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Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation

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D Heath, R Jarrow… - Econometrica: Journal of the Econometric …, 1992 - JSTOR
This paper presents a unifying theory for valuing contingent claims under a stochastic term
structure of interest rates. The methodology, based on the equivalent martingale measure
technique, takes as given an initial forward rate curve and a family of potential stochastic ...
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Pricing derivatives on financial securities subject to credit risk

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RA Jarrow… - Journal of finance, 1995 - JSTOR
Page 1. THE JOURNAL OF FINANCE * VOL. L, NO. 1 * MARCH 1995 Pricing
Derivatives on Financial Securities Subject to Credit Risk ROBERT A. JARROW
and STUART M. TURNBULL* ABSTRACT This article provides a ...
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A Markov model for the term structure of credit risk spreads

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RA Jarrow, D Lando… - Review of Financial …, 1997 - Soc Financial Studies
Page 1. A Markov Model for the Term Structure of Credit Risk Spreads Robert A. Jarrow Cornell
University David Lando University of Copenhagen Stuart M. Turnbull Queen's University This
article provides a Markov model for the term structure of credit risk spreads. ...
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Counterparty risk and the pricing of defaultable securities

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RA Jarrow… - The Journal of Finance, 2001 - Wiley Online Library
Page 1. Counterparty Risk and the Pricing of Defaultable Securities ROBERT A.
JARROW and FAN YU* ABSTRACT Motivated by recent financial crises in East Asia
and the United States where the downfall of a small number ...
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Approximate option valuation for arbitrary stochastic processes

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R Jarrow… - Journal of financial Economics, 1982 - Elsevier
Abstract We show how a given probability distribution can be approximated by an arbitrary
distribution in terms of a series expansion involving second and higher moments. This
theoretical development is specialized to the problem of option valuation where the ...
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Alternative characterizations of American put options

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P Carr, R Jarrow… - Mathematical Finance, 1992 - Wiley Online Library
We derive alternative representations of the McKean equation for the value of the American
put option. Our main result decomposes the value of an American put option into the
corresponding European put price and the early exercise premium. We then represent the ...
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[CITATION] Option pricing

RA Jarrow… - 1983 - getcited.org
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Bond pricing and the term structure of interest rates: A discrete time approximation

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D Heath, R Jarrow… - Journal of Financial and …, 1990 - Cambridge Univ Press
Abstract This paper studies the binomial approximation to the continuous trading term
structure model of Heath, Jarrow, and Morton (1987). The discrete time approximation
makes the original methodology accessible to a wider audience, and provides a ...
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Bankruptcy prediction with industry effects

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S Chava… - Review of Finance, 2004 - rof.oxfordjournals.org
Page 1. Review of Finance 8: 537–569, 2004. © 2004 Kluwer Academic Publishers.
Printed in the Netherlands. 537 Bankruptcy Prediction with Industry Effects⋆
SUDHEER CHAVA1 and ROBERT A. JARROW2 1C.T. Bauer ...
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The intersection of market and credit risk

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RA Jarrow… - Journal of Banking & Finance, 2000 - Elsevier
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Market manipulation, bubbles, corners, and short squeezes

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RA Jarrow - Journal of financial and Quantitative Analysis, 1992 - Cambridge Univ Press
Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 27, NO.
3, SEPTEMBER 1992 Market Manipulation, Bubbles, Corners, and Short Squeezes
Robert A. Jarrow* Abstract This paper investigates market ...
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Pricing foreign currency options under stochastic interest rates

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KI Amin… - Journal of International Money and Finance, 1991 - Elsevier
... HEATH, DAVID, ROBERT JARROW, AND ANDREW MORTON, 'Bond Pricing and the
Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,'
unpublished manuscript, Cornell University, October 1987. ...
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Jump risks and the intertemporal capital asset pricing model

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RA Jarrow… - Journal of Business, 1984 - JSTOR
Page 1. Robert A. Jarrow Cornell University Eric R. Rosenfeld Harvard University Jump
Risks and the Intertemporal Capital Asset Pricing Model I. Introduction The specification
of the stochastic process for stock prices is an important ...
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Forward contracts and futures contracts

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RA Jarrow… - Journal of Financial Economics, 1981 - Elsevier
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Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices

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R Jarrow - Journal of Finance, 1980 - JSTOR
Under heterogeneous expectations, the mean-variance model of capital market equilibrium
is employed to determine the effect restricting short sales has on equilibrium asset prices.
Two equivalent markets differing only with respect to short sales restrictions are compared ...
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Default parameter estimation using market prices

