Description 
1 online resource (xv, 590 pages) : illustrations 
Contents 
Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd  Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow  ExDividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow  The StopLoss StartGain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow  Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni  Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow  Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow  Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter  Pricing Options in an Extended BlackScholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka  Liquidity Premiums and the Expectations Hypothesis / R. Jarrow  Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield  The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow  Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton  Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow 

Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow  Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim  Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull  A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull  Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu  Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu  Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow  Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang  Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim 
Summary 
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous BlackScholesMerton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk. Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathJarrowMorton (HJM) model, together with papers on topics 
Bibliography 
Includes bibliographical references 
Notes 
Print version record 
Subject 
Derivative securities  Prices  Mathematical models.


Derivative securities  Prices  United States.

Genre/Form 
Aufsatzsammlung

Form 
Electronic book

ISBN 
9789812819222 (electronic bk.) 

9812819223 (electronic bk.) 
