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Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation

Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105

Persistent link: https://www.econbiz.de/10001121808

Preferences, continuity, and the arbitrage pricing theory

Jarrow, Robert A. - In: The review of financial studies 1 (1988) 2, pp. 159-172

Persistent link: https://www.econbiz.de/10001106139

Positive alphas and a generalized multiple-factor asset pricing model

Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10011446005

The second fundamental theorem of asset pricing : a new approach

Battig, Robert J.; Jarrow, Robert A. - In: The review of financial studies 12 (1999) 5, pp. 1219-1235

Persistent link: https://www.econbiz.de/10001434636

Foreign currency bubbles

Jarrow, Robert A.; Protter, Philip E. - In: Review of derivatives research 14 (2011) 1, pp. 67-83

Persistent link: https://www.econbiz.de/10009272490

An introduction to financial asset pricing

Jarrow, Robert A.; Protter, Philip E. - In: Financial engineering, (pp. 13-69). 2008

Persistent link: https://www.econbiz.de/10003567089

A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance

Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155

Persistent link: https://www.econbiz.de/10011634338

The no-arbitrage pricing of non-traded assets

Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418

Persistent link: https://www.econbiz.de/10014380572

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

Akyildirim, Erdinc - 2019

We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump …-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to … zero in time. Existence of statistical arbitrage is demonstrated via 'buy-and-hold until barrier' strategy, where the …

Persistent link: https://www.econbiz.de/10012865818

Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns

Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336

Persistent link: https://www.econbiz.de/10001189278