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R Jarrow - Financial Analysts Journal, 2001 - JSTOR
This article presents a new methodology for estimating recovery rates and the (pseudo)
default probabilities implicit in both debt and equity prices. In this methodology, recovery
rates and default probabilities are correlated and depend on the state of the ...
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[BOOK] Modeling fixed-income securities and interest rate options

RA Jarrow - 2002 - books.google.com
... Page 9. About the Author Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of
Investment Management at the Johnson Graduate School of Management, Cornell University.
He is also a managing director and the director of research at Kamakura Corporation. ...
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Default risk and diversification: Theory and empirical implications

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RA Jarrow, D Lando… - Mathematical Finance, 2005 - Wiley Online Library
Skip to Main Content. ...
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Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1

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KI Amin… - Mathematical Finance, 1992 - Wiley Online Library
Page 1. Mathematical Finance, Vol. 2, No. 4 (October 1992), 217-237 PRICING OPTIONS ON
RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY KAUSHIK I . AMIN School of
Business Administration, University of Michigan, Ann Arbor, MI ROBERT A. JARROW ...
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Derivative security markets, market manipulation, and option pricing theory

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RA Jarrow - Journal of Financial and Quantitative Analysis, 1994 - Cambridge Univ Press
Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 29, NO.
2, JUNE 1994 Derivative Security Markets, Market Manipulation, and Option Pricing
Theory Robert A. Jarrow* Abstract This paper studies a new ...
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[PDF] Structural versus reduced form models: a new information based perspective

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RA Jarrow… - Journal of Investment management, 2004 - econ.hku.hk
Page 1. JOIM www.joim.com JOURNAL OF INVESTMENT MANAGEMENT, Vol. 2, No. 2, (2004),
pp. 1–10 © JOIM 2004 STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW
INFORMATION BASED PERSPECTIVE Robert A. Jarrowa,∗ and Philip Protterb ...
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Pricing treasury inflation protected securities and related derivatives using an hjm model

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R Jarrow… - Journal of Financial and Quantitative …, 2003 - Cambridge Univ Press
Abstract This paper uses an HJM model to price TIPS and related derivative securities. First,
using the market prices of TIPS and ordinary US Treasury securities, both the real and
nominal zero-coupon bond price curves are obtained using standard coupon bond price ...
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The subprime credit crisis of 2007

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MG Crouhy, RA Jarrow… - The Journal of Derivatives, 2008 - iijournals.com
Page 1. FALL 2008 THE JOURNAL OF DERIVATIVES 81 This article examines the
different factors that have contributed to the subprime mortgage credit crisis— search
for yield enhancement, investment manage- ment, agency ...
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[PDF] Contingent claim valuation with a random evolution of interest rates

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D Heath, R Jarrow, A Morton - Review of Futures …, 1990 - forum.johnson.cornell.edu
Abstract This paper describes a new approach for pricing contingent claims given a random
evolution of interest rates. The methodology incorporates multiple factors and nonnegative
interest rates, and it does not require estimates of the" market prices" for risk. As such, it is ...
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OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1

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R Jarrow… - Mathematical Finance, 1995 - Wiley Online Library
Jarrow, R. and Madan, D.(1995), OPTION PRICING USING THE TERM STRUCTURE OF
INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS.
Mathematical Finance, 5: 311–336. doi: 10.1111/j. 1467-9965.1995. tb00070. x
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The liquidity discount

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A Subramanian… - Mathematical Finance, 2001 - Wiley Online Library
Page 1. Mathematical Finance, Vol. 11, No. 4 (October 2001), 447–474 THE LIQUIDITY
DISCOUNT AJAY SUBRAMANIAN DuPree College of Management, Georgia Institute of
Technology, Atlanta, and Susquehanna International Group, Bala Cynwyd, Pennsylvania ...
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[CITATION] Finance theory

RA Jarrow - 1988 - getcited.org
An academic directory and search engine.
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Spanning and completeness in markets with contingent claims

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RC Green… - Journal of Economic Theory, 1987 - Elsevier
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Pricing options in an extended Black Scholes economy with illiquidity: Theory and empirical evidence

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U Cetin, R Jarrow, P Protter… - Review of Financial …, 2006 - Soc Financial Studies
Abstract This article studies the pricing of options in an extended Black Scholes economy in
which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a
stochastic supply curve, with the transaction price being a function of the trade size. ...
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[PDF] Estimating expected losses and liquidity discounts implicit in debt prices

