017The Credit Crisis (2007) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Washington Mutual (2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team