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The economic foundations of risk management : theory, practice, and applications
Jarrow, Robert A. - 2017
Persistent link: https://www.econbiz.de/10011569703
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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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Derivative securities
Jarrow, Robert A.; Turnbull, Stuart M. - 1996 - 1. ed.
Persistent link: https://www.econbiz.de/10004305125
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Exploring mispricing in the term structure of CDS spreads
Jarrow, Robert A.; Li, Haitao; Ye, Xiaoxia; Hu, May - In: Review of finance : journal of the European Finance … 23 (2019) 1, pp. 161-198
Persistent link: https://www.econbiz.de/10012035080
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Discretely sampled variance and volatility swaps versus their continuous approximations
Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324
Persistent link: https://www.econbiz.de/10009730815
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Inflation-Adjusted Bonds, Swaps and Derivatives
Jarrow, Robert A.; Yildirim, Yildiray - 2023
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10014355578
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Over the rainbow : developments in exotic options and complex swaps
Jarrow, Robert A. (contributor) - 1995
Persistent link: https://www.econbiz.de/10004314951
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Inflation-adjusted bonds, swaps, and derivatives
Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471
Persistent link: https://www.econbiz.de/10014426345
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Variance and Volatility Swaps : Bubbles and Fundamental Prices
Jarrow, Robert A. - 2010
's price bubble. We show that the existence of variance swap market prices implies that there are no swap price bubbles …. Furthermore, we also show that under some mild additional assumptions the discretely sampled variance swap's market price can be …
Persistent link: https://www.econbiz.de/10013141918
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Inflation-Adjusted Bonds, Swaps, and Derivatives
Jarrow, Robert A.; Yildirim, Yildiray - 2022
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10013293658