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T Janosi, R Jarrow… - Journal of Risk, 2002 - Citeseer
Abstract This paper provides an empirical implementation of a reduced form credit risk
model that incorporates both liquidity risk and correlated defaults. Liquidity risk is modeled
as a convenience yield and default correlation is modeled via an intensity process that ...
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Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

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S Hogan, R Jarrow, M Teo… - Journal of Financial Economics, 2004 - Elsevier
This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity
that generates a riskless profit and is designed to exploit persistent anomalies. Statistical
arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests ...
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[CITATION] Mopping up liquidity

R Jarrow… - Risk, 1997
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Ex-dividend stock price behavior and arbitrage opportunities

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DC Heath… - Journal of Business, 1988 - JSTOR
Page 1. David C. Heath Robert A. Jarrow Cornell University Ex-Dividend Stock
Price Behavior and Arbitrage Opportunities* I. Introduction Kindled by Merton Miller's
presidential address to the American Finance Association ...
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An autoregressive jump process for common stock returns

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GS Oldfield, RJ Rogalski… - Journal of Financial Economics, 1977 - Elsevier
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The stop-loss start-gain paradox and option valuation: A new decomposition into intrinsic and time value

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PP Carr… - Review of Financial Studies, 1990 - Soc Financial Studies
Page 1. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into
Intrinsic and Time Value Peter P. Carr Robert A. Jarrow Cornell University The downside risk
in a leveraged stock position can be eliminated by using stop-loss orders. ...
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[PDF] Default risk and diversification: Theory and applications

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R Jarrow, D Lando… - … working paper, University of California-Irvine, 2001 - math.ku.dk
Abstract Recent advances in the theory of credit ris k allow the use of standard term structure
machinery for default ris k modeling and estimation. T he empirical literature in this area
often interprets the drift ad j ustments of the default intensity's diff usion state variables as ...
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ASSET PRICE BUBBLES IN INCOMPLETE MARKETS*

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RA Jarrow, P Protter… - Mathematical Finance, 2010 - Wiley Online Library
Skip to Main Content. ...
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Primes and scores: An essay on market imperfections

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RA Jarrow… - Journal of Finance, 1989 - JSTOR
Page 1. THE JOURNAL OF FINANCE * VOL. XLIV, NO. 5 * D)ECEMBER 1989 Primes
and Scores: An Essay on Market Imperfections ROBERT A. JARROW and MAUREEN
O'HARA* ABSTRACT This paper investigates the reported ...
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The arbitrage-free valuation and hedging of demand deposits and credit card loans

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RA Jarrow… - Journal of Banking & Finance, 1998 - Elsevier
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Bayesian analysis of contingent claim model error

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E Jacquier… - Journal of Econometrics, 2000 - Elsevier
This paper formally incorporates parameter uncertainty and model error into the
implementation of contingent claim models. We make hypotheses for the distribution of
errors to allow the use of likelihood based estimators consistent with parameter ...
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Valuing default swaps under market and credit risk correlation

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RA Jarrow… - The Journal of Fixed Income, 2002 - iijournals.com
Page 1. MARCH 2002 THE JOURNAL OF FIXED INCOME 7 The market for default swaps,
as mea- sured by the notional amounts of contracts traded per year, has grown from about $50
billion in 1998 to over $400 billion in 2000 (see “Credit Risk” [2000]). ...
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Market manipulation, price bubbles, and a model of the US Treasury securities auction market

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A Chatterjea… - Journal of Financial and …, 1998 - Cambridge Univ Press
Page 1. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL. 33, NO. 2, JUNE
1998 Market Manipulation, Price Bubbles, and a Model of the US Treasury Securities Auction
Market Arkadev Chatterjea and Robert A. Jarrow * Abstract ...
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Hedging contingent claims on semimartingales

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R Jarrow… - Finance and Stochastics, 1999 - Springer
Abstract. This paper extends the known results on the equivalence between market
completeness and the uniqueness of martingale measures for finite asset economies, to the
infinite asset case. Our arguments employ results from the theory of linear operators ...
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[CITATION] Easier done than said

D Heath, R Jarrow, A Morton… - Risk, 1992
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Arbitrage, continuous trading, and margin requirements

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DC Heath… - Journal of Finance, 1987 - JSTOR
Page 1. THE JOURNAL OF FINANCE * VOL. XLII, NO. 5 * DECEMBEE 1987 Arbitrage,
Continuous Trading, and Margin Requirements DAVID C. HEATH and ROBERT
A. JARROW* ABSTRACT This paper studies the impact ...
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Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?

