Financial derivatives pricing : selected works of Robert Jarrow

Financial derivatives pricing : selected works of Robert Jarrow / Robert A. Jarrow.

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of th...

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Bibliographic Details
Main Author: Jarrow, Robert A.
Format: eBook
Language:English
Published: Singapore ; Hackensack, NJ : World Scientific, ©2008.
Subjects:
Derivative securities > Prices > Mathematical models.
Derivative securities > Prices > United States.
BUSINESS & ECONOMICS > Investments & Securities > General.
Derivative securities > Prices
Derivative securities > Prices > Mathematical models
Derivat > Wertpapier
Preistheorie
Finanzderivat.
Optionspreistheorie.
Zins.
Kreditrisiko.
Theorie.
United States
Aufsatzsammlung.
Online Access:Click for online access
Table of Contents:
  • Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd
  • Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow
  • Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow
  • The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow
  • Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni
  • Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow
  • Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow
  • Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter
  • Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka
  • Liquidity Premiums and the Expectations Hypothesis / R. Jarrow
  • Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield
  • The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow
  • Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton
  • Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow.
  • Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow
  • Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim
  • Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull
  • A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull
  • Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu
  • Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu
  • Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow
  • Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang
  • Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim.

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