Jarrow, Robert A.
Overview
Works:  155 works in 427 publications in 2 languages and 5,912 library holdings 

Genres:  Interviews Software Conference papers and proceedings Festschriften 
Roles:  Author, Editor, Speaker, Contributor, Creator, htt, Other, Thesis advisor, Honoree 
Publication Timeline
.
Most widely held works about
Robert A Jarrow
 Controllability of HeathJarrowMortonMusiela interest rate models by Thahir Bosch( )
Most widely held works by
Robert A Jarrow
Financial derivatives pricing : selected works of Robert Jarrow by
Robert A Jarrow(
)
17 editions published in 2008 in English and held by 1,237 WorldCat member libraries worldwide
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
17 editions published in 2008 in English and held by 1,237 WorldCat member libraries worldwide
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
Finance by
Vojislav Maksimović(
)
33 editions published between 1995 and 2006 in English and Undetermined and held by 785 WorldCat member libraries worldwide
33 editions published between 1995 and 2006 in English and Undetermined and held by 785 WorldCat member libraries worldwide
Over the rainbow : developments in exotic options and complex swaps by
Robert A Jarrow(
)
10 editions published in 1995 in English and held by 714 WorldCat member libraries worldwide
10 editions published in 1995 in English and held by 714 WorldCat member libraries worldwide
Modeling fixedincome securities and interest rate options by
Robert A Jarrow(
Book
)
41 editions published between 1995 and 2020 in English and Undetermined and held by 572 WorldCat member libraries worldwide
This text seeks to teach the basics of fixedincome securities in a way that requires a minimum of prerequisites. Its approach  the Heath Jarrow Morton model  under which all other models are presented as special cases, aims to enhance understanding while avoiding repetition
41 editions published between 1995 and 2020 in English and Undetermined and held by 572 WorldCat member libraries worldwide
This text seeks to teach the basics of fixedincome securities in a way that requires a minimum of prerequisites. Its approach  the Heath Jarrow Morton model  under which all other models are presented as special cases, aims to enhance understanding while avoiding repetition
Option pricing by
Robert A Jarrow(
Book
)
20 editions published between 1983 and 1987 in English and Undetermined and held by 487 WorldCat member libraries worldwide
20 editions published between 1983 and 1987 in English and Undetermined and held by 487 WorldCat member libraries worldwide
Derivative securities by
Robert A Jarrow(
Book
)
40 editions published between 1994 and 2000 in English and Undetermined and held by 435 WorldCat member libraries worldwide
The author makes the theory and practice of pricing and hedging derivative securities accessible to mainstream students in a comprehensive manner
40 editions published between 1994 and 2000 in English and Undetermined and held by 435 WorldCat member libraries worldwide
The author makes the theory and practice of pricing and hedging derivative securities accessible to mainstream students in a comprehensive manner
ContinuousTime Asset Pricing Theory : A MartingaleBased Approach by
Robert A Jarrow(
)
20 editions published between 2018 and 2021 in English and Undetermined and held by 342 WorldCat member libraries worldwide
Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhDlevel books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the BlackScholesMerton, the HeathJarrowMorton, and the reducedform credit risk models), multiplefactor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds
20 editions published between 2018 and 2021 in English and Undetermined and held by 342 WorldCat member libraries worldwide
Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhDlevel books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the BlackScholesMerton, the HeathJarrowMorton, and the reducedform credit risk models), multiplefactor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds
Finance theory by
Robert A Jarrow(
Book
)
16 editions published in 1988 in 3 languages and held by 318 WorldCat member libraries worldwide
Studies the basics of arbitrage pricing theory and equilibrium pricing under certainty. Builds on the material presented in the first part to study how uncertainty influences investor behavior and theorefore pricing
16 editions published in 1988 in 3 languages and held by 318 WorldCat member libraries worldwide
Studies the basics of arbitrage pricing theory and equilibrium pricing under certainty. Builds on the material presented in the first part to study how uncertainty influences investor behavior and theorefore pricing
Robert Jarrow interview : financial modeling(
Visual
)
1 edition published in 2008 in English and held by 204 WorldCat member libraries worldwide
This presentation, produced by Prendismo, features Robert Jarrow discussing the importance of risk management in the workplace
1 edition published in 2008 in English and held by 204 WorldCat member libraries worldwide
This presentation, produced by Prendismo, features Robert Jarrow discussing the importance of risk management in the workplace
Advances in mathematical finance by
Michael Fu(
Book
)
11 editions published in 2007 in English and held by 172 WorldCat member libraries worldwide
