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Jarrow, Robert A.
 SSRN Author Rank: 198 by Downloads
 Ronald P. and Susan E. Lynch Professor of Investment Management, Professor of Finance and Economics
 

Cornell University - Samuel Curtis Johnson Graduate School of Management


 Department of Finance
 Ithaca, NY 14853
 United States
 607-255-4729 (Phone)
 607-254-4590 (Fax)
 email address

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. Jarrow, Robert A.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
35,912		 Total
Citations
491
Authors Date Downloads
 (Rank) 		Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Turnbull, Stuart M.
University of Houston - C.T. Bauer College of Business
Crouhy, Michel
Natixis
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
25 Mar 08
Last Revised:
20 Jul 08
8,099
(224) 		36
2.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Hogan, Steve
Credit Suisse First Boston
Teo, Melvyn
Singapore Management University - School of Business
Warachka, Mitch
Claremont Colleges - Robert Day School of Economics and Finance
Posted:
25 May 03
4,757
(601) 		17
3.  
A Dysfunctional Role of High Frequency Trading in Electronic Markets | Show Abstract | Download |
Johnson School Research Paper Series No. 08-2011
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
affiliation not provided to SSRN
Posted:
09 Mar 11
Last Revised:
30 Jun 11
2,592
(1,789) 		6
4.  
Chava, Sudheer
Georgia Institute of Technology - College of Management
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
20 Oct 01
2,414
(2,039) 		93
5.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
03 Jun 98
2,260
(2,280) 		 
6.  
How to Detect an Asset Bubble | Show Abstract | Download |
Johnson School Research Paper Series No. 28-2010
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Kchia, Younes
affiliation not provided to SSRN
Protter, Philip
Cornell University
Posted:
07 Jun 10
Last Revised:
16 Mar 11
1,803
(3,334) 		3
7.  
The Economics of Credit Default Swaps (CDS) | Show Abstract | Download |
Johnson School Research Paper Series No. 31-2010
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
21 Jul 10
Last Revised:
21 Nov 10
1,510
(4,599) 		3
8.   Incl. Electronic Paper
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Lando, David
Copenhagen Business School - Department of Finance
Yu, Fan
Claremont McKenna College - Robert Day School of Economics and Finance
Posted:
01 Jan 01
Last Revised:
20 Jan 05
1,412
(5,176) 		71
9.  
Risk Management Models: Construction, Testing, Usage | Show Abstract | Download |
Johnson School Research Paper Series No. 38-2010
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
21 Nov 10
Last Revised:
16 Mar 11
1,071
(8,278) 		2
10.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Teo, Melvyn
Singapore Management University - School of Business
Tse, Yiu Kuen
Singapore Management University - School of Economics & Social Sciences
Warachka, Mitch
Claremont Colleges - Robert Day School of Economics and Finance
Posted:
03 Feb 05
1,062
(8,406) 		2
11.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Yu, Fan
Claremont McKenna College - Robert Day School of Economics and Finance
Posted:
01 Jan 00
932
(10,311) 		100
12.   Incl. Electronic Paper
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Li, Haitao
University of Michigan - Stephen M. Ross School of Business
Liu, Sheen
Youngstown State University - Williamson College of Business Administration
Wu, Chunchi
Universtity at Buffalo
Posted:
22 Mar 07
Last Revised:
12 Oct 08
771
(13,879) 		4
13.  
The Liquidity Discount | Show Abstract | Download |
Mathematical Finance, Vol. 11, No. 4, pp. 447-474, October 2001
Accepted Paper Series
Subramanian, Ajay
Georgia State University
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
16 Feb 04
Last Revised:
31 Mar 09
675
(16,858) 		25
14.  
The Meaning of Market Efficiency | Show Abstract | Download |
Johnson School Research Paper Series No. 07-2011
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Larsson, Martin
Cornell University - School of Operations Research and Industrial Engineering
Posted:
10 Mar 11
Last Revised:
01 Sep 11
654
(17,594) 		 
15.  
Asset Price Bubbles in Incomplete Markets | Show Abstract | Download |
Johnson School Research Paper Series No. 03-07
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Purdue University
Shimbo, Kazuhiro
Cornell University
Posted:
03 Oct 07
632
(18,509) 		12
16.  
A Liquidity Based Model for Asset Price Bubbles | Show Abstract | Download |
Quantitative Finance, Forthcoming, Johnson School Research Paper Series No. 14-2010
Accepted Paper Series
Protter, Philip
affiliation not provided to SSRN
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Roch, Alexandre F.
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Posted:
02 Mar 10
Last Revised:
08 Sep 11
463
(28,152) 		5
17.  
Is There a Bubble in Linkedin's Stock Price? | Show Abstract | Download |
Johnson School Research Paper Series No. 28-2011
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Kchia, Younes
Ecole Polytechnique, Paris
Protter, Philip
Purdue University
Posted:
07 Jun 11
458
(28,571) 		1
18.   Incl. Electronic Paper
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Cornell University
Posted:
20 Apr 10
Last Revised:
10 Jan 13
396
(34,403) 		3
19.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Li, Hao
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
20 Mar 12
Last Revised:
05 Nov 12
363
(38,305) 		1
20.  
The Third Fundamental Theorem of Asset Pricing | Show Abstract | Download |
Johnson School Research Paper Series No. 1-2012
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
18 Feb 12
Last Revised:
15 Jun 12
358
(38,945) 		1
21.  
Financial Derivatives Pricing: Selected Works of Robert Jarrow | Show Abstract | Download |
Johnson School Research Paper Series No. #42-09
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
11 Sep 09
Last Revised:
26 Oct 09
326
(43,635) 		 
22.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Cornell University
Posted:
10 May 10
285
(51,083) 		1
