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The economic foundations of risk management : theory, practice, and applications

Jarrow, Robert A. - 2017

Persistent link: https://www.econbiz.de/10011569703

Valuing default swaps under market and credit risk correlation

Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19

Persistent link: https://www.econbiz.de/10001701698

Discretely sampled variance and volatility swaps versus their continuous approximations

Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324

Persistent link: https://www.econbiz.de/10009730815

Inflation-Adjusted Bonds, Swaps, and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2022

The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...

Persistent link: https://www.econbiz.de/10013293658

Exploring mispricing in the term structure of CDS spreads

Jarrow, Robert A.; Li, Haitao; Ye, Xiaoxia; Hu, May - In: Review of finance : journal of the European Finance … 23 (2019) 1, pp. 161-198

Persistent link: https://www.econbiz.de/10012035080

Inflation-Adjusted Bonds, Swaps and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2023

Persistent link: https://www.econbiz.de/10014355578

Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

Persistent link: https://www.econbiz.de/10014426345

Interest rate swaps : a comparison of compounded daily versus discrete reference rates

Jarrow, Robert A.; Li, Siguang - In: Review of derivatives research 26 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014266351

Variance and Volatility Swaps : Bubbles and Fundamental Prices

Jarrow, Robert A. - 2010

's price bubble. We show that the existence of variance swap market prices implies that there are no swap price bubbles …. Furthermore, we also show that under some mild additional assumptions the discretely sampled variance swap's market price can be …

Persistent link: https://www.econbiz.de/10013141918

Bankruptcy, counterparty risk, and contagion

Kraft, Holger; Steffensen, Mogens - In: Review of finance : journal of the European Finance … 11 (2007) 2, pp. 209-252

Persistent link: https://www.econbiz.de/10003714179