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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
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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
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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
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Pricing loans using default probabilities
Turnbull, Stuart M. - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 197-217
Persistent link: https://www.econbiz.de/10001790785
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Modelling the evolution of credit spreads in the United States
Turnbull, Stuart M.; Yang, Jun - 2004
Persistent link: https://www.econbiz.de/10002488788
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Hedging in a HJM model
Jarrow, Robert A. - In: Finance research letters 7 (2010) 1, pp. 8-13
Persistent link: https://www.econbiz.de/10003972378
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The term structure of interest rates
Jarrow, Robert A. - In: Annual review of financial economics 1 (2009), pp. 69-96
Persistent link: https://www.econbiz.de/10003924493
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The zero-lower bound on interest rates : myth or reality?
Jarrow, Robert A. - In: Finance research letters 10 (2013) 4, pp. 151-156
Persistent link: https://www.econbiz.de/10010252360
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Forward rate curve smoothing
Jarrow, Robert A. - In: Annual review of financial economics 6 (2014), pp. 443-458
Persistent link: https://www.econbiz.de/10010492496
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A credit spread decomposition : a resolution of the credit spread puzzle
Jarrow, Robert A. - 2024
Persistent link: https://www.econbiz.de/10015399494