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R Jarrow, H Li… - The Journal of Finance, 2007 - Wiley Online Library
Using 3 years of interest rate caps price data, we provide a comprehensive documentation
of volatility smiles in the caps market. To capture the volatility smiles, we develop a
multifactor term structure model with stochastic volatility and jumps that yields a closed- ...
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A short history of stochastic integration and mathematical finance: the early years, 1880-1970

R Jarrow… - Lecture Notes-Monograph Series, 2004 - JSTOR
We present a history of the development of the theory of Stochastic Integration, starting from
its roots with Brownian motion, up to the introduction of semimartingales and the
independence of the theory from an underlying Markov process framework. We show how ...
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Market pricing of deposit insurance

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D Duffie, R Jarrow, A Purnanandam… - Journal of Financial …, 2003 - Springer
We provide an approach to the market valuation of deposit insurance that is based on
reduced-form methods for the pricing of fixed-income securities under default risk. By
reference to bank debt prices as well as qualitative-response models of the probability of ...
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The relationship between arbitrage and first order stochastic dominance

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R Jarrow - Journal of Finance, 1986 - JSTOR
This paper joins together two fields of research in financial economics. The first field studies
stochastic dominance, while the second field studies arbitrage pricing. The two fields are
linked together through the derivation and the proof of a characterization theorem. The ...
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[PDF] Estimating the interest rate term structure of corporate debt with a semiparametric penalized spline model

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R Jarrow, D Ruppert… - Journal of the American Statistical Association, 2004 - ASA
This article provides a new methodology for estimating the term structure of corporate debt
using a semiparametric penalized spline model. The method is applied to a case study of
AT&T bonds. Typically, very few data are available on individual corporate bond prices, ...
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The relationship between yield, risk, and return of corporate bonds

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RA Jarrow - The Journal of Finance, 1978 - JSTOR
Page 1. T'HE JOURNAL OF FINANCE . VOL. XXXIII, NO. 4 SEPTEMBER 1978 THE
RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS ROBERT
A. JARROW* A COMMON STATISTIC for a bond is its market yield or internal rate of return. ...
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Options markets, self-fulfilling prophecies, and implied volatilities

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JA Cherian… - Review of Derivatives Research, 1998 - Springer
Page 1. Review of Derivatives Research, 2, 5-37 (1998) 9 1998 Kiuwer Academic
Publishers, Boston. Manufactured in The Netherlands. Options Markets, Self-Fulfilling
Prophecies, and Implied Volatilities JOSEPH A. CHERIAN ...
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[PDF] Liquidity risk and risk measure computation

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R Jarrow… - Review of Futures Markets, 2005 - forum.johnson.cornell.edu
Much has been written on how to properly incorporate both market and credit risk into various
measures of financial risk such as value-at-risk (var) or coherent risk measures, see Jorion
[8] and references therein. In contrast, much less has been written on how to include ...
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Downside loss aversion and portfolio management

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R Jarrow… - Management Science, 2006 - JSTOR
Downside loss-averse preferences have seen a resurgence in the portfolio management
literature. This is due to the increasing use of derivatives in managing equity portfolios and
the increased use of quantitative techniques for bond portfolio management. We employ ...
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Operational risk

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RA Jarrow - Journal of Banking & Finance, 2008 - Elsevier
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An empirical analysis of the Jarrow-van Deventer model for valuing non-maturity demand deposits

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T Janosi, RA Jarrow… - The Journal of Derivatives, 1999 - iijournals.com
... Demand Deposits TIBOR JANOSI, ROBERT JARROW, AND FERDINANDO ZULLO ... ROBERT
JARROW is a professor at the Johnson Graduate School of Manage- ment of Cornell Uni- versity,
and is with the Kamakura Corpo- ration, which is based in Chigasaki, Japan. ...
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Put option premiums and coherent risk measures

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R Jarrow - Mathematical Finance, 2002 - Wiley Online Library
This note defines the premium of a put option on the firm as a measure of insolvency risk.
The put premium is not a coherent risk measure as defined by Artzner et al.(1999). It satisfies
all the axioms for a coherent risk measure except one, the translation invariance axiom. ...
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[CITATION] Volatility: New estimation techniques for pricing derivatives

