Robert Jarrow

Cornell SC Johnson College of Business

Ithaca, NY 14850

United States

SCHOLARLY PAPERS

15

DOWNLOADS
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5,612

SSRN CITATIONS
Rank 37,579

SSRN RANKINGS

Top 37,579

in Total Papers Citations

18

CROSSREF CITATIONS

8

Scholarly Papers (15)

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 1,586 (21,925)
Citation 6

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 1,053 (40,008)
Citation 1

Abstract:

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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: 52 Posted: 15 Mar 2021 Last Revised: 26 Jun 2023
Robert Jarrow and Siguang Li
Cornell SC Johnson College of Business and Hong Kong University of Science and Technology, Guangzhou Campus, Society Hub
Downloads 679 (72,580)
Citation 4

Abstract:

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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 Hong Kong University of Science and Technology, Guangzhou Campus, Society Hub
Downloads 467 (115,456)

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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
Rochester Institute of Technology (RIT) - Saunders College of Business and Cornell SC Johnson College of Business
Downloads 415 (132,606)
Citation 7

Abstract:

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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: 08 May 2023
Robert Jarrow and Siguang Li
Cornell SC Johnson College of Business and Hong Kong University of Science and Technology, Guangzhou Campus, Society Hub
Downloads 263 (216,150)
Citation 2

Abstract:

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

7.

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 217 (260,431)
Citation 2

Abstract:

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

8.

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 211 (267,346)
Citation 1

Abstract:

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

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 199 (282,024)

Abstract:

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commodity futures, futures return, collateral, leverage, correlation

10.

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 139 (383,080)
Citation 1

Abstract:

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11.

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 Hong Kong University of Science and Technology, Guangzhou Campus, Society Hub
Downloads 131 (401,258)
Citation 1

Abstract:

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

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 84 (546,384)

Abstract:

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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 60 (668,559)

Abstract:

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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 20 (984,993)

Abstract:

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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 65 (630,385)
Citation 1

Abstract:

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

15.

Is the Current Bull Market A Bubble? An Empirical Investigation

Number of pages: 43 Posted: 11 Apr 2024
Soon Hyeok Choi and Robert Jarrow
Rochester Institute of Technology (RIT) - Saunders College of Business and Cornell SC Johnson College of Business
Downloads 23 (924,225)

Abstract:

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Asset Price Bubbles, Explosive Volatility, Local Martingale, Equities