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Variance and Volatility Swaps : Bubbles and Fundamental Prices

Jarrow, Robert A. - 2010

's price bubble. We show that the existence of variance swap market prices implies that there are no swap price bubbles …. Furthermore, we also show that under some mild additional assumptions the discretely sampled variance swap's market price can be …

Persistent link: https://www.econbiz.de/10013141918

A leverage ratio rule for capital adequacy

Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976

Persistent link: https://www.econbiz.de/10009708725

Estimating default probabilities implicit in equity prices

Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006

Persistent link: https://www.econbiz.de/10003338037

A critique of revised Basel II

Jarrow, Robert A. - In: Journal of financial services research : JFSR 32 (2007) 1/2, pp. 1-16

Persistent link: https://www.econbiz.de/10003576332

A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital

Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 237-255

Persistent link: https://www.econbiz.de/10014320229