Robert Jarrow

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

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2020

Informational Efficiency with Trading Constraints: A Characterization.

Robert Jarrow, Martin Larsson

SIAM J. Financial Math., 2020

2019

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

PeiLin Hsieh, Robert Jarrow

Manag. Sci., 2019

2015

Liquidity Suppliers and High Frequency Trading.

Robert Jarrow, Philip Protter

SIAM J. Financial Math., 2015

Informational Efficiency under Short Sale Constraints.

Robert A. Jarrow, Martin Larsson

SIAM J. Financial Math., 2015

2013

Discretely sampled variance and volatility swaps versus their continuous approximations.

Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter

Finance Stochastics, 2013

2011

How to Detect an Asset Bubble.

Robert Jarrow, Younes Kchia, Philip Protter

SIAM J. Financial Math., 2011

2009

Credit Risk Models with Incomplete Information.

Xin Guo, Robert A. Jarrow, Yan Zeng

Math. Oper. Res., 2009

2007

Information reduction via level crossings in a credit risk model.

Robert A. Jarrow, Philip Protter, A. Deniz Sezer

Finance Stochastics, 2007

2006

Downside Loss Aversion and Portfolio Management.

Robert Jarrow, Feng Zhao

Manag. Sci., 2006

2005

A loss default simulation model of the federal bank deposit insurance funds.

Rosalind L. Bennett, Daniel A. Nuxoll, Robert A. Jarrow, Michael C. Fu, Huiju Zhang

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

2004

Liquidity risk and arbitrage pricing theory.

Umut Çetin, Robert A. Jarrow, Philip Protter

Finance Stochastics, 2004

1999

Hedging contingent claims on semimartingales.

Robert Jarrow, Dilip B. Madan

Finance Stochastics, 1999

1995

Preface.

Robert Jarrow, Vojislav Maksimovic, William T. Ziemba

Proceedings of the Finance, 1995

Chapter 8 Pricing interest rate options.

Robert Jarrow

Proceedings of the Finance, 1995

Chapter 20 Market manipulation.

Joseph A. Cherian, Robert A. Jarrow

Proceedings of the Finance, 1995

Chapter 7 A discrete time synthesis of derivative security valuation using a term structure of futures prices.

Peter P. Carr, Robert A. Jarrow

Proceedings of the Finance, 1995