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The no-arbitrage pricing of non-traded assets
Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418
Persistent link: https://www.econbiz.de/10014380572
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Asset price bubbles and risk management
Jarrow, Robert A. - In: Journal of risk 20 (2017/2018) 1, pp. 59-76
Persistent link: https://www.econbiz.de/10011847429
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Continuous-time asset pricing theory : a martingale-based approach
Jarrow, Robert A. - 2021 - Second edition
Persistent link: https://www.econbiz.de/10012584017
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The economics of insurance : a derivatives-based approach
Jarrow, Robert A. - In: Annual review of financial economics 13 (2021), pp. 79-110
Persistent link: https://www.econbiz.de/10012612499
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High frequency trading and standard asset pricing models
Jarrow, Robert A. - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013479259
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Designing catastrophic bonds for catastrophic risks in agriculture : Macro hedging long and short rains in Kenya
Sun, Lin; Turvey, Calum G.; Jarrow, Robert A. - In: Agricultural Finance Review 75 (2015) 1, pp. 47-62
Purpose – The purpose of this paper is to outline a pricing formula for the valuation of catastrophic (CAT) bonds as applied to multiple trigger drought risks in Kenya. Design/methodology/approach – The valuation model is designed around the multiple triggers of the Mexican Catastrophe...
Persistent link: https://www.econbiz.de/10014667340
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Risk‐neutral pricing techniques and examples
Jarrow, Robert A.; Patie, Pierre; Srapionyan, Anna; … - In: Mathematical Finance 31 (2021) 3, pp. 857-884
Persistent link: https://www.econbiz.de/10012538286
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Inferring financial bubbles from option data
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Journal of Applied Econometrics 36 (2021) 7, pp. 1013-1046
Persistent link: https://www.econbiz.de/10012632843
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An autoregressive jump process for common stock returns
Oldfield, George Jr.; Rogalski, Richard J.; Jarrow, … - In: Journal of Financial Economics 5 (1977) 3, pp. 389-418
Persistent link: https://www.econbiz.de/10005376804
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A generalized coherent risk measure: The firm's perspective
Jarrow, Robert A.; Purnanandam, Amiyatosh K. - In: Finance Research Letters 2 (2005) 1, pp. 23-29
Persistent link: https://www.econbiz.de/10005397351