Similar Search Results

Narrow search

Positive alphas, abnormal performance, and illusory arbitrage

Jarrow, Robert A.; Protter, Philip E. - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 39-56

Persistent link: https://www.econbiz.de/10009712563

Contingent claim valuation with a random evolution of interest rates

Heath, David C. - In: Review of futures markets 9 (1990) 1, pp. 54-76

Persistent link: https://www.econbiz.de/10001102029

Is mean-variance analysis vacuous : or was beta still born?

Jarrow, Robert A. - In: European finance review : the official journal of the … 1 (1997) 1, pp. 15-30

Persistent link: https://www.econbiz.de/10001244804

An empirical analysis of the Jarrow-van Deventer model for valuing non-maturity demand deposits

Janosi, Tibor; Jarrow, Robert A.; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31

Persistent link: https://www.econbiz.de/10001432461

CDO valuation : fact and fiction

Jarrow, Robert A.; Li, Li; Mesler, Mark; Deventer, … - In: The definitive guide to CDOs : market, application, …, (pp. 429-456). 2008

Persistent link: https://www.econbiz.de/10003918809

Pricing treasury inflation protected securities and related derivatives using an HJM model

Jarrow, Robert A.; Yildirim, Yildiray - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 337-356

Persistent link: https://www.econbiz.de/10001766868

Commercial mortgage-backed securities (CMBS) and market efficiency with respect to costly information

Christopoulos, Andreas D.; Jarrow, Robert A.; Yildirim, … - In: Real estate economics : journal of the American Real … 36 (2008) 3, pp. 441-498

Persistent link: https://www.econbiz.de/10003764885

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates

Jarrow, Robert A. - 2012

structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly … arbitrage opportunities into the Treasury security markets. Short- to medium- term forward rates were reduced (less than twelve …

Persistent link: https://www.econbiz.de/10013108838