Robert A. Jarrow

Cornell University - Samuel Curtis Johnson Graduate School of Management

Ronald P. and Susan E. Lynch Professor of Investment Management, Professor of Finance and Economics

Department of Finance

Ithaca, NY 14853

United States

  • Cornell University - Samuel Curtis Johnson Graduate School of Management

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SCHOLARLY PAPERS

103

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271

Scholarly Papers (103)

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1.

The Subprime Credit Crisis of 07

Number of pages: 56 Posted: 25 Mar 2008 Last Revised: 15 Jun 2016
Stuart M. Turnbull, Michel Crouhy and Robert A. Jarrow
University of Houston - C.T. Bauer College of Business, Natixis and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 9,417 (1,026)
Citation 24

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Subprime mortgages, SIVs, monolines, transparency, valuation

2.

Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Number of pages: 48 Posted: 25 May 2003
Robert A. Jarrow, Steve Hogan, Melvyn Teo and Mitch Warachka
Cornell University - Samuel Curtis Johnson Graduate School of Management, Credit Suisse First Boston, Singapore Management University - Lee Kong Chian School of Business and Chapman University - The George L. Argyros School of Business & Economics
Downloads 5,711 (2,397)
Citation 30

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market efficiency, statistical arbitrage, arbitrage, momentum, value

3.

Bankruptcy Prediction With Industry Effects

Number of pages: 49 Posted: 20 Oct 2001
Sudheer Chava and Robert A. Jarrow
Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,545 (3,592)
Citation 67

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Bankruptcy Prediction, Hazard Models, Industry Effects, Reduced Form Credit Risk Models

4.

A Dysfunctional Role of High Frequency Trading in Electronic Markets

Johnson School Research Paper Series No. 08-2011
Number of pages: 16 Posted: 09 Mar 2011 Last Revised: 30 Jun 2011
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 3,613 (5,293)
Citation 37

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5.

How to Detect an Asset Bubble

Johnson School Research Paper Series No. 28-2010
Number of pages: 32 Posted: 07 Jun 2010 Last Revised: 16 Mar 2011
Robert A. Jarrow, Younes Kchia and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management, affiliation not provided to SSRN and Cornell University
Downloads 3,612 (5,295)
Citation 20

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6.

The Economics of Credit Default Swaps (CDS)

Johnson School Research Paper Series No. 31-2010
Number of pages: 29 Posted: 21 Jul 2010 Last Revised: 21 Nov 2010
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,522 (9,365)
Citation 12

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CDS, Collateral, Defaults, Bonds, Insurance

7.

The HJM Model: Its Past, Present, and Future, Keynote Address Iafe 1997 Conference

Number of pages: 10 Posted: 03 Jun 1998
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,500 (9,496)
Citation 2

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8.

Default Risk and Diversification: Theory and Empirical Implications

Number of pages: 34 Posted: 01 Jan 2001
Robert A. Jarrow, David Lando and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,645 (18,466)
Citation 26

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9.

Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications

Number of pages: 54 Posted: 03 Feb 2005
Robert A. Jarrow, Melvyn Teo, Yiu Kuen Tse and Mitch Warachka
Cornell University - Samuel Curtis Johnson Graduate School of Management, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and Chapman University - The George L. Argyros School of Business & Economics
Downloads 1,559 (20,013)
Citation 4

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Market Efficiency, Financial Anomalies

10.

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

Downloads 1,240 (28,195)
Citation 15

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

Number of pages: 45 Posted: 22 Mar 2007
Robert A. Jarrow, Haitao Li, Sheen Liu and Chunchi Wu
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Michigan - Stephen M. Ross School of Business, Youngstown State University - Williamson College of Business Administration and SUNY at Buffalo - School of Management
Downloads 667 (65,505)
Citation 13

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Callable bond, reduced-form

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 25 Mar 2008 Last Revised: 12 Oct 2008
Robert A. Jarrow, Haitao Li, Sheen Liu and Chunchi Wu
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Michigan - Stephen M. Ross School of Business, Washington State University - Vancouver and SUNY at Buffalo - School of Management
Downloads 573 (79,427)
Citation 3

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11.

