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Economics and Finance

D-Index
71
Citations
30762
World Ranking
440
National Ranking
296

Overview

Robert A. Jarrow is affiliated with Cornell University in the United States and works primarily in the field of Economics, Econometrics, and Finance. The bulk of their research focuses on financial markets, investment strategies, and stochastic processes applied to finance, with an emphasis on economic theories and models, credit risk, financial regulations, and complex systems.

Their recent publications include:

  • The Low-volatility Anomaly and the Adaptive Multi-Factor Model, 2021, SSRN Electronic Journal
  • Concavity, stochastic utility, and risk aversion, 2021, Finance and Stochastics
  • Risk premia, asset price bubbles, and monetary policy, 2022, Journal of Financial Stability
  • Testing for Asset Price Bubbles using Options Data, 2020, SSRN Electronic Journal
  • APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES, 2022, International Journal of Theoretical and Applied Finance

Frequent co-authors in their work include Karén Grigorian, Simon Kwok, Siguang Li, Sujan Lamichhane, and Martin T. Wells.

Most of their papers are published in venues such as:

  • SSRN Electronic Journal
  • arXiv (Cornell University)
  • Quarterly Journal of Finance
  • Frontiers of Mathematical Finance
  • International Journal of Theoretical and Applied Finance

Robert A. Jarrow has also contributed to academic books published by World Scientific and Springer Nature. Notable titles include:

  • An Introduction to Derivative Securities, Financial Markets, and Risk Management (2024)
  • Peter Carr Gedenkschrift (2023)
  • Continuous-Time Asset Pricing Theory (2021)

The subfields associated with their research include Finance, Economics and Econometrics, Management Science and Operations Research, General Economics, Econometrics and Finance, and Accounting.

Their work covers key topics such as financial markets and investment strategies, stochastic processes and financial applications, economic theories and models, credit risk and financial regulations, complex systems and time series analysis, banking stability, regulation, efficiency, and financial risk and volatility modeling.

Best Publications

  • BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION'

    David Heath;Robert Jarrow;Andrew Morton

  • Pricing Derivatives on Financial Securities Subject to Credit Risk

    Robert A. Jarrow;Stuart M. Turnbull

  • A Markov Model for the Term Structure of Credit Risk Spreads

    Robert A. Jarrow;David Lando;Stuart M. Turnbull

  • Bankruptcy Prediction with Industry Effects

    Sudheer Chava;Robert A. Jarrow

  • Counterparty Risk and the Pricing of Defaultable Securities

    Robert A. Jarrow;Fan Yu

  • Approximate option valuation for arbitrary stochastic processes

    Robert Jarrow;Andrew Rudd

  • ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

    Peter P. Carr;Robert A. Jarrow;Ravi Myneni

  • The intersection of market and credit risk

    Robert A. Jarrow;Stuart M. Turnbull

  • Liquidity Risk and Arbitrage Pricing Theory

    Umut Çetin;Robert A. Jarrow;Philip Protter

  • MARKET MANIPULATION, BUBBLES CORNERS AND SHORT SQUEEZES

    Robert A. Jarrow

  • Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

    David Heath;Robert Jarrow;Andrew Morton

  • Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices

    Robert Jarrow

  • DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

    Robert A. Jarrow;David Lando;Fan Yu

  • Liquidity Risk and Arbitrage Pricing Theory

    Umut Çetin;Robert A. Jarrow;Philip Protter

  • Bond pricing and the term structure of interest rates

    David Heath;Robert Jarrow;Andrew Morton

  • Bond Pricing and the Term Structure of Interest Rates: a New Methodology

    D. C. Heath;Robert A. Jarrow;Andrew J. Morton

  • The Subprime Credit Crisis of 2007

    Michel G. Crouhy;Robert A. Jarrow;Stuart M. Turnbull

  • Jump Risks and the Intertemporal Capital Asset Pricing Model

    Robert A. Jarrow;Eric R. Rosenfeld

  • STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE

    Robert A. Jarrow;Philip Protter

  • Pricing foreign currency options under stochastic interest rates

    Kaushik I. Amin;Robert A. Jarrow

  • The Term Structure of Interest Rates

    Robert A. Jarrow

  • Pricing Derivatives on Financial Securities Subject to Credit Risk

    Robert Jarrow;Stuart M. Turnbull

Frequent Co-Authors

Martin T. Wells
Martin T. Wells Cornell University
Dilip B. Madan
Dilip B. Madan University of Maryland, College Park
Peter Carr
Peter Carr New York University
Darrell Duffie
Darrell Duffie Stanford University
Michael C. Fu
Michael C. Fu University of Maryland, College Park
Thomas F. Coleman
Thomas F. Coleman University of Waterloo
Yongpei Guan
Yongpei Guan University of Florida
Maureen O'Hara
Maureen O'Hara Cornell University
Robert J. Elliott
Robert J. Elliott University of Calgary
David Easley
David Easley Cornell University

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