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Robert Jarrow
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2020 – today
- 2024
- [j12]Robert Jarrow
, Philip Protter
, Alejandra Quintos
:
Computing the probability of a financial market failure: a new measure of systemic risk. Ann. Oper. Res. 336(1-2): 481-503 (2024) - 2020
- [j11]Robert Jarrow, Martin Larsson
:
Informational Efficiency with Trading Constraints: A Characterization. SIAM J. Financial Math. 11(4): 959-973 (2020)
2010 – 2019
- 2019
- [j10]PeiLin Hsieh
, Robert Jarrow:
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market. Manag. Sci. 65(4): 1833-1854 (2019) - 2015
- [j9]Robert Jarrow, Philip Protter
:
Liquidity Suppliers and High Frequency Trading. SIAM J. Financial Math. 6(1): 189-200 (2015) - [j8]Robert A. Jarrow, Martin Larsson:
Informational Efficiency under Short Sale Constraints. SIAM J. Financial Math. 6(1): 804-824 (2015) - 2013
- [j7]Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter
:
Discretely sampled variance and volatility swaps versus their continuous approximations. Finance Stochastics 17(2): 305-324 (2013) - 2011
- [j6]Robert Jarrow, Younes Kchia, Philip Protter
:
How to Detect an Asset Bubble. SIAM J. Financial Math. 2(1): 839-865 (2011)
2000 – 2009
- 2009
- [j5]Xin Guo, Robert A. Jarrow, Yan Zeng:
Credit Risk Models with Incomplete Information. Math. Oper. Res. 34(2): 320-332 (2009) - 2007
- [j4]Robert A. Jarrow, Philip Protter, A. Deniz Sezer:
Information reduction via level crossings in a credit risk model. Finance Stochastics 11(2): 195-212 (2007) - 2006
- [j3]Robert Jarrow, Feng Zhao
:
Downside Loss Aversion and Portfolio Management. Manag. Sci. 52(4): 558-566 (2006) - 2005
- [c1]Rosalind L. Bennett, Daniel A. Nuxoll, Robert A. Jarrow, Michael C. Fu, Huiju Zhang:
A loss default simulation model of the federal bank deposit insurance funds. WSC 2005: 1835-1843 - 2004
- [j2]Umut Çetin, Robert A. Jarrow, Philip Protter:
Liquidity risk and arbitrage pricing theory. Finance Stochastics 8(3): 311-341 (2004)
1990 – 1999
- 1999
- [j1]Robert Jarrow, Dilip B. Madan:
Hedging contingent claims on semimartingales. Finance Stochastics 3(1): 111-134 (1999) - 1995
- [p4]Peter P. Carr, Robert A. Jarrow:
Chapter 7 A discrete time synthesis of derivative security valuation using a term structure of futures prices. Finance 1995: 225-249 - [p3]Robert Jarrow:
Chapter 8 Pricing interest rate options. Finance 1995: 251-272 - [p2]Joseph A. Cherian, Robert A. Jarrow:
Chapter 20 Market manipulation. Finance 1995: 611-630 - [p1]Robert Jarrow, Vojislav Maksimovic, William T. Ziemba:
Preface. Finance 1995: v-xvii - [e1]Robert A. Jarrow, Vojislav Maksimovic, William T. Ziemba:
Finance. Handbooks in operations research and management science 9, Elsevier 1995, ISBN 978-0-444-89084-9 [contents]
Coauthor Index
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