The Meaning of Market Efficiency

Johnson School Research Paper Series No. 07-2011
Number of pages: 35 Posted: 10 Mar 2011 Last Revised: 01 Sep 2011
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zürich - Department of Mathematics
Downloads 1,160 (31,117)

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efficient markets, information sets, strong-form efficiency, semi-strong form efficiency, weak-form efficiency, martingale measures, local martingale measures, no arbitrage, no dominance, economic equilibrium

12.

Pricing Treasury Inflation Protected Securities and Related Derivatives Using an Hjm Model

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, pp. 337-359, June 2003
Number of pages: 34 Posted: 06 Oct 2004 Last Revised: 03 Feb 2011
Robert A. Jarrow and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 1,146 (31,668)
Citation 11

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13.

Counterparty Risk and the Pricing of Defaultable Securities

Number of pages: 46 Posted: 01 Jan 2000
Robert A. Jarrow and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,125 (32,517)
Citation 40

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14.

Risk Measures and the Impact of Asset Price Bubbles

Journal of Risk, 2015
Number of pages: 23 Posted: 20 Oct 2013 Last Revised: 10 Jun 2016
Robert A. Jarrow and Felipe Bastos G. Silva
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Missouri, Columbia
Downloads 1,055 (35,539)
Citation 1

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15.

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates

Johnson School Research Paper No. 2-2012
Number of pages: 45 Posted: 20 Mar 2012 Last Revised: 05 Nov 2012
Robert A. Jarrow and Hao Li
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,043 (36,115)
Citation 9

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Quantitative easing, the term structure of interest rates, arbitrage-free models, large trader, quantity impact on price

16.

Asset Price Bubbles in Incomplete Markets

Johnson School Research Paper Series No. 03-07
Number of pages: 45 Posted: 03 Oct 2007
Robert A. Jarrow, Philip Protter and Kazuhiro Shimbo
Cornell University - Samuel Curtis Johnson Graduate School of Management, Purdue University and Cornell University
Downloads 800 (52,184)
Citation 5

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17.

Exploring Mispricing in the Term Structure of CDS Spreads

Forthcoming, Review of Finance
Number of pages: 104 Posted: 06 Nov 2015 Last Revised: 01 Aug 2019
Robert A. Jarrow, Haitao Li, Xiaoxia Ye and May Hu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Exeter Business School - Department of Finance and Deakin University
Downloads 699 (62,552)
Citation 13

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Credit default swaps, mispricing, statistical arbitrage, affine models, market-neutral strategy, hedge funds

18.

The Third Fundamental Theorem of Asset Pricing

Johnson School Research Paper Series No. 1-2012
Number of pages: 10 Posted: 18 Feb 2012 Last Revised: 15 Jun 2012
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 688 (63,801)
Citation 2

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no arbitrage, completeness, no dominance, economic equilibrium, market effciency, martingale measures, local martingales

19.

The Martingale Theory of Bubbles: Implications for the Valuation of Derivatives and Detecting Bubbles

Johnson School Research Paper Series No. 25-2010
Number of pages: 19 Posted: 10 May 2010
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 611 (74,194)
Citation 5

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20.

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Downloads 601 (75,739)
Citation 1

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Johnson School Research Paper Series No. 19-2010
Number of pages: 21 Posted: 20 Apr 2010
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 360 (138,380)
Citation 2

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Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Johnson School Research Paper Series No. 01-2011
Number of pages: 21 Posted: 09 Jan 2011
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 241 (210,276)
Citation 1

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Jensen's alpha, betas, excess expected return, state price density, arbitrage opportunities, martingale measures, local martingale measures, systematic risk, performance evaluation, asset pricing model, CAPM, ICAPM, CCAPM, APT.

21.

A Leverage Ratio Rule for Capital Adequacy

Johnson School Research Paper Series No. 6-2012
Number of pages: 10 Posted: 16 Jun 2012 Last Revised: 29 Sep 2012
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 512 (92,449)
Citation 3

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22.

Inflation-Adjusted Bonds, Swaps, and Derivatives

Downloads 489 (97,766)

Inflation-Adjusted Bonds, Swaps, and Derivatives

Number of pages: 33 Posted: 08 Apr 2022 Last Revised: 18 Jan 2023
Robert A. Jarrow and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 370 (134,129)

Abstract:

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Inflation-adjusted Bonds, Inflation derivatives, Inflation risk premium

Inflation-Adjusted Bonds, Swaps and Derivatives

Number of pages: 33 Posted: 22 Mar 2023
Robert A. Jarrow and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 119 (387,201)

Abstract:

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23.