RA Jarrow - 1998 - eprints.lancs.ac.uk
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[PDF] Information reduction in credit risk models

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X Guo, RA Jarrow… - unpublished, Cornell University, 2005 - ma.utexas.edu
Page 1. Information Reduction in Credit Risk Models Xin Guo, Robert A. Jarrow, Yan
Zeng March 15, 2005 Abstract This paper provides explicit and more realistic models
for the pric- ing of a firm's risky debt based on information reduction. ...
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[PDF] Credit risk models with incomplete information

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X Guo, RA Jarrow… - Mathematics of Operations …, 2008 - ieor.berkeley.edu
Page 1. Credit Risk Models with Incomplete Information∗ Xin Guo† Robert A. Jarrow‡ Yan Zeng§
(First Version “Information Reduction in Credit Risk Models”, March 9, 2005) June 18, 2008
Abstract Incomplete information is at the heart of information-based credit risk models. ...
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Delta, gamma and bucket hedging of interest rate derivatives

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RA Jarrow… - Applied Mathematical Finance, 1994 - Taylor & Francis
Page 1. Applied Mathematical Finance 1, 21 -48 (1 994) Delta, gamma and bucket
hedging of interest rate derivatives ROBERT A. JARROW Johnson Graduate School
of Management, Cornell University, Ithaca, NY 14853, USA ...
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In honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: a partial differential equation that changed the world

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RA Jarrow - The Journal of Economic Perspectives, 1999 - JSTOR
Page 1. Journal of Economic Perspectives-Volume 13, Number 4-Fall 1999-Pages
229-248 In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial
Differential Equation That Changed the World Robert A. Jarrow ...
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An integrated approach to the hedging and pricing of eurodollar derivatives

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RA Jarrow… - Journal of Risk and Insurance, 1997 - JSTOR
Page 1. (? The Journal of Risk and Insurance, 1997, Vol. 64, No. 2, 271-299. An
Integrated Approach to the Hedging and Pricing of Eurodollar Derivatives Robert
A. Jarrow Stuart M. Turnbull ABSTRACT Taking the term structure ...
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[PDF] A robust test of Merton's structural model for credit risk

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R Jarrow, DR van Deventer… - Journal of Risk, 2003 - forum.johnson.cornell.edu
This paper presents a robust test of Merton's structural model for credit risk that does not
depend on either estimated parameters for the firm's value or estimated default probabilities.
We derive a test for the consistency of the changes in observed debt and equity prices ( ...
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The second fundamental theorem of asset pricing

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RA Jarrow, X Jin… - Mathematical Finance, 1999 - Wiley Online Library
Page 1. Mathematical Finance, Vol. 9, No. 3 (July 1999), 255–273 THE SECOND
FUNDAMENTAL THEOREM OF ASSET PRICING ROBERT A. JARROW Cornell University
XING JIN University of Maryland DILIP B. MADAN University of Maryland ...
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[PDF] Interest rate caps" smile" too! But can the LIBOR market models capture it

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R Jarrow, H Li… - J. Financ., http://www. afajof. org/afa/forthcoming/ …, 2004 - fdic.gov
Using three years of interest rate caps price data, we provide one of the first comprehensive
documentations of volatility smiles in the caps market. Using a multifactor term structure
model with stochastic volatility and jumps, we develop a closed-form solution for cap ...
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The second fundamental theorem of asset pricing: a new approach

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RJ Battig… - Review of Financial Studies, 1999 - Soc Financial Studies
Page 1. The Second Fundamental Theorem of Asset Pricing: A New Approach Robert
J. Battig Robert A. Jarrow Cornell University This article presents a new definition
of market completeness that is independent of the notions ...
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[BOOK] Market manipulation

[PDF] from cornell.edu
JA Cherian… - 1993 - forum.johnson.cornell.edu
Page 1. R. Jarrow et al., Eds., Handbooks in OR & MS, Vol. 9 © 1995 Elsevier
Science BV All rights reserved Chapter 20 Market Manipulation Joseph A. Cherian
School of Management, Boston University, Boston, MA 02215 ...
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[PDF] Liquidity risk and option pricing theory

