Robert Jarrow

According to our database1, Robert Jarrow authored at least 16 papers between 1995 and 2020.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

Online presence:

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Bibliography

2020
Informational Efficiency with Trading Constraints: A Characterization.
SIAM J. Financial Math., 2020

2019
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market.
Manag. Sci., 2019

2015
Liquidity Suppliers and High Frequency Trading.
SIAM J. Financial Math., 2015

Informational Efficiency under Short Sale Constraints.
SIAM J. Financial Math., 2015

2013
Discretely sampled variance and volatility swaps versus their continuous approximations.
Finance Stochastics, 2013

2011
How to Detect an Asset Bubble.
SIAM J. Financial Math., 2011

2009
Credit Risk Models with Incomplete Information.
Math. Oper. Res., 2009

2007
Information reduction via level crossings in a credit risk model.
Finance Stochastics, 2007

2006
Downside Loss Aversion and Portfolio Management.
Manag. Sci., 2006

2005
A loss default simulation model of the federal bank deposit insurance funds.
Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

2004
Liquidity risk and arbitrage pricing theory.
Finance Stochastics, 2004

1999
Hedging contingent claims on semimartingales.
Finance Stochastics, 1999

1995
Preface.
Proceedings of the Finance, 1995

Chapter 8 Pricing interest rate options.
Proceedings of the Finance, 1995

Chapter 20 Market manipulation.
Proceedings of the Finance, 1995

Chapter 7 A discrete time synthesis of derivative security valuation using a term structure of futures prices.
Proceedings of the Finance, 1995


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