Financial Derivatives Pricing: Selected Works of Robert Jarrow

Johnson School Research Paper Series No. #42-09
Number of pages: 2 Posted: 11 Sep 2009 Last Revised: 26 Oct 2009
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 463 (104,384)

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

24.

Change of Numeraires and Relative Asset Price Bubbles

Number of pages: 29 Posted: 16 May 2013 Last Revised: 14 May 2015
Roseline Bilina-Falafala, Robert A. Jarrow and Philip Protter
Statistics Department, Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 447 (108,747)
Citation 1

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Bubble, No Free Lunch with Vanishing Risk, Arbitrage, Risk Neutral Measure, Girsanov's Theorem, Bond Bubbles, Change of Numéraire

25.

Capital Adequacy Rules, Catastrophic Firm Failure, and Systemic Risk

Johnson School Research Paper Series No. 5-2012
Number of pages: 15 Posted: 16 Jun 2012
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 439 (111,095)
Citation 3

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26.

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

Johnson School Research Paper Series No. 14-2013
Number of pages: 61 Posted: 13 May 2013 Last Revised: 04 Jun 2017
PeiLin Billy Hsieh and Robert A. Jarrow
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 438 (111,393)

Abstract:

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bid-ask spread, implied volatility, maturity effect, options

27.

Liquidity Suppliers and High Frequency Trading

Number of pages: 13 Posted: 15 Dec 2013
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 420 (117,022)
Citation 1

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High frequency trading, liquidity costs, front running, martingale measures, trading strategies

28.

Tax Liens: A Novel Application of Asset Pricing Theory

Number of pages: 38 Posted: 20 Jun 2005
Robert A. Jarrow and Vikrant Tyagi
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 357 (140,695)

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Tax Liens, Tax Certificates, Asset Pricing, Investment

29.

Optimal Cash Holdings Under Heterogeneous Beliefs

Number of pages: 39 Posted: 14 Jun 2014 Last Revised: 08 Jul 2015
Robert A. Jarrow, Andrey Krishenik and Andreea Minca
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - School of Operations Research and Industrial Engineering and Cornell University
Downloads 348 (144,643)
Citation 1

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Funding liquidity, Cash balances, Debt capacity, Optimal investment under market frictions, Stackelberg equilibrium, Heterogeneous creditors

30.

Variance and Volatility Swaps: Bubbles and Fundamental Prices

Johnson School Research Paper Series No. 30-2010
Number of pages: 22 Posted: 23 Jun 2010
Robert A. Jarrow, Philip Protter, Martin Larsson and Younes Kchia
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University, Cornell University and affiliation not provided to SSRN
Downloads 348 (144,643)
Citation 1

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31.

The Valuation of Corporate Coupon Bonds

Number of pages: 47 Posted: 27 Nov 2018 Last Revised: 05 Jan 2022
Jens Hilscher, Robert A. Jarrow and Donald R. van Deventer
University of California, Davis, Cornell University - Samuel Curtis Johnson Graduate School of Management and Kamakura Corporation
Downloads 337 (149,692)
Citation 2

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corporate bonds, default probabilities, credit spreads, recovery rates, illiquidity

32.

A Generalized Multiple-Factor Asset Pricing Model

Johnson School Research Paper Series No. 12-2013
Number of pages: 17 Posted: 27 Apr 2013 Last Revised: 11 Jun 2013
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 316 (160,312)

Abstract:

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beta model, multiple-factor model, arbitrage pricing, stock alpha

33.

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory

Number of pages: 15 Posted: 20 Mar 2017
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 305 (166,387)
Citation 2

Abstract:

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closed-end funds, ETFs, asset price bubbles, no arbitrage

34.

Bubbles and Multiple-Factor Asset Pricing Models

Number of pages: 18 Posted: 05 Aug 2015 Last Revised: 13 Nov 2015
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 303 (167,553)
Citation 4

Abstract:

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beta model, multiple-factor model, price bubbles, arbitrage pricing, stock alpha

35.

