Limit search to available items
Book Cover
Author Jarrow, Robert A.

Title Financial derivatives pricing : selected works of Robert Jarrow / Robert A. Jarrow
Published Singapore ; Hackensack, NJ : World Scientific, [2008]
Online access available from:
ProQuest Ebook Central Subscription    View Resource Record  


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 -- Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow -- The Stop-Loss Start-Gain 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 Black-Scholes 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 Black-Scholes-Merton 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 Heath-Jarrow-Morton (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.)