Robert Jarrow

Cornell SC Johnson College of Business

Ithaca, NY 14850

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 18,995

SSRN RANKINGS

Top 18,995

in Total Papers Downloads

3,991

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (18)

1.

Testing for Asset Price Bubbles using Options Data

Johns Hopkins Carey Business School Research Paper No. 20-12
Number of pages: 57 Posted: 27 Aug 2020 Last Revised: 10 May 2022
Nicola Fusari, Robert Jarrow and Sujan Lamichhane
Johns Hopkins University - Carey Business School, Cornell SC Johnson College of Business and International Monetary Fund (IMF)
Downloads 1,086 (29,905)
Citation 4

Abstract:

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Asset Price Bubbles, Option Pricing, Stochastic Volatility, Martingales, Local Martingales

2.

Inferring Financial Bubbles from Option Data

Number of pages: 61 Posted: 26 May 2020 Last Revised: 19 Aug 2022
Robert Jarrow and Simon Kwok
Cornell SC Johnson College of Business and The University of Sydney
Downloads 717 (52,964)
Citation 1

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asset price bubble, fundamental value, risk-neutral probability measure, state price distribution, tail truncation, partial identification, nonparametric estimation, local polynomial

3.

Media Trading Groups and Short Selling Manipulation

Number of pages: 51 Posted: 15 Mar 2021 Last Revised: 01 Nov 2021
Robert Jarrow and Siguang Li
Cornell SC Johnson College of Business and Cornell University, Dept. of Economics
Downloads 569 (71,272)
Citation 2

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Meme Stocks; Market Manipulation; Media Trading Groups; Allocational Efficiency; Belief-neutral Efficiency

4.

Interest Rate Swaps: A Comparison of Compounded Daily Versus Discrete Reference Rates

Number of pages: 27 Posted: 10 May 2021 Last Revised: 07 Sep 2021
Robert Jarrow and Siguang Li
Cornell SC Johnson College of Business and Cornell University, Dept. of Economics
Downloads 348 (126,869)

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Interest Rate Swaps, LIBOR, SOFR, Floating Rate Loans

5.

Testing the Local Martingale Theory of Bubbles using Cryptocurrencies

Number of pages: 85 Posted: 13 Oct 2020 Last Revised: 18 Jan 2022
Soon Hyeok Choi and Robert Jarrow
Cornell University - SC Johnson College of Business and Cornell SC Johnson College of Business
Downloads 304 (146,450)
Citation 2

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Price Bubbles, Arbitrage Pricing Theory, Martingale, Cryptocurrency

6.

Index Design: Hedging and Manipulation

Number of pages: 43 Posted: 06 Apr 2021 Last Revised: 09 Jul 2021
Robert Jarrow and Siguang Li
Cornell SC Johnson College of Business and Cornell University, Dept. of Economics
Downloads 200 (224,213)
Citation 1

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Index Design, Hedging, Index Manipulation, Hidden Trades, VWAP, EWAP, Competitive Equilibrium

7.

The Economics of Insurance: A Derivatives-Based Approach

Number of pages: 39 Posted: 26 Aug 2020 Last Revised: 08 Apr 2021
Robert Jarrow
Cornell SC Johnson College of Business
Downloads 169 (254,798)
Citation 1

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Insurance; Derivatives; Insolvency; Probability of Ruin; Insurance Premiums; Risk Neutral Valuation; Diversifiable Risk

8.

Risk Premia, Asset Price Bubbles, and Monetary Policy

Johns Hopkins Carey Business School Research Paper No. 19-06
Number of pages: 41 Posted: 12 Jul 2019 Last Revised: 02 Jun 2021
Robert Jarrow and Sujan Lamichhane
Cornell SC Johnson College of Business and International Monetary Fund (IMF)
Downloads 155 (273,785)

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monetary policy, risk premia, bubbles, heterogeneous beliefs, disagreements, trading constraints, financial stability

9.