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Downloads 299 (169,900)

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Johnson School Research Paper Series No. 18-2011
Number of pages: 39 Posted: 04 Dec 2010 Last Revised: 25 May 2015
Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 299 (168,864)

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Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Forthcoming
Posted: 07 Feb 2013 Last Revised: 25 May 2015
Marius Ascheberg, Robert A. Jarrow, Holger Kraft and Yildiray Yildirim
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

Abstract:

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subprime, home prices, mortgage defaults

36.

Financial Crises and Economic Growth

Johnson School Research Paper Series No. 37-2011
Number of pages: 34 Posted: 21 Sep 2011 Last Revised: 31 May 2013
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 293 (173,569)
Citation 1

Abstract:

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37.

Optimal Trading of Arbitrage Opportunities with Market Impact

Johnson School Research Paper Series No. 20-2010
Number of pages: 19 Posted: 20 Apr 2010
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 290 (175,475)
Citation 1

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Arbitrageurs, Arbitrage Opportunities, Optimal Trading Strategies, Liquidity Risk, Quantity Impact On Price

38.

Computing Present Values: Capital Budgeting Done Correctly

Number of pages: 15 Posted: 25 Jan 2014
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 280 (181,904)

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present value, no arbitrage, capital budgeting

39.

High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model

The Quarterly Journal of Finance, Vol. 10, No. 4 (2020) 2050017 (52 pages), World Scientific Publishing Company and Midwest Finance Association. DOI: 10.1142/S2010139220500172.
Number of pages: 49 Posted: 21 May 2018 Last Revised: 26 Apr 2021
Liao Zhu, Sumanta Basu, Robert A. Jarrow and Martin T. Wells
Cornell University - Department of Statistics and Data Science, Cornell University - Department of Statistical Science, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Law School
Downloads 271 (187,935)

Abstract:

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Asset pricing models, AMF model, GIBS algorithm, high-dimensional statistics, machine learning

40.

Foreign Currency Bubbles

Johnson School Research Paper Series No. 29-2010
Number of pages: 18 Posted: 21 Jun 2010
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 267 (190,828)
Citation 1

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41.

Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia

FDIC, Center For Financial Research Working Paper No. WP 2007-02
Number of pages: 31 Posted: 22 Feb 2007
Robert A. Jarrow, Dilip B. Madan and Haluk Unal
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 267 (190,828)
Citation 4

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Deposit insurance, Procyclicality, Default probabilty, Loss distributions

42.

Positive Alphas and a Generalized Multiple-Factor Asset Pricing Model

Number of pages: 23 Posted: 19 Dec 2013 Last Revised: 02 Oct 2015
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 264 (193,036)
Citation 13

Abstract:

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beta model, multiple-factor model, arbitrage pricing, stock alpha

43.

The Zero-Lower Bound on Interest Rates: Myth or Reality?

Johnson School Research Paper Series No. 13-2013
Number of pages: 8 Posted: 30 Apr 2013
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 247 (206,108)
Citation 1

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zero-lower bound on interest rates, monetary policy, quantitative easing, term structure of interest rate models, the HJM model, convenience yields

44.

The Cost of Operational Risk Loss Insurance

Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011
Number of pages: 27 Posted: 07 Feb 2011 Last Revised: 27 Mar 2011
Robert A. Jarrow, Jeffrey Oxman and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York
Downloads 237 (214,524)
Citation 11

Abstract:

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45.

Asset Price Bubbles, Market Liquidity and Systemic Risk

Number of pages: 48 Posted: 01 Mar 2018 Last Revised: 01 Sep 2019
Robert A. Jarrow and Sujan Lamichhane
Cornell University - Samuel Curtis Johnson Graduate School of Management and International Monetary Fund (IMF)
Downloads 235 (216,342)
Citation 25

Abstract:

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asset price equilibrium, bubbles, market liquidity, systemic risk,heterogeneous agents/beliefs, borrowing/trading constraints

46.

The Distributional Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions

Number of pages: 40 Posted: 24 Feb 2017 Last Revised: 10 Mar 2019
Robert A. Jarrow and Sujan Lamichhane
Cornell University - Samuel Curtis Johnson Graduate School of Management and International Monetary Fund (IMF)
Downloads 235 (216,342)

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Unconventional monetary policy, yield curve control, arbitrage, helicopter money, term structure of interest rates, policy externality.

47.

