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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
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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
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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
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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
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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
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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
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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
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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
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Market efficiency and returns from convertible bond hedging and arbitrage strategies
Fabozzi, Frank J.; Liu, Jinlin; Switzer, Lorne N. - In: The journal of alternative investments 11 (2008/09) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10003808894
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Active portfolio management and positive alphas : fact or fantasy?
Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 17-22
Persistent link: https://www.econbiz.de/10008652184