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RA Jarrow… - Handbook of Financial …, 2005 - forum.johnson.cornell.edu
Page 1. Liquidity Risk and Option Pricing Theory Robert A. Jarrow∗, and Philip Protter †
February 2, 2005 Abstract This paper summarizes the recent advances of C¸ etin
[6], C¸ etin, Jar- row and Protter [7], C¸ etin, Jarrow, Protter ...
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[PDF] A simple formula for options on discount bonds

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R Brenner… - Advances in Futures and Options …, 1993 - forum.johnson.cornell.edu
This paper has two purposes. First, it provides the detailed derivation of the closed-form
solution for a European call option on a default-free discount bond contained in Heath,
Jarrow and Morton (1992). Second, this paper relates this solution to an open question ...
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A unified approach for pricing contingent claims on multiple term structures

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R Jarrow… - Review of Quantitative Finance and Accounting, 1998 - Springer
This paper provides a unified approach for pricing contingent claims on multiple term
structures using a foreign currency analogy. All existing option pricing applications are seen
to be special cases of this unified approach. This approach is used to price options on ...
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Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?

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RA Jarrow… - European Finance Review, 1997 - rof.oxfordjournals.org
Page 1. European Finance Review 1: 15–30, 1997. 15 c 1997 Kluwer Academic
Publishers. Printed in the Netherlands. Is Mean-Variance Analysis Vacuous: Or
was Beta Still Born? ROBERT A. JARROW Johnson School of ...
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The pricing of commodity options with stochastic interest rates

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RA Jarrow - 1987 - books.google.com
Page 264. THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST
RATES Robert A. Jarrow" I. INTRODUCTION With the recent introduction of traded
commodity options on futures contracts, there has been ...
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Option pricing with random volatilities in complete markets

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L Eisenberg… - Review of Quantitative Finance and Accounting, 1994 - Springer
This article presents the theory of option pricing with random volatilities in complete markets.
As such, it makes two contributions. First, the newly developed martingale measure
technique is used to synthesize results dating from Merton (1973) through Eisenberg,( ...
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[PDF] Estimating default probabilities implicit in equity prices

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T Janosi, R Jarrow… - Journal of Investment …, 2003 - financerisks.com
Abstract This paper uses a reduced form model to estimate default probabilities implicit in
equity prices. The model implemented is a generalization of the model contained in Jarrow
(2000). The time period covered is May 1991–March 1997. Monthly equity prices on ...
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OPTION PRICING AND IMPLICIT VOLATILITIES1

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RA Jarrow… - Journal of Economic Surveys, 1989 - Wiley Online Library
Page 1. OPTION PRICING AND IMPLICIT VOLATILITIES' Robert A. Jarrow and James
B. Wiggins Johnson Graduate School of Management, Cornell University, Ithaca,
New York 14853 Abstract. This paper demonstrates that ...
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Preferences, continuity, and the arbitrage pricing theory

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RA Jarrow - Review of Financial Studies, 1988 - Soc Financial Studies
Page 1. Preferences, Continuity, and the Arbitrage Pricing Theory Robert A. Jarrow Cornell
University This article investigates the structure on preferences required to derive Ross's arbitrage
pricing theory (APT). It is shown that only ordinal preferences are required. ...
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[CITATION] When Swaps are Dropped: What happens to swap rates when default risk is included?

R Jarrow… - RISK-LONDON-RISK …, 1997 - RISK MAGAZINE LIMITED
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Large-trader impact and market regulation

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GL Gastineau… - Financial Analysts Journal, 1991 - JSTOR
Page 1. by Gary L. Gastineau and Robert A. Jarrow Large-Trader Impact and Market
Regulation Based solely on the scale of his operations and the sequence and timing
of his trades, a large trader may, under certain market ...
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[CITATION] Credit risk

R Jarrow… - Handbook of Risk Management and Analysis. New …, 1996
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Negotiation vs. competitive bidding in the sale of securities by public utilities

DE Logue… - Financial Management, 1978 - JSTOR
Page 1. Negotiation vs. Competitive Bidding in the Sale of Securities by Public Utilities
Dennis E. Logue and Robert A. Jarrow Dennis E. Logue is Associate Professor of Business
Administration at the Amos Tuck School at Dartmouth College. ...
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[CITATION] Practical usage of credit risk models in loan portfolio and counterparty exposure management

RA Jarrow… - Credit Risk Models and …, 1999 - Risk Publications
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[CITATION] Over the Rainbow: Developments in Exotic Options and Complex Swaps

RA Jarrow… - 1995 - Risk Pub.
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A Model of the Convenience Yields in On-the-run Treasuries