Asset Market Equilibrium with Liquidity Risk

Number of pages: 36 Posted: 02 Sep 2015 Last Revised: 13 Dec 2017
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 231 (220,014)
Citation 3

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Liquidity risk, asset market equilibrium, systematic risk, intertemporal CAPM, consumption CAPM

48.

Modeling Credit Risk with Partial Information

Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013
Number of pages: 14 Posted: 14 Nov 2012 Last Revised: 07 Feb 2013
Umut Cetin, Robert A. Jarrow, Philip Protter and Yildiray Yildirim
Cornell University - Cornell Theory Center (CTC), Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 221 (229,486)
Citation 3

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Default risk, Azema martinglae, Brownian excursion

49.

A Capital Asset Pricing Model (CAPM) with Trading Constraints and Price Bubbles

Number of pages: 35 Posted: 12 Jun 2017 Last Revised: 19 Aug 2022
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 218 (232,465)
Citation 1

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Trading Constraints, Price Bubbles, Short Sales, Margin Requirements, Intertemporal CAPM, Consumption CAPM

50.

Relating Top Down with Bottom Up Approaches in the Evaluation of ABS with Large Collateral Pools

Johnson School Research Paper Series No. 21-2010
Number of pages: 23 Posted: 20 Apr 2010 Last Revised: 16 Mar 2011
Robert A. Jarrow, Philip Protter and Nicolas Diener
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University and Barclays - Barclays Capital - New York
Downloads 216 (234,417)
Citation 1

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51.

The Low-volatility Anomaly and the Adaptive Multi-Factor Model

Cornell Legal Studies Research Paper No. 21-21
Number of pages: 40 Posted: 04 May 2021 Last Revised: 03 Nov 2021
Robert A. Jarrow, Rinald Murataj, Martin T. Wells and Liao Zhu
Cornell University - Samuel Curtis Johnson Graduate School of Management, T Rowe Price, Cornell University - Law School and Cornell University - Department of Statistics and Data Science
Downloads 203 (248,203)
Citation 2

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Low-volatility anomaly, AMF model, GIBS algorithm, high-dimensional statistics, machine learning, False Discovery Rate.

52.

An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles

Number of pages: 29 Posted: 12 Jun 2017 Last Revised: 13 Dec 2017
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 181 (275,009)
Citation 5

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Intertemporal CAPM, Consumption CAPM, Asset Price Bubbles, Diffusion and Jump Processes

53.

Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

Journal of Risk, Vol. 5, No. 1, Fall 2002
Number of pages: 39 Posted: 06 Oct 2004 Last Revised: 01 Jun 2013
Robert A. Jarrow, Tibor Janosi and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York
Downloads 178 (279,114)
Citation 1

Abstract:

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Credit Risk

54.

Housing Prices and the Optimal Time-on-The-Market Decision

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
Hazer Inaltekin, Robert A. Jarrow, Mehmet Saglam and Yildiray Yildirim
University of Melbourne, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Cincinnati - Department of Finance - Real Estate and Zicklin School of Business, Baruch College - The City University of New York
Downloads 173 (286,171)

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Real estate market, Price evolution, Optimal waiting time

55.

Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases

Number of pages: 37 Posted: 26 Apr 2014 Last Revised: 26 Jan 2018
Thomas Emmerling, Robert A. Jarrow and Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 164 (299,419)

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Quantitative easing, portfolio balance, equity risk premium, bond risk premium

56.

Bank Runs and Self-Insured Bank Deposits

Johnson School Research Paper Series No. 17-2013
Number of pages: 23 Posted: 27 Mar 2013 Last Revised: 21 Jan 2015
Robert A. Jarrow and Liheng Xu
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Melbourne - Faculty of Business and Economics
Downloads 159 (307,287)

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bank runs, deposit insurance, liquid and illiquid assets, Nash-equilibrium

57.

Credit Risk, Liquidity, and Bubbles

Number of pages: 12 Posted: 21 Jun 2018
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 152 (319,223)

Abstract:

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58.

Estimating Default Probabilities Implicit in Equity Prices

Journal of Investment Management, Vol. 1, No 1, First Quarter 2003
Number of pages: 38 Posted: 02 Apr 2004 Last Revised: 12 Nov 2012
Robert A. Jarrow, Tibor Janosi and Yildiray Yildirim
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York
Downloads 152 (319,223)

Abstract:

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Credit risk

59.

