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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

Adapted hedging

Madan, Dilip B. - In: Annals of finance 12 (2016) 3/4, pp. 305-334

Persistent link: https://www.econbiz.de/10011571392

Hedging in a HJM model

Jarrow, Robert A. - In: Finance research letters 7 (2010) 1, pp. 8-13

Persistent link: https://www.econbiz.de/10003972378

Designing catastrophic bonds for catastrophic risks in agriculture : macro hedging long and short rains in Kenya

Sun, Lin; Turvey, Calum Greig; Jarrow, Robert A. - In: Agricultural finance review 75 (2015) 1, pp. 47-62

Persistent link: https://www.econbiz.de/10011305770

The dangers of calibration and hedging the Greeks in option pricing

Chatterjea, Arkadev; Jarrow, Robert A. - In: Journal of financial education 38 (2012) 1/2, pp. 1-12

Persistent link: https://www.econbiz.de/10009615610

An empirical analysis of the Jarrow-van Deventer model for valuing non-maturity demand deposits

Janosi, Tibor; Jarrow, Robert A.; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31

Persistent link: https://www.econbiz.de/10001432461

The arbitrage-free valuation and hedging of demand deposits and credit card loans

Jarrow, Robert A. - In: Journal of banking & finance 22 (1998) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10001238390

An integrated approach to the hedging and pricing of Eurodollar derivatives

Jarrow, Robert A. - In: The journal of risk and insurance : the journal of the … 64 (1997) 2, pp. 271-299

Persistent link: https://www.econbiz.de/10001227995

Index Design : Hedging and Manipulation

Jarrow, Robert; Li, Siguang - 2021

This paper studies optimal index design to both facilitate hedging and alleviate illegal manipulation in a competitive equilibrium paradigm, modified to deal with manipulation. Specifically, a large trader is trading both derivatives and stocks, and effectively hides her trades behind the...

Persistent link: https://www.econbiz.de/10013234570

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

Jarrow, Robert A. - 2017

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