Robert Jarrow : Citation Profile

Are you Robert Jarrow?

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

34

H index

67

i10 index

5828

Citations

RESEARCH PRODUCTION:

151

Articles

22

Papers

3

Books

72

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   47 years (1977 - 2024). See details.
   Cites by year: 124
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 255.    Total self citations: 65 (1.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja39
   Updated: 2024-12-03    RAS profile: 2024-11-06    
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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 (33)

Nikitopoulos-Sklibosios, Christina (25)

Monfort, Alain (25)

gourieroux, christian (25)

Das, Sanjiv (22)

Detemple, Jerome (22)

Schuermann, Til (20)

Lo, Andrew (19)

Platen, Eckhard (19)

Cites to:

merton, robert (45)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (19)

Yildirim, Yildiray (17)

Bernanke, Ben (14)

Chen, Zhiwu (14)

Cao, Charles (13)

Scholes, Myron (13)

Basak, Suleyman (13)

Fama, Eugene (12)

Main data

Where Robert Jarrow has published?

Journals with more than one article published# docs
Finance Research Letters12
Review of Derivatives Research11
Mathematical Finance11
Journal of Finance9
Quarterly Journal of Finance (QJF)7
International Journal of Theoretical and Applied Finance (IJTAF)7
Annual Review of Financial Economics7
Journal of Banking & Finance6
Journal of Financial and Quantitative Analysis6
Finance and Stochastics5
Quantitative Finance5
The Review of Financial Studies5
Journal of Financial Economics5
Review of Finance3
International Review of Finance3
The Quarterly Review of Economics and Finance3
Annals of Finance3
The Journal of Business2
Journal of Econometrics2
Agricultural Finance Review2
Economics Letters2
Financial Management2
Journal of Financial Stability2
Real Estate Economics2
Journal of Financial Services Research2
Journal of Risk Management in Financial Institutions2

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 (2024 and 2023)

YearTitle of citing document
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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2023Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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2024The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2024Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872.

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2024Option 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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2024Cash-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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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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2023Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

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2024Distance 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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2023Invariant 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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2024Automated 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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2024Detecting 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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2024The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2024Optimal Reinsurance-Investment Strategy for a Monotone Mean-Variance Insurer in the Cram\er-Lundberg Model. (2022). Pang, Shunzhi ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2211.12168.

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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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2024Local Volatility in Interest Rate Models. (2023). Belyaev, V M. In: Papers. RePEc:arx:papers:2301.13595.

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2024Data-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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2024Nash 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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2024Unifying 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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2023Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678.

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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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2024COVID-19 Demand Shocks Revisited: Did Advertising Technology Help Mitigate Adverse Consequences for Small and Midsize Businesses?. (2023). Schneider, J W ; Gyurak, Anett ; Bart, Yakov ; Yoo, Daniel ; Runge, Julian ; Lee, Shun-Yang. In: Papers. RePEc:arx:papers:2307.09035.

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2023Reinforcement Learning for Credit Index Option Hedging. (2023). Vittori, Edoardo ; Trapletti, Michele ; Pinciroli, Marco ; Mandelli, Francesco. In: Papers. RePEc:arx:papers:2307.09844.

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2023Statistically consistent term structures have affine geometry. (2023). Xu, Shijie ; Kruhner, Paul. In: Papers. RePEc:arx:papers:2308.02246.

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2023Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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2023Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs. (2023). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Papers. RePEc:arx:papers:2310.02084.

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2024Reconciling Open Interest with Traded Volume in Perpetual Swaps. (2023). Said, Emilio ; Giagkiozis, Ioannis. In: Papers. RePEc:arx:papers:2310.14973.

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2023The QLBS Model within the presence of feedback loops through the impacts of a large trader. (2023). Uugur, Omur ; Ozsoy, Ahmet Umur. In: Papers. RePEc:arx:papers:2311.06790.

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2023Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635.

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2024Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2023). Wang, Zhipeng ; Xiong, Xihan ; Huth, Michael ; Knottenbelt, William ; Cui, Tianxiang. In: Papers. RePEc:arx:papers:2311.17715.

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2024A Unifying Approach for the Pricing of Debt Securities. (2024). MacKay, Anne ; Vachon, Marie-Claude. In: Papers. RePEc:arx:papers:2403.06303.

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

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

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

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

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

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2023The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21.

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2023On the General Deviation Measure and the Gini coefficient. (2023). Nisani, Doron. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610.

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2023Pricing contingent convertibles with idiosyncratic risk. (2023). Yang, Zhaojun ; Zeng, Pingping ; Wang, Xiaolin. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:660-693.

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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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2023.

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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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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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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.

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2023How does the bond market price corporate ESG engagement? Evidence from China. (2023). Tao, Chunhua ; Tang, Ziling ; Fang, Mei ; Xu, Yue ; Jiang, Zhiqian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1406-1423.

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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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2023The effects of the BoJs ETF purchases on equities and corporate investment. (2023). Cohen, Lior. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003528.

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2023Do decreases in Distance-to-Default predict rating downgrades?. (2023). Singh, Manish ; Aggarwal, Nidhi ; Thomas, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s026499932300370x.

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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.

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

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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 ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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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.

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

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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

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2023Green technology choices under the cap-and-trade mechanism with insurer green finance in a dragon-king environment. (2023). Lin, Jyh-Horng ; Huang, Fu-Wei ; Chen, Shi. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006193.

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

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2023Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455.

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2023The spillover effect of customers financial risk on suppliers conservative reporting: Evidence from China. (2023). Bai, Haichen ; Yang, GE ; Sun, Zeyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000923.

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2023Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205.

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2023Effect of cash flow risk on corporate failures, and the moderating role of earnings management and abnormal compensation. (2023). Kannothra, Chacko George ; Bu, Ziwen ; Gupta, Jairaj ; Li, Xia. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002788.

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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.

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

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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.
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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]		article21
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.
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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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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).
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2021The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper2
2023THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL.(2023) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 2		article
2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model In: Papers.
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2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.(2021) In: Quarterly Journal of Finance (QJF).
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2022Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk In: Papers.
[Full Text][Citation analysis]		paper1
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.
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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.
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This paper has nother version. Agregated cites: 37		paper
2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) 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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