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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
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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
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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
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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
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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
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Synthetic CDO equity : short or long correlation risk?
Jarrow, Robert A.; Deventer, Donald R. van - In: The journal of fixed income 17 (2007) 4, pp. 31-41
Persistent link: https://www.econbiz.de/10003729808
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Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 237-255
Persistent link: https://www.econbiz.de/10014320229
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Futures contract collateralization and its implications
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Journal of empirical finance 74 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014477096