Robert Jarrow

26 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-9893-9611

Cornell University Samuel Curtis Johnson Graduate School of Management

Publications

• The Valuation of Corporate Coupon Bonds — Journal of Financial and Quantitative Analysis 2025
• Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market — Management Science 2019
• Exploring Mispricing in the Term Structure of CDS Spreads — Review of Finance 2019
• Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? — The Journal of Finance 2007
• Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence — The Review of Financial Studies 2006
• Downside Loss Aversion and Portfolio Management — Management Science 2006
• Bankruptcy Prediction with Industry Effects — Review of Finance 2004
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model — Journal of the American Statistical Association 2004
• Counterparty Risk and the Pricing of Defaultable Securities — The Journal of Finance 2001
• Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market — Journal of Financial and Quantitative Analysis 1998
• A Markov Model for the Term Structure of Credit Risk Spreads — The Review of Financial Studies 1997
• Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? — Review of Finance 1997
• Pricing Derivatives on Financial Securities Subject to Credit Risk — The Journal of Finance 1995
• Derivative Security Markets, Market Manipulation, and Option Pricing Theory — Journal of Financial and Quantitative Analysis 1994
• Market Manipulation, Bubbles, Corners, and Short Squeezes — Journal of Financial and Quantitative Analysis 1992
• The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests — Journal of Financial and Quantitative Analysis 1991
• The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value — The Review of Financial Studies 1990
• Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation — Journal of Financial and Quantitative Analysis 1990
• Primes and Scores: An Essay on Market Imperfections — The Journal of Finance 1989
• Preferences, Continuity, and the Arbitrage Pricing Theory — The Review of Financial Studies 1988
• Arbitrage, Continuous Trading, and Margin Requirements — The Journal of Finance 1987
• The Relationship between Arbitrage and First Order Stochastic Dominance — The Journal of Finance 1986
• Consensus Beliefs Equilibrium and Market Efficiency — The Journal of Finance 1983
• Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices — The Journal of Finance 1980
• THE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS — The Journal of Finance 1978
• An autoregressive jump process for common stock returns — Journal of Financial Economics 1977