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Robert A. Jarrow · Study
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Author
Robert A. Jarrow
109 works
· latest 2021
· 6 institutions
cluster: provisional
ORCID 0000-0001-9893-9611
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108
Citations
19,914
Works here
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Most cited in this library
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
1992 · 3,170 citations
Pricing Derivatives on Financial Securities Subject to Credit Risk
1995 · 1,934 citations
A Markov Model for the Term Structure of Credit Risk Spreads
1997 · 1,476 citations
Bankruptcy Prediction with Industry Effects
2004 · 810 citations
Counterparty Risk and the Pricing of Defaultable Securities
2001 · 662 citations
Works
60 shown
Continuous-Time Asset Pricing Theory
Springer finance
·
2021
·
1 author
·
book
27
citations
Concavity, Stochastic Utility, and Risk Aversion
Finance and Stochastics
·
2020
·
2 authors
·
Open access
12
citations
Exploring Mispricing in the Term Structure of CDS Spreads
European Finance Review
·
2018
·
4 authors
·
Open access
37
citations
An Introduction to Derivative Securities, Financial Markets, and Risk Management
WORLD SCIENTIFIC eBooks
·
2018
·
2 authors
·
book
29
citations
Continuous-Time Asset Pricing Theory
Springer finance
·
2018
·
1 author
·
book
38
citations
Positive alphas and a generalized multiple-factor asset pricing model
Mathematics and Financial Economics
·
2015
·
2 authors
·
Open access
33
citations
The impact of quantitative easing on the US term structure of interest rates
Review of Derivatives Research
·
2014
·
2 authors
·
Open access
37
citations
A leverage ratio rule for capital adequacy
Journal of Banking & Finance
·
2012
·
1 author
50
citations
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS
International Journal of Theoretical and Applied Finance
·
2012
·
2 authors
·
Open access
143
citations
Discretely sampled variance and volatility swaps versus their continuous approximations
Finance and Stochastics
·
2012
·
4 authors
·
Open access
41
citations
Structural versus Reduced‐Form Models: A New Information‐Based Perspective
·
2012
·
2 authors
·
other
247
citations
THE MEANING OF MARKET EFFICIENCY
Mathematical Finance
·
2012
·
2 authors
·
Open access
105
citations
Is There a Bubble in LinkedIn’s Stock Price?
The Journal of Portfolio Management
·
2011
·
3 authors
·
Open access
28
citations
The Economics of Credit Default Swaps
Annual Review of Financial Economics
·
2011
·
1 author
·
review
69
citations
How to Detect an Asset Bubble
SIAM Journal on Financial Mathematics
·
2011
·
3 authors
·
Open access
120
citations
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
Finance research letters
·
2010
·
1 author
34
citations
Understanding the risk of leveraged ETFs
Finance research letters
·
2010
·
1 author
80
citations
ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
Mathematical Finance
·
2010
·
3 authors
·
Open access
235
citations
Liquidity Risk and Arbitrage Pricing Theory
Springer eBooks
·
2010
·
3 authors
·
chapter
273
citations
The Term Structure of Interest Rates
Annual Review of Financial Economics
·
2009
·
1 author
·
review
28
citations
Reduced-form valuation of callable corporate bonds: Theory and evidence
Journal of Financial Economics
·
2009
·
4 authors
49
citations
Credit Risk Models
Annual Review of Financial Economics
·
2009
·
1 author
·
review
64
citations
Credit Risk Models with Incomplete Information
Mathematics of Operations Research
·
2009
·
3 authors
61
citations
No arbitrage without semimartingales
The Annals of Applied Probability
·
2009
·
1 author
·
Open access
36
citations
No Arbitrage without Semimartingales
Digital WPI
·
2009
·
3 authors
31
citations
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
Mathematical Finance
·
2009
·
3 authors
48
citations
A Markov Model for the Term Structure of Credit Risk Spreads
WORLD SCIENTIFIC eBooks
·
2008
·
3 authors
