WorldCat Identities

Jarrow, Robert A.

Overview
Works: 63 works in 275 publications in 3 languages and 4,775 library holdings
Genres: Software  Conference papers and proceedings  Festschriften  Filmed interviews 
Roles: Author, Editor, Speaker, Other, Thesis advisor, Honoree
Publication Timeline
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Most widely held works about Robert A Jarrow
 
Most widely held works by Robert A Jarrow
Option pricing by Robert A Jarrow( Book )

17 editions published in 1983 in English and Undetermined and held by 506 WorldCat member libraries worldwide

Modeling fixed-income securities and interest rate options by Robert A Jarrow( Book )

34 editions published between 1995 and 2007 in English and Japanese and held by 426 WorldCat member libraries worldwide

This book teaches the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned "on the job, " Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach -- the Heath Jarrow Morton model -- under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author's pricing model is widely used in today's securities industry. In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex
Derivative securities by Robert A Jarrow( Book )

39 editions published between 1995 and 2000 in English and held by 408 WorldCat member libraries worldwide

The author makes the theory and practice of pricing and hedging derivative securities accessible to mainstream students in a comprehensive manner
Finance by Robert A Jarrow( Book )

32 editions published between 1995 and 2006 in English and Undetermined and held by 349 WorldCat member libraries worldwide

The volume should serve as a primary reference work for financial economics and financial modelling students, faculty and practitioners. The e×pository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area
Finance theory by Robert A Jarrow( Book )

15 editions published in 1988 in 3 languages and held by 312 WorldCat member libraries worldwide

Studies the basics of arbitrage pricing theory and equilibrium pricing under certainty. Builds on the material presented in the first part to study how uncertainty influences investor behavior and theorefore pricing
Financial derivatives pricing : selected works of Robert Jarrow by Robert A Jarrow( Book )

15 editions published in 2008 in English and held by 148 WorldCat member libraries worldwide

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 the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk. Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities. Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk
Advances in mathematical finance by Michael Fu( Book )

9 editions published in 2007 in English and held by 148 WorldCat member libraries worldwide

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday. Specific topics covered include: * Theory and application of the Variance-Gamma process * L?vy process driven fixed-income and credit-risk models, including CDO pricing * Numerical PDE and Monte Carlo methods * Asset pricing and derivatives valuation and hedging * It? formulas for fractional Brownian motion * Martingale characterization of asset price bubbles * Utility valuation for credit derivatives and portfolio management Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering
Volatility : new estimation techniques for pricing derivatives( Book )

9 editions published in 1998 in English and held by 111 WorldCat member libraries worldwide

Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations
Over the rainbow : developments in exotic options and complex swaps by Robert A Jarrow( Book )

9 editions published in 1995 in English and held by 110 WorldCat member libraries worldwide

Robert Jarrow interview : financial modeling( Visual )

1 edition published in 2008 in English and held by 79 WorldCat member libraries worldwide

This presentation, produced by Prendismo, features Robert Jarrow discussing the importance of risk management in the workplace
An introduction to derivative securities, financial markets, and risk management by Robert A Jarrow( Book )

10 editions published in 2013 in English and held by 74 WorldCat member libraries worldwide

The economic foundations of risk management : theory, practice, and applications by Robert A Jarrow( Book )

10 editions published between 2016 and 2017 in English and held by 31 WorldCat member libraries worldwide

"The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why."--Publisher's website
Derivative securities : the complete investor's guide by Robert A Jarrow( Book )

5 editions published between 1996 and 1999 in English and held by 22 WorldCat member libraries worldwide

Option pricing with random volatilities in complete markets by Laurence K Eisenberg( Book )

3 editions published in 1991 in English and held by 17 WorldCat member libraries worldwide

Student solutions manual : An introduction to derivative securities, financial markets, and risk management by Robert A Jarrow( Book )

1 edition published in 2013 in English and held by 12 WorldCat member libraries worldwide

Written entirely by the authors, the Solutions Manual provides worked solutions for all the problems in the book
The pricing and hedging of options on financial securities subject to credit risk : the discrete time case by Robert A Jarrow( Book )

2 editions published in 1992 in English and held by 5 WorldCat member libraries worldwide

Model error in contingent claim models : dynamic evaluation by Éric Jacquier( Book )

3 editions published in 1996 in English and held by 3 WorldCat member libraries worldwide

The stop-loss start-gain paradox and option valuation by Peter Carr( Book )

2 editions published in 1988 in English and held by 1 WorldCat member library worldwide

Consensus beliefs equilibrium and market efficiency by David Easley( Book )

2 editions published in 1982 in English and held by 1 WorldCat member library worldwide

Liquidity premiums and the expectations hypothesis by Robert A Jarrow( Book )

2 editions published in 1980 in English and held by 1 WorldCat member library worldwide

 
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Finance
Alternative Names
Jarrow, R.A.

Jarrow, R. A. 1952-

Jarrow, Robert

Jarrow, Robert 1952-

Jarrow, Robert Alan 1952-

Robert A. Jarrow economista estadounidense

Robert A. Jarrow économiste américain

ジャロウ, ロバート・A

ロバート・ジャロー

Languages
Covers
Derivative securitiesFinanceFinancial derivatives pricing : selected works of Robert JarrowAdvances in mathematical financeVolatility : new estimation techniques for pricing derivativesDerivative securities : the complete investor's guide