Robert A. Jarrow

Finance · 2000–2021

A researcher in the Science corpus: 19 papers; trusts 17 researchers and is trusted by 56 researchers here, as inferred from the citation graph.

Subfields

• Finance — 57 citations into it; #654 of 10,518 by trust here, #688 by citations
• Economics and Econometrics — 21 citations into it; #4,242 of 23,481 by trust here, #6,031 by citations
• Accounting — 10 citations into it; #978 of 8,970 by trust here, #1,837 by citations
• Statistics and Probability — 7 citations into it

Whom Robert A. Jarrow trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Anja Sturm
2. Marek Musiela
3. Marek Rutkowski
4. Tomasz R. Bielecki
5. D. Lando
6. Jun Yan
7. Umut Çetin
8. Qiang Dai
9. Kenneth J. Singleton
10. David Ruppert

Who trusts Robert A. Jarrow overall

1. Edward I. Altman
2. Sudheer Chava
3. Thomas R. Hurd
4. D. Tang
5. Arnaud de Servigny
6. Brooks Brady
7. Kay Giesecke
8. Olivier Renault
9. Guohui Guan
10. John Y. Campbell

Papers from Robert A. Jarrow's perspective

Ordered by how strongly the researchers Robert A. Jarrow trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Credit Risk: Modeling, Valuation And Hedging
3. Structural Models of Corporate Bond Pricing: An Empirical Analysis
4. Specification Analysis of Affine Term Structure Models
5. Martingale Methods in Financial Modelling
6. Term premia and interest rate forecasts in affine models
7. Multi-Period Corporate Default Prediction With Stochastic Covariates
8. Spline Models for Observational Data
9. Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs
10. Default Risk in Equity Returns

Their papers

• Default Parameter Estimation Using Market Prices (2001) — 229 citations
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004) — 65 citations
• Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006) — 194 citations
• The Subprime Credit Crisis of 2007 (2008) — 213 citations
• A Dysfunctional Role of High Frequency Trading in Electronic Markets (2012) — 145 citations
• The Liquidity Discount (2001) — 145 citations
• No Arbitrage Without Semimartingales (2009) — 55 citations
• Continuous-Time Asset Pricing Theory (2021) — 48 citations
• Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2007) — 83 citations
• Advances in mathematical finance (2007) — 48 citations
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005) — 220 citations
• Bankruptcy Prediction With Industry Effects (2004) — 1,013 citations
• STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE (2004) — 285 citations
• Modeling Credit Risk with Partial Information (2004) — 177 citations
• A short history of stochastic integration and mathematical finance the early years, 1880-1970 (2004) — 64 citations
• Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003) — 197 citations
• The intersection of market and credit risk (2000) — 340 citations
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND APPLICATIONS (2000) — 146 citations
• Bayesian analysis of contingent claim model error (2000) — 77 citations