·
chapter
193
citations
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
WORLD SCIENTIFIC eBooks
·
2008
·
3 authors
·
chapter
128
citations
Pricing Derivatives on Financial Securities Subject to Credit Risk
WORLD SCIENTIFIC eBooks
·
2008
·
2 authors
·
chapter
86
citations
Distressed debt prices and recovery rate estimation
Review of Derivatives Research
·
2008
·
3 authors
33
citations
The Subprime Credit Crisis of 2007
The Journal of Derivatives
·
2008
·
3 authors
150
citations
The Subprime Credit Crisis of 07
SSRN Electronic Journal
·
2008
·
3 authors
·
preprint
·
Open access
97
citations
Operational risk
Journal of Banking & Finance
·
2007
·
1 author
83
citations
Asset Price Bubbles in Complete Markets
Birkhäuser Boston eBooks
·
2007
·
3 authors
·
chapter
85
citations
Restructuring risk in credit default swaps: An empirical analysis
Stochastic Processes and their Applications
·
2007
·
3 authors
·
Open access
57
citations
A Critique of Revised Basel II
Journal of Financial Services Research
·
2007
·
1 author
32
citations
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
The Journal of Finance
·
2007
·
3 authors
108
citations
Advances in Mathematical Finance
Applied and numerical harmonic analysis
·
2007
·
4 authors
·
book
75
citations
Downside Loss Aversion and Portfolio Management
Management Science
·
2006
·
2 authors
·
Open access
125
citations
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
Review of Financial Studies
·
2006
·
4 authors
182
citations
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
Mathematical Finance
·
2005
·
3 authors
201
citations
Structural vs Reduced Form Models: A New Information Based Perspective
SSRN Electronic Journal
·
2004
·
2 authors
·
preprint
·
Open access
36
citations
MODELING CREDIT RISK WITH PARTIAL INFORMATION
WORLD SCIENTIFIC eBooks
·
2004
·
4 authors
·
chapter
·
Open access
144
citations
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Journal of Financial Economics
·
2004
·
4 authors
·
Open access
165
citations
A Model of the Convenience Yields in On-the-Run Treasuries
Review of Derivatives Research
·
2004
·
3 authors
34
citations
Liquidity risk and arbitrage pricing theory
Finance and Stochastics
·
2004
·
3 authors
285
citations
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
Journal of the American Statistical Association
·
2004
·
3 authors
60
citations
Bankruptcy Prediction with Industry Effects
European Finance Review
·
2004
·
2 authors
·
Open access
810
citations
Bankruptcy Prediction with Industry Effects
European Finance Review
·
2004
·
2 authors
266
citations
A short history of stochastic integration and mathematical finance: the early years, 1880–1970
Lecture notes-monograph series
·
2004
·
2 authors
·
chapter
·
Open access
72
citations
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
RePEc: Research Papers in Economics
·
2004
·
3 authors
·
preprint
40
citations
Market Pricing of Deposit Insurance
Journal of Financial Services Research
·
2003
·
3 authors
86
citations
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
WORLD SCIENTIFIC eBooks
·
2003
·
2 authors
·
chapter
·
Open access
211
citations
Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies
SSRN Electronic Journal
·
2003
·
4 authors
·
preprint
·
Open access
42
citations
Estimating expected losses and liquidity discounts implicit in debt prices
The Journal of Risk
·
2002
·
3 authors
70
citations
Modeling Fixed-Income Securities and Interest Rate Options
Stanford University Press eBooks
·
2002
·
1 author
·
book
57
citations
Valuing Default Swaps Under Market and Credit Risk Correlation
The Journal of Fixed Income
·
2002
·
2 authors
54
citations
Counterparty Risk and the Pricing of Defaultable Securities
The Journal of Finance
·
2001
·
2 authors
662
citations
The Liquidity Discount
Mathematical Finance
·
2001
·
2 authors
·
Open access
138
citations
Default Parameter Estimation Using Market Prices
Financial Analysts Journal
·
2001
·
1 author
·
Open access
206
citations