Testing for Asset Price Bubbles: An Invariance Theorem

Number of pages: 35 Posted: 31 Mar 2019
Robert A. Jarrow, Philip Protter and Jaime San Martin
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and University of Chile
Downloads 138 (344,792)
Citation 1

Abstract:

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60.

On the Existence of Competitive Equilibrium in Frictionless and Incomplete Stochastic Asset Markets

Number of pages: 29 Posted: 11 Nov 2015 Last Revised: 09 Jun 2017
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 134 (352,786)
Citation 5

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Existence of equilibrium, stochastic economies, bubbles, heterogeneous beliefs, incomplete markets

61.

Facing an Arbitrage Opportunity: Trade or Wait?

Number of pages: 30 Posted: 11 Dec 2014
Robert A. Jarrow, Haitao Li, Lai Wei and Yongpei Guan
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Florida and University of Florida
Downloads 131 (358,822)

Abstract:

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62.

A Bottom-up, Reduced Form Credit Risk Model Approach for the Determination of Collateralized Loan Obligation Capital

Number of pages: 28 Posted: 22 Mar 2023
Robert A. Jarrow and Donald R. van Deventer
Cornell University - Samuel Curtis Johnson Graduate School of Management and Kamakura Corporation
Downloads 123 (376,181)

Abstract:

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63.

On Aggregation and Representative Agent Equilibria

Number of pages: 19 Posted: 04 Dec 2015 Last Revised: 13 Dec 2017
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zürich - Department of Mathematics
Downloads 111 (405,372)
Citation 8

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Representative agent; Aggregation; Radner equilibrium

64.

Specification Tests of Calibrated Option Pricing Models

Johnson School Research Paper Series No. 19-2013
Number of pages: 39 Posted: 03 Jun 2013
Robert A. Jarrow and Simon Kwok
Cornell University - Samuel Curtis Johnson Graduate School of Management and The University of Sydney - School of Economics
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65.

Portfolio Balance Effects and the Equity Market

Number of pages: 34 Posted: 29 Oct 2015 Last Revised: 18 Apr 2022
Thomas Emmerling, Robert A. Jarrow and Yildiray Yildirim
Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
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Quantitative easing, portfolio balance channel, equity risk premium

66.

Portfolio Optimization in the Presence of Asset Price Bubbles

Number of pages: 31 Posted: 22 Mar 2023
Robert A. Jarrow and Yuxuan Liu
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - School of Operations Research and Information Engineering
Downloads 97 (445,283)

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price bubbles, portfolio optimization, local martingale measures, trading strategies

67.

Fair Microfinance Loan Rates

Number of pages: 13 Posted: 01 Mar 2018
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 94 (454,525)

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68.

Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles

Number of pages: 40 Posted: 30 Jan 2018
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 93 (457,688)
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Liquidity risk, trading constraints, asset price bubbles, asset

69.

Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk

Jarrow, R., Protter, P. & Quintos, A. Computing the probability of a financial market failure: a new measure of systemic risk. Ann Oper Res (2022). https://doi.org/10.1007/s10479-022-05146-9
Number of pages: 31 Posted: 25 Oct 2021 Last Revised: 24 Dec 2022
Robert A. Jarrow, Philip Protter and Alejandra Quintos
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and University of Wisconsin - Madison
Downloads 91 (464,046)

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Systemic risk, market failure probabilities, G-SIBs, multivariate Cox processes

70.

Capital Asset Market Equilibrium With Liquidity Risk, Portfolio Constraints, and Asset Price Bubbles

Number of pages: 38 Posted: 19 Aug 2018
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 80 (501,814)
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Liquidity Risk, Portfolio Constraints, Asset Price Bubbles, Asset Market Equilibrium, Systematic Risk, ICAPM, CCAPM

71.

The No-arbitrage Pricing of Non-traded Assets

Number of pages: 21 Posted: 31 Mar 2023 Last Revised: 17 Jul 2023
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 74 (524,781)

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arbitrage pricing, non-traded assets, idiosyncratic risk, private debt, private equity, insurance contracts, real estate, real options

72.