23.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Tyagi, Vikrant
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
20 Jun 05
261
(56,384) 		 
24.  
Capital Adequacy Rules, Catastrophic Firm Failure, and Systemic Risk | Show Abstract | Download |
Johnson School Research Paper Series No. 5-2012
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
16 Jun 12
256
(57,591) 		 
25.  
Optimal Trading of Arbitrage Opportunities with Market Impact | Show Abstract | Download |
Johnson School Research Paper Series No. 20-2010
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
20 Apr 10
221
(67,429) 		 
26.  
Variance and Volatility Swaps: Bubbles and Fundamental Prices | Show Abstract | Download |
Johnson School Research Paper Series No. 30-2010
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Cornell University
Larsson, Martin
Cornell University
Kchia, Younes
affiliation not provided to SSRN
Posted:
23 Jun 10
212
(70,349) 		1
27.  
A Leverage Ratio Rule for Capital Adequacy | Show Abstract | Download |
Johnson School Research Paper Series No. 6-2012
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
16 Jun 12
Last Revised:
29 Sep 12
200
(74,668) 		 
28.  
Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia | Show Abstract | Download |
FDIC, Center For Financial Research Working Paper No. WP 2007-02
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Posted:
22 Feb 07
191
(78,106) 		6
29.   Incl. Electronic Paper
Ascheberg, Marius
Goethe University Frankfurt
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Kraft, Holger
Goethe University Frankfurt
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
04 Dec 10
Last Revised:
07 Feb 13
184
(81,024) 		 
30.  
Pricing Treasury Inflation Protected Securities and Related Derivatives Using an Hjm Model | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, pp. 337-359, June 2003
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
06 Oct 04
Last Revised:
03 Feb 11
155
(94,976) 		29
31.  
Foreign Currency Bubbles | Show Abstract | Download |
Johnson School Research Paper Series No. 29-2010
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Cornell University
Posted:
21 Jun 10
150
(97,805) 		2
32.  
The Cost of Operational Risk Loss Insurance | Show Abstract | Download |
Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Oxman, Jeffrey
University of St. Thomas (Minnesota) - University of St. Thomas, Minneapolis
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
07 Feb 11
Last Revised:
27 Mar 11
148
(98,999) 		1
33.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Cornell University
Diener, Nicolas
Barclays - Barclays Capital - New York
Posted:
20 Apr 10
Last Revised:
16 Mar 11
132
(109,096) 		 
34.  
Financial Crises and Economic Growth | Show Abstract | Download |
Johnson School Research Paper Series No. 37-2011
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
21 Sep 11
Last Revised:
07 Feb 12
117
(120,217) 		 
35.  
Liquidity Risk and the Term Structure of Interest Rates | Show Abstract | Download |
Johnson School Research Paper Series No. 16-2013
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Roch, Alexandre F.
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Posted:
23 Feb 13
Last Revised:
13 May 13
93
(141,835) 		1
36.  
Inaltekin, Hazer
University of Melbourne
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Saglam, Mehmet
Princeton University - Bendheim Center for Finance
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
13 Apr 11
Last Revised:
07 Jun 11
89
(146,053) 		 
37.  
Modeling Credit Risk with Partial Information | Show Abstract | Download |
Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013
Working Paper Series
Cetin, Umut
Cornell University - Cornell Theory Center (CTC)
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Columbia University
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
14 Nov 12
Last Revised:
07 Feb 13
43
(213,451) 		21
38.  
A Generalized Multiple-Factor Asset Pricing Model | Show Abstract | Download |
Johnson School Research Paper Series No. 12-2013
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
27 Apr 13
38
(223,750) 		 
39.  
Put Option Premiums and Coherent Risk Measures | Show Abstract | Download |
Mathematical Finance, Vol. 12, pp. 135-142, 2002
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
15 Nov 02
37
(225,959) 		5
40.  
Protter, Philip
Columbia University
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
16 May 13
29
(254,665) 		 
41.  
Bank Runs and Self-Insured Bank Deposits | Show Abstract | Download |
Johnson School Research Paper Series No. 17-2013
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Xu, Liheng
University of Melbourne - Faculty of Business and Economics
Posted:
27 Mar 13
Last Revised:
13 May 13
18
(281,914) 		 
42.  
The Zero-Lower Bound on Interest Rates: Myth or Reality? | Show Abstract | Download |
Johnson School Research Paper Series No. 13-2013
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
30 Apr 13
17
(285,490) 		 
43.   Incl. Electronic Paper
Hsieh, PeiLin Billy
Cornell University - Department of Economics
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
13 May 13
14
(296,213) 		 
44.  
Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices | Show Abstract | Download |
Journal of Risk, Vol. 5, No. 1, Fall 2002
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Janosi, Tibor
Cornell University - Department of Computer Science
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
06 Oct 04
Last Revised:
12 Nov 12
9
(313,229) 		30
45.  
Estimating Default Probabilities Implicit in Equity Prices | Show Abstract | Download |
Journal of Investment Management, Vol. 1, No 1, First Quarter 2003
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Janosi, Tibor
Cornell University - Department of Computer Science
Yildirim, Yildiray
Syracuse University - Whitman School of Management
Posted:
02 Apr 04
Last Revised:
12 Nov 12
5
(324,798) 		9
46.  
The Economics of Credit Default Swaps | Show Abstract |
Annual Review of Financial Economics, Vol. 3, pp. 235-257, 2011
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
10 Jan 12
 
