Financial Derivatives Pricing: Selected Works of Robert Jarrow

2 Pages Posted: 11 Sep 2009 Last revised: 26 Oct 2009

See all articles by Robert A. Jarrow

Robert A. Jarrow

Cornell University - Samuel Curtis Johnson Graduate School of Management

Date Written: October 8, 2008

Abstract

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.

Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.

Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

Keywords: Derivatives, Options, Hedging, HJM, Black–Scholes, Forwards, Futures, Martingale Measure, Calls, Puts, Market Manipulation, Margin Requirements

Suggested Citation

Jarrow, Robert A., Financial Derivatives Pricing: Selected Works of Robert Jarrow (October 8, 2008). Johnson School Research Paper Series No. #42-09, Available at SSRN: https://ssrn.com/abstract=1470514 or http://dx.doi.org/10.2139/ssrn.1470514

Robert A. Jarrow (Contact Author)

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

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

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
479
Abstract Views
1,652
Rank
109,501
PlumX Metrics