Filtration Reduction and Incomplete Markets

Number of pages: 43 Posted: 22 Mar 2023 Last Revised: 07 May 2023
Karen Grigorian and Robert A. Jarrow
Operations Research and Information Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 71 (536,959)

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73.

Informational Efficiency Under Short Sale Constraints

Number of pages: 24 Posted: 07 Jan 2014
Robert A. Jarrow and Martin Larsson
Cornell University - Samuel Curtis Johnson Graduate School of Management and ETH Zürich - Department of Mathematics
Downloads 70 (541,094)
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informational efficiency, short sales, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales, supermartingales, local martingale deflators

74.

A Study on Asset Price Bubble Dynamics: Explosive Trend or Quadratic Variation?

Number of pages: 60 Posted: 14 Feb 2023 Last Revised: 17 Sep 2023
Robert A. Jarrow and Simon Kwok
Cornell University - Samuel Curtis Johnson Graduate School of Management and The University of Sydney
Downloads 64 (567,263)

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asset price bubble, explosion, quadratic variation, realized volatility, strict local martingale, explosive autoregressive model

75.

On the Existence of Competitive Equilibrium in Frictionless and Incomplete Stochastic Asset

Number of pages: 21 Posted: 21 Oct 2015
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 51 (631,602)

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76.

Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model

Cornell Legal Studies Research Paper No. 21-22
Number of pages: 32 Posted: 26 Apr 2021 Last Revised: 03 Nov 2021
Liao Zhu, Robert A. Jarrow and Martin T. Wells
Cornell University - Department of Statistics and Data Science, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Law School
Downloads 40 (696,787)

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Asset pricing, Adaptive Multi-Factor model, GIBS algorithm, high-dimensional statistics, machine learning.

77.

Filtration Reduction and Completeness in Brownian Motion Models

Number of pages: 42 Posted: 22 Mar 2023 Last Revised: 08 Jun 2023
Karen Grigorian and Robert A. Jarrow
Operations Research and Information Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 28 (783,176)

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78.

Asset Price Bubbles and Risk Management

Journal of Risk, Forthcoming
Number of pages: 17 Posted: 06 Oct 2017
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
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asset price bubbles, derivatives, portfolio optimization, optimal capital determination, risk-neutral valuation, hedging

79.

The Economics of Insurance: A Derivatives-Based Approach

Annual Review of Financial Economics, Vol. 13, pp. 79-110, 2021
Posted: 09 Nov 2021
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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80.

Is There a Bubble in Linkedin's Stock Price?

Johnson School Research Paper Series No. 28-2011, https://doi.org/10.3905/jpm.2011.38.1.125
Posted: 21 May 2019
Robert A. Jarrow, Younes Kchia and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management, Ecole Polytechnique, Paris and Purdue University

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81.

Risk Management Models: Construction, Testing, Usage

Johnson School Research Paper Series No. 38-2010, https://doi.org/10.3905/jod.2011.2011.1.011
Posted: 20 May 2019
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
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82.

Asset Price Bubbles

Annual Review of Financial Economics, Vol. 7, pp. 201-218, 2015
Posted: 11 Dec 2015
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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83.

Forward Rate Curve Smoothing

Annual Review of Financial Economics, Vol. 6, pp. 443-458, 2014
Posted: 25 Nov 2014
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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84.

The Economics of Credit Default Swaps

Annual Review of Financial Economics, Vol. 3, pp. 235-257, 2011
Posted: 10 Jan 2012
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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85.

Credit Risk Models

Posted: 04 Jun 2010
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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86.

The Term Structure of Interest Rates

Posted: 04 Jun 2010
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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87.

Forward and Futures Prices with Bubbles

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 901-924, 2009
Posted: 01 Dec 2009
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Purdue University

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Futures, forwards, speculative bubbles, stochastic interest rates, local martingale, inverse Bessel process

88.

Option Pricing with Random Volatilities in Complete Markets

Review of Quantitative Finance and Accounting, Vol. 4, No. 1, pp. 5-17, 1994
Posted: 02 Jan 2007 Last Revised: 27 Aug 2008
Larry Eisenberg and Robert A. Jarrow
New Jersey Institute of Technology and Cornell University - Samuel Curtis Johnson Graduate School of Management

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option pricing, synthetic options, martingale measure, European call option

89.

