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Valuing Modularity as a Real Option
Gamba, Andrea; Fusari, Nicola - In: Management science : journal of the Institute for … 55 (2009) 11, pp. 1877-1896
Persistent link: https://www.econbiz.de/10008326760
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Barrier Option Pricing Using Adjusted Transition Probabilities
Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008) 2, pp. 36-53
Persistent link: https://www.econbiz.de/10008153360
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PARAMETRIC INFERENCE AND DYNAMIC STATE RECOVERY FROM OPTION PANELS
Andersen, Torben G; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009983277
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Realizing smiles: Options pricing with realized volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10010071652
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Applications and Case Studies - Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
Jarrow, Robert; Ruppert, David; Yu, Yan - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 57-66
Persistent link: https://www.econbiz.de/10006610282
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Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
Jarrow, Robert; Yildirim, Yildiray - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 337-358
Persistent link: https://www.econbiz.de/10006694526
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Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Hogan, Steve; Jarrow, Robert; Teo, Melvyn; Warachka, Mitch - In: Journal of financial economics 73 (2004) 3, pp. 525-566
Persistent link: https://www.econbiz.de/10006503433
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VALUATION - Default Parameter Estimation Using Market Prices - A new method for estimating recovery rates and default likelihoods explicitly incorporates equity prices and a liquidity premium.
Jarrow, Robert - In: Financial analysts' journal : FAJ 57 (2001) 5, pp. 75-92
Persistent link: https://www.econbiz.de/10006271965
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An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits
Janosi, Tibor; Jarrow, Robert; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10005965390
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Review of John E. Gilster, Jr. "Option Pricing Theory: Is 'Risk-Free' Hedging Feasible?"
Jarrow, Robert - In: Financial management 26 (1997) 1, pp. 106-108
Persistent link: https://www.econbiz.de/10005984240