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
 Controllability of HeathJarrowMortonMusiela interest rate models by Thahir Bosch( )
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
17 editions published in 1983 in English and Undetermined and held by 506 WorldCat member libraries worldwide
Modeling fixedincome 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 fixedincome 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
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 fixedincome 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
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
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
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 BlackScholesMerton 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 HeathJarrowMorton (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
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 BlackScholesMerton 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 HeathJarrowMorton (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 selfcontained 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 stateoftheart 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 VarianceGamma process * L?vy process driven fixedincome and creditrisk 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
9 editions published in 2007 in English and held by 148 WorldCat member libraries worldwide
This selfcontained 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 stateoftheart 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 VarianceGamma process * L?vy process driven fixedincome and creditrisk 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 reallife situations
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 reallife 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
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
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
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 wellknown 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 BlackScholesMerton, the HeathJarrowMorton, 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
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 wellknown 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 BlackScholesMerton, the HeathJarrowMorton, 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
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
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
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
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
3 editions published in 1996 in English and held by 3 WorldCat member libraries worldwide
The stoploss startgain paradox and option valuation by
Peter Carr(
Book
)
2 editions published in 1988 in English and held by 1 WorldCat member library worldwide
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
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
2 editions published in 1980 in English and held by 1 WorldCat member library worldwide
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Audience Level
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Related Identities
 Fuji Capital Markets Corporation
 Ziemba, W. T. Editor
 Maksimovic, Vojislav 1955 Editor
 Rudd, Andrew
 Turnbull, Stuart M. (Stuart McLean) 1947 Honoree
 Fu, Michael 1962 Author Editor
 Yen, JuYi Editor
 Elliott, Robert J. (Robert James) 1940 Editor
 Madan, Dilip B. Honoree
 Prendismo (Firm)
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Associated Subjects
Business Capital market Contingent valuation CreditManagement Derivative securities Derivative securitiesMathematical models Derivative securitiesPrices Derivative securitiesPricesMathematical models Economics, Mathematical Engineering mathematics Error analysis (Mathematics) Finance FinanceMathematical models Financial futures Financial institutions Financial risk management Fixedincome securities Fixedincome securitiesEconometric models Heath, David C InterestMathematical models Interest rate futuresEconometric models Interest ratesEconometric models InvestmentsMathematical models InvestmentsMathematics Jarrow, Robert A Lévy processes Mathematics Monte Carlo method Musiela, Marek, Options (Finance) Options (Finance)Econometric models Options (Finance)Mathematical models Options (Finance)Prices Options (Finance)PricesMathematical models Options (Finance)ValuationMathematical models Organizational effectiveness Risk management Risk managementMathematical models Securities SecuritiesMathematical models Stochastic processes Stock price forecastingMathematical models Swaps (Finance) United States