Similar Search Results - EconBiz

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

Over the rainbow : developments in exotic options and complex swaps

Jarrow, Robert A. (contributor) - 1995

Persistent link: https://www.econbiz.de/10004314951

Inflation-Adjusted Bonds, Swaps and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2023

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/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

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

Financial derivatives pricing : selected works of Robert Jarrow

Jarrow, Robert A. - 2008

Persistent link: https://www.econbiz.de/10003765886

Distressed debt prices and recovery rate estimation

Guo, Xin; Jarrow, Robert A.; Lin, Haizhi - In: Review of derivatives research 11 (2008) 3, pp. 171-204

Persistent link: https://www.econbiz.de/10003835030

Modeling the recovery rate in a reduced form model

Guo, Xin; Jarrow, Robert A.; Zeng, Yan - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 73-97

Persistent link: https://www.econbiz.de/10003818346

A service of the