47.  
Credit Risk Models | Show Abstract |
Annual Review of Financial Economics, Vol. 1, pp. 37-68, 2009
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
04 Jun 10
 
48.  
The Term Structure of Interest Rates | Show Abstract |
Annual Review of Financial Economics, Vol. 1, pp. 69-96, 2009
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
04 Jun 10
 
49.  
Forward and Futures Prices with Bubbles | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 901-924, 2009
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Purdue University
Posted:
01 Dec 09
 
50.  
Option Pricing with Random Volatilities in Complete Markets | Show Abstract |
Review of Quantitative Finance and Accounting, Vol. 4, No. 1, pp. 5-17, 1994
Accepted Paper Series
Eisenberg, Larry
New Jersey Institute of Technology
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
02 Jan 07
Last Revised:
27 Aug 08
 
51.  
Estimating the Value of Delivery Options in Futures Contracts | Show Abstract |
Journal of Financial Research, Forthcoming
Accepted Paper Series
Hranaiova, Jana
Public Company Accounting Oversight Board
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Tomek, William G.
Cornell University - School of Applied Economics and Management
Posted:
10 Oct 04
 
52.  
Structural vs Reduced Form Models: A New Information Based Perspective | Show Abstract |
Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Protter, Philip
Purdue University
Posted:
26 Jul 04
 
53.  
Market Pricing of Deposit Insurance | Show Abstract |
Journal of Financial Services Research, Vol. 24, No. 2-3, pp. 93-119
Accepted Paper Series
Duffie, Darrell
Stanford University - Graduate School of Business
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Purnanandam, Amiyatosh K.
University of Michigan - Stephen M. Ross School of Business
Posted:
17 Feb 04
 
54.  
Default Parameter Estimation Using Market Prices | Show Abstract |
Financial Analysts Journal, Vol. 57, No. 5, September/October 2001
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
19 Nov 01
 
55.  
The Second Fundamental Theorem of Asset Pricing ? A New Approach | Show Abstract |
Review of Financial Studies, Vol. 12, Issue 5
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Battig, Robert J.
Deceased
Posted:
10 Jul 00
 
56.  
Pricing Derivatives on Financial Securities Subject to Credit Risk | Show Abstract |
JOURNAL OF FINANCE, VOL. 50, NO. 1, MARCH 1995
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Turnbull, Stuart M.
University of Houston - C.T. Bauer College of Business
Posted:
10 May 00
 
57.  
Derivative Security Markets, Market Manipulation, and Option Pricing Theory | Show Abstract |
J of Financial and Quantitative Analysis, Vol. 29 No. 2, June 1994
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
26 Oct 99
 
58.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Cherian, Joseph
NUS Business School
Posted:
10 Sep 99
 
59.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Jacquier, Eric
MIT Sloan
Posted:
30 Aug 99
 
60.  
Hedging Contingent Claims on Semimartingales | Show Abstract |
Finance and Stochastics, Vol. 3, Iss. 1, 1999
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
11 Dec 98
 
61.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Chatterjea, Arkadev
affiliation not provided to SSRN
Posted:
13 Jul 98
 
62.  
Market Manipulation, Price Bubbles and a Model of the U.S. Treasury Securities Auction Market | Show Abstract |
JOURNAL OF FINANCIAL AND QUANITATIVE ANALYSIS, June 1998
Accepted Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Chatterjea, Arkadev
affiliation not provided to SSRN
Posted:
15 Jun 98
 
63.  
Model Error in Contingent Claim Models (Dynamic Evaluation) | Show Abstract |
Rodney L. White Center Working Paper No. 07-96
Working Paper Series
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Jacquier, Eric
MIT Sloan
Posted:
13 Jun 98
 
64.  
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Turnbull, Stuart M.
University of Houston - C.T. Bauer College of Business
Posted:
08 May 98
 
65.   Incl. Electronic Paper
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Lando, David
Copenhagen Business School - Department of Finance
Turnbull, Stuart M.
University of Houston - C.T. Bauer College of Business
Posted:
22 Sep 95
Last Revised:
30 Jan 98
 

Records 1 - 65 of 65 matches
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