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Financial derivatives pricing : selected works of Robert Jarrow

Jarrow, Robert A. - 2008

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

The zero-lower bound on interest rates : myth or reality?

Jarrow, Robert A. - In: Finance research letters 10 (2013) 4, pp. 151-156

Persistent link: https://www.econbiz.de/10010252360

Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates

Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 332-346

Persistent link: https://www.econbiz.de/10011531186

Estimating expected losses and liquidity discounts implicit in debt prices

Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: Innovations in risk management : seminal papers from …, (pp. 457-507). 2004

Persistent link: https://www.econbiz.de/10002600556

Estimating the interest rate term structure of corporate debt with a semiparametric penalized spline model

Jarrow, Robert A.; Ruppert, David; Yu, Yan - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 57-66

Persistent link: https://www.econbiz.de/10002029382

The pricing of commodity options with stochastic interest rates

Jarrow, Robert A. - In: Advances in futures and options research : a research annual 2 (1987), pp. 19-45

Persistent link: https://www.econbiz.de/10001081788

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

Interest Rate Swaps : A Comparison of Compounded Daily Versus Discrete Reference Rates

Jarrow, Robert; Li, Siguang - 2021

This paper studies the hedging effectiveness of interest rate swaps using different reference rates for eliminating interest rate risk from floating rate loans. Two different reference rates are studied. The first is a reference rate whose maturity, ∆, matches the payment interval of the...

Persistent link: https://www.econbiz.de/10013228515