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Option pricing using a binomial model with random time steps (a formal model of gamma hedging)
Dengler, Heike - In: Review of derivatives research 1 (1996) 2, pp. 107-138
Persistent link: https://www.econbiz.de/10001218120
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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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Derivative securities
Jarrow, Robert A.; Turnbull, Stuart M. - 1996
Persistent link: https://www.econbiz.de/10000966002
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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
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Option pricing
Jarrow, Robert A.; Rudd, Andrew T. - 1983
Persistent link: https://www.econbiz.de/10000065976
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Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
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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
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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
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Estimating expected losses and liquidity discounts implicit in debt prices
Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: Innovations in risk management : seminal papers from …, (pp. 457-507). 2004
Persistent link: https://www.econbiz.de/10002600556
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A generalized coherent risk measure : the firm's perspective
Jarrow, Robert A.; Purnanandam, Amiyatosh - In: Finance research letters 2 (2005) 1, pp. 23-29
Persistent link: https://www.econbiz.de/10002685600