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JA Cherian, E Jacquier… - Review of Derivatives Research, 2004 - Springer
Page 1. Review of Derivatives Research, 7, 79–97, 2004 © 2004 Kluwer Academic
Publishers. Printed in the Netherlands. A Model of the Convenience Yields in On-the-Run
Treasuries JOSEPH A. CHERIAN joseph.cherian@bankofamerica.com ...
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Option pricing using a binomial model with random time steps (A formal model of gamma hedging)

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H Dengler… - Review of Derivatives Research, 1996 - Springer
... Why is this true? That is, why is the binomial approximation to the Black-Scholes model using
implicit volatilities and augmented with gamma (and perhaps vega) hedging, a suc- cessful pricing
and risk management tool? Send correspondence to: Robert Jarrow. ...
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A critique of revised basel ii

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RA Jarrow - Journal of Financial Services Research, 2007 - Springer
Page 1. J Finan Serv Res (2007) 32:1–16 DOI 10.1007/s10693-007-0006-3 A Critique
of Revised Basel II Robert A. Jarrow Received: 21 September 2006 / Revised: 28
November 2006 / Accepted: 9 January 2007 / Published ...
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Large traders, hidden arbitrage, and complete markets

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R Jarrow… - Journal of Banking & Finance, 2005 - Elsevier
This paper studies hidden arbitrage opportunities in markets where large traders affect the
price process, and where the market is complete (in the classical sense). The arbitrage
opportunities are “hidden” because they occur on a small set of times (typically of ...
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[CITATION] Derivative Securities South

R Jarrow… - 1996 - Western Publishers, Ohio
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The subprime credit crisis of 07

S Turnbull, M Crouhy… - 2008 - papers.ssrn.com
Abstract: This paper examines the different factors that have contributed to the subprime
mortgage credit crisis: the search for yield enhancement, agency problems, lax underwriting
standards, failure by the rating agencies to identify a changing environment, poor risk ...
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[CITATION] Estimating default correlations using a reduced-form model

R Jarrow… - Risk, 2005
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[PDF] Arbitrage, martingales, and private monetary value

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RA Jarrow… - Journal of Risk, 2000 - forum.johnson.cornell.edu
Page 1. Arbitrage, martingales, and private monetary value Robert A. Jarrow Johnson
Graduate School of Management, Cornell University, Ithaca, New York 14853, USA
Dilip B. Madan College of Business and Management ...
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Market manipulation and corporate finance: A new perspective

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A Chatterjea, JA Cherian… - Financial Management, 1993 - JSTOR
Page 1. Review Market Manipulation and Corporate Finance: A New Perspective
Arkadev Chatterjea, Joseph A. Cherian, and Robert A. Jarrow Arkadev Chatterjea
is an Assistant Professor of Finance at the College of Business ...
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A generalized coherent risk measure: The firm's perspective

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RA Jarrow… - Finance Research Letters, 2005 - Elsevier
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Information reduction via level crossings in a credit risk model

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RA Jarrow, P Protter… - Finance and Stochastics, 2007 - Springer
Page 1. Finance Stoch (2007) 11:195–212 DOI 10.1007/s00780-006-0033-1
Information reduction via level crossings in a credit risk model Robert A. Jarrow · Philip
Protter · A. Deniz Sezer Received: 24 February 2006 / Accepted ...
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Credit risk models

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RA Jarrow - Annu. Rev. Financ. Econ., 2009 - annualreviews.org
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The valuation of a firm's investment opportunities: a reduced form credit risk perspective

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R Jarrow… - Review of Derivatives Research, 2007 - Springer
Abstract This paper develops a valuation model for a firm's investment opportunities. Given
standard market imperfections, we show that maximizing the firm's equity value is consistent
with the need to include a capital charge for an investment specific to a firm's capital ...
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[CITATION] Interest Rate Caps' Smile'Too

R Jarrow, H Li… - But Can the LIBOR, 2003
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[CITATION] The HJM model: Its past, present, and future

R Jarrow - Journal of Financial Engineering, 1997 - INTERNATIONAL ASSOCIATION OF …
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[CITATION] Current Advances in the Modeling of Credit Risk

R Jarrow - Derivatives: Tax, Regulation, Finance, 1998
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Forward and futures prices with bubbles

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RA Jarrow… - … Journal of Theoretical and Applied Finance, 2009 - worldscinet.com
WSPC Journals Online,WorldSciNet.
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