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The arbitrage-free valuation and hedging of demand deposits and credit card loans

Jarrow, Robert A. - In: Journal of banking & finance 22 (1998) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10001238390

A simple, transparent, and accurate mortgage valuation yield curve

Jarrow, Robert A.; Deventer, Donald R. van - In: The journal of fixed income 22 (2013) 3, pp. 37-44

Persistent link: https://www.econbiz.de/10009711232

Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates

Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 332-346

Persistent link: https://www.econbiz.de/10011531186

A practical guide to the valuation of coupon-bearing fixed income securities

Jarrow, Robert A.; Deventer, Donald R. van - In: The journal of fixed income : JFI 33 (2023) 1, pp. 80-87

Persistent link: https://www.econbiz.de/10014310203

A Bottom-up, Reduced Form Credit Risk Model Approach for the Determination of Collateralized Loan Obligation Capital

Jarrow, Robert A.; van Deventer, Donald R. - 2023

This paper uses a bottom-up, reduced form credit risk model with hazard rate estimated default probabilities to compute various collateralized loan obligation (CLO) tranches’ loss probabilities and capital factors. It is shown that with respect to the loss probabilities, credit rated CLO...

Persistent link: https://www.econbiz.de/10014355604

An introduction to credit risk models

Deventer, Donald R. van - In: Advanced bond portfolio management : best practices in …, (pp. 355-372). 2006

Persistent link: https://www.econbiz.de/10003280951

Credit derivates and hedging credit risk

Deventer, Donald R. van - In: Advanced bond portfolio management : best practices in …, (pp. 373-388). 2006

Persistent link: https://www.econbiz.de/10003280953

In honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes : a partial differential equation that changed the world

Jarrow, Robert A. - In: The journal of economic perspectives : EP ; a journal … 13 (1999) 4, pp. 229-248

Persistent link: https://www.econbiz.de/10001431055

Market manipulation, bubbles, corners, and short squeezes

Jarrow, Robert A. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 3, pp. 311-336

Persistent link: https://www.econbiz.de/10001129750

Preferences, continuity, and the arbitrage pricing theory

Jarrow, Robert A. - In: The review of financial studies 1 (1988) 2, pp. 159-172

Persistent link: https://www.econbiz.de/10001106139