Futures Contract Collateralization and its Implications

Number of pages: 42 Posted: 13 Sep 2021
Robert Jarrow and Simon Kwok
Cornell SC Johnson College of Business and The University of Sydney
Downloads 102 (372,625)

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commodity futures, futures return, collateral, leverage, correlation

10.

Concavity, Stochastic Utility, and Risk Aversion

Number of pages: 28 Posted: 30 Jan 2020 Last Revised: 01 Dec 2021
Robert Jarrow and Siguang Li
Cornell SC Johnson College of Business and Cornell University, Dept. of Economics
Downloads 97 (384,929)
Citation 1

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State Dependent Utility; Stochastic Utility; Risk Aversion; Uniform Risk Aversion; Pointwise Concavity, Uniform Risk Aversion for Independent Gambles

11.

Asset Price Bubbles: Invariance Theorems*

Number of pages: 41 Posted: 31 Dec 2020
Cornell SC Johnson College of Business, Columbia University, University of Chile and Cornell University - Johnson Graduate School of Management
Downloads 90 (403,505)
Citation 1

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12.

Funding Shortages, Expectations, and Forward Rate Risk Premium

Number of pages: 35 Posted: 27 Feb 2020
Robert Jarrow and Sujan Lamichhane
Cornell SC Johnson College of Business and International Monetary Fund (IMF)
Downloads 56 (520,378)

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funding shortages; forward rates; term risk premium; financial intermediary leverage ratios; expectations hypothesis; inverted yield curves

Informational Efficiency with Trading Constraints: A Characterization

Number of pages: 17 Posted: 30 Aug 2019
Robert Jarrow and Martin Larsson
Cornell SC Johnson College of Business and ETH Zürich - Department of Mathematics
Downloads 46 (577,163)

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informational efficiency, trading constraints, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales

Informational Efficiency with Trading Constraints: A Characterization

Number of pages: 17 Posted: 30 Aug 2019
Robert Jarrow and Martin Larsson
Cornell SC Johnson College of Business and ETH Zürich - Department of Mathematics
Downloads 6 (906,425)

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informational efficiency, trading constraints, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales.

14.

An Explosion Time Characterization of Asset Price Bubbles

Number of pages: 14 Posted: 08 Apr 2022
Robert Jarrow and Simon Kwok
Cornell SC Johnson College of Business and The University of Sydney
Downloads 28 (671,545)

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asset price bubble, explosion time, semimartingale, quadratic variation, local volatility, risk-neutral probability measure

15.

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

Mathematical Finance, Vol. 29, Issue 4, pp. 1157-1170, 2019
Number of pages: 14 Posted: 29 May 2020
Robert Jarrow and Philip Protter
Cornell SC Johnson College of Business and Columbia University
Downloads 6 (872,020)

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

16.

Fair Microfinance Loan Rates

International Review of Finance, Vol. 19, Issue 4, pp. 909-918, 2019
Number of pages: 10 Posted: 26 May 2020
Robert Jarrow and Philip Protter
Cornell SC Johnson College of Business and Columbia University
Downloads 6 (872,020)
Citation 2

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17.

Credit Risk, Liquidity, and Bubbles

International Review of Finance, Vol. 20, Issue 3, pp. 737-746, 2020
Number of pages: 10 Posted: 06 Oct 2020
Robert Jarrow and Philip Protter
Cornell SC Johnson College of Business and Columbia University
Downloads 4 (895,538)

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18.

Optimal Cash Holdings Under Heterogeneous Beliefs

Mathematical Finance, Vol. 28, Issue 2, pp. 712-747, 2018
Number of pages: 36 Posted: 16 Mar 2018
Robert Jarrow, Andrey Krishenik and Andreea Minca
Cornell SC Johnson College of Business, Cornell University - School of Operations Research and Industrial Engineering and Cornell University
Downloads 2 (921,871)

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debt capacity, funding liquidity, heterogeneous beliefs, optimal investment under market frictions, Stackelberg equilibrium