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A Markov model for the term structure of credit risk spreads

Jarrow, Robert A.; Lando, David; Turnbull, Stuart M. - 1994

Persistent link: https://www.econbiz.de/10000904137

A unified approach for pricing contingent claims on multiple term structures

Jarrow, Robert A.; Turnbull, Stuart M. - 1998

Persistent link: https://www.econbiz.de/10000986787

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

Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns

Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336

Persistent link: https://www.econbiz.de/10001189278

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

A Markov model for the term structure of credit risk spreads

Jarrow, Robert A. - In: The review of financial studies 10 (1997) 2, pp. 481-523

Persistent link: https://www.econbiz.de/10001220567

Bond pricing and the term structure of interest rates : a discrete time approximation

Heath, David C. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 419-440

Persistent link: https://www.econbiz.de/10001098665

Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation

Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105

Persistent link: https://www.econbiz.de/10001121808

Estimating the interest rate term structure of corporate debt with a semiparametric penalized spline model

Jarrow, Robert A.; Ruppert, David; Yu, Yan - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 57-66

Persistent link: https://www.econbiz.de/10002029382

Exploring Mispricing in the Term Structure of CDS Spreads

Jarrow, Robert A. - 2019

Based on a reduced-form model of credit risk, we explore mispricing in the CDS spreads of North American companies and its economic content. Specifically, we develop a trading strategy using the model to trade out of sample market-neutral portfolios across the term structure of CDS contracts....

Persistent link: https://www.econbiz.de/10012903851