Estimating the Value of Delivery Options in Futures Contracts

Posted: 10 Oct 2004
Jana Hranaiova, Robert A. Jarrow and William G. Tomek
Public Company Oversight Board, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - School of Applied Economics and Management

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Commodity futures, delivery option

90.

Structural vs Reduced Form Models: A New Information Based Perspective

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 2004
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Purdue University

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Credit risk, structural models, reduced form models, hazard rate models, risky debt, credit derivatives

91.

Market Pricing of Deposit Insurance

Posted: 17 Feb 2004
Darrell Duffie, Robert A. Jarrow and Amiyatosh Purnanandam
Stanford University - Graduate School of Business, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Michigan, Stephen M. Ross School of Business

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Deposit insurance pricing, risk-neutral default probability, bank failure

92.

Default Parameter Estimation Using Market Prices

Posted: 19 Nov 2001
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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93.

The Second Fundamental Theorem of Asset Pricing ? A New Approach

Review of Financial Studies, Vol. 12, Issue 5
Posted: 10 Jul 2000
Robert A. Jarrow and Robert J. Battig
Cornell University - Samuel Curtis Johnson Graduate School of Management and affiliation not provided to SSRN (deceased)

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94.

Pricing Derivatives on Financial Securities Subject to Credit Risk

JOURNAL OF FINANCE, VOL. 50, NO. 1, MARCH 1995
Posted: 10 May 2000
Robert A. Jarrow and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Houston - C.T. Bauer College of Business

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95.

Derivative Security Markets, Market Manipulation, and Option Pricing Theory

Posted: 26 Oct 1999
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management

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96.

Options Markets, Self-Fulfilling Prophecies, and Implied Volatilities

Posted: 10 Sep 1999
Robert A. Jarrow and Joseph Cherian
Cornell University - Samuel Curtis Johnson Graduate School of Management and Asia School of Business

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97.

Dynamic Evaluation of Contingent Claim Models (an Analysis of Model Error)

Posted: 30 Aug 1999
Robert A. Jarrow and Eric Jacquier
Cornell University - Samuel Curtis Johnson Graduate School of Management and Boston University School of Management

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98.

Hedging Contingent Claims on Semimartingales

Posted: 11 Dec 1998
Robert A. Jarrow and Dilip B. Madan
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Maryland - Robert H. Smith School of Business

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99.

Market Manipulation and a Model of the United States Treasury Securities Auction Market

Posted: 13 Jul 1998
Robert A. Jarrow and Arkadev Chatterjea
Cornell University - Samuel Curtis Johnson Graduate School of Management and affiliation not provided to SSRN

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100.

Market Manipulation, Price Bubbles and a Model of the U.S. Treasury Securities Auction Market

JOURNAL OF FINANCIAL AND QUANITATIVE ANALYSIS, June 1998
Posted: 15 Jun 1998
Robert A. Jarrow and Arkadev Chatterjea
Cornell University - Samuel Curtis Johnson Graduate School of Management and affiliation not provided to SSRN

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101.

Model Error in Contingent Claim Models (Dynamic Evaluation)

Rodney L. White Center Working Paper No. 07-96
Posted: 13 Jun 1998
Robert A. Jarrow and Eric Jacquier
Cornell University - Samuel Curtis Johnson Graduate School of Management and Boston University School of Management

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102.

An Integrated Approach to the Hedging and Pricing of Eurodollar Derivatives

WFIC 96-25
Posted: 08 May 1998
Robert A. Jarrow and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Houston - C.T. Bauer College of Business

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103.

A Markov Model for the Term Structure of Credit Risk Spreads

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A Markov Model for the Term Structure of Credit Risk Spreads

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Robert A. Jarrow, David Lando and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and University of Houston - C.T. Bauer College of Business

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A Markov Model for the Term Structure of Credit Risk Spreads

Posted: 22 Sep 1995
Robert A. Jarrow, David Lando and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and University of Houston - C.T. Bauer College of Business

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1.

Restructuring Risk in Credit Default Swaps: An Empirical Analysis

Number of pages: 32 Posted: 17 Mar 2006 Last Revised: 09 Aug 2014
Antje Berndt, Robert A. Jarrow and ChoongOh Kang
Australian National University, College of Business and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Citigroup Global Markets Japan Inc.
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credit default swaps, restructuring credit event, reduced-form credit risk modeling