This selfcontained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting stateoftheart developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday. Specific topics covered include: * Theory and application of the VarianceGamma process * Lévy process driven fixedincome and creditrisk models, including CDO pricing * Numerical PDE and Monte Carlo methods * Asset pricing and derivatives valuation and hedging * Itô formulas for fractional Brownian motion * Martingale characterization of asset price bubbles * Utility valuation for credit derivatives and portfolio management Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering. Contributors: H. Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C. Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow, X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F. Milne, M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou
11 editions published in 2007 in English and held by 172 WorldCat member libraries worldwide
This selfcontained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting stateoftheart developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday. Specific topics covered include: * Theory and application of the VarianceGamma process * Lévy process driven fixedincome and creditrisk models, including CDO pricing * Numerical PDE and Monte Carlo methods * Asset pricing and derivatives valuation and hedging * Itô formulas for fractional Brownian motion * Martingale characterization of asset price bubbles * Utility valuation for credit derivatives and portfolio management Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering. Contributors: H. Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C. Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow, X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F. Milne, M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou
An introduction to derivative securities, financial markets, and risk management by
Robert A Jarrow(
Book
)
19 editions published between 2013 and 2019 in English and held by 142 WorldCat member libraries worldwide
"This introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics. With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and: shows how macroeconomic forces have shaped the markets; explains the major derivative pricing models using algebra and introductory calculus; shows students how to implement these models using basic statistics and elementary; Excel spreadsheet skills; discusses the uses of derivatives while warning against their abuses; presents hardtoteach interest rate derivatives in an intuitive manner; presents the HeathJarrowMorton model, which is the most advanced derivatives pricing model, in an accessible manner by presenting it sidebyside with classical option pricing theory. Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry."Provided by publisher
19 editions published between 2013 and 2019 in English and held by 142 WorldCat member libraries worldwide
"This introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics. With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and: shows how macroeconomic forces have shaped the markets; explains the major derivative pricing models using algebra and introductory calculus; shows students how to implement these models using basic statistics and elementary; Excel spreadsheet skills; discusses the uses of derivatives while warning against their abuses; presents hardtoteach interest rate derivatives in an intuitive manner; presents the HeathJarrowMorton model, which is the most advanced derivatives pricing model, in an accessible manner by presenting it sidebyside with classical option pricing theory. Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry."Provided by publisher
Volatility : new estimation techniques for pricing derivatives by
Robert A Jarrow(
Book
)
9 editions published in 1998 in English and held by 114 WorldCat member libraries worldwide
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on reallife situations
9 editions published in 1998 in English and held by 114 WorldCat member libraries worldwide
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on reallife situations
The economic foundations of risk management : theory, practice, and applications by
Robert A Jarrow(
Book
)
16 editions published between 2016 and 2017 in English and held by 105 WorldCat member libraries worldwide
"The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some wellknown risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the BlackScholesMerton, the HeathJarrowMorton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why."Publisher's website
16 editions published between 2016 and 2017 in English and held by 105 WorldCat member libraries worldwide
"The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some wellknown risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the BlackScholesMerton, the HeathJarrowMorton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why."Publisher's website
Derivative securities : the complete investor's guide by
Robert A Jarrow(
Book
)
5 editions published between 1996 and 1999 in English and held by 23 WorldCat member libraries worldwide
5 editions published between 1996 and 1999 in English and held by 23 WorldCat member libraries worldwide
Option pricing with random volatilities in complete markets by
Laurence K Eisenberg(
Book
)
3 editions published in 1991 in English and held by 17 WorldCat member libraries worldwide
3 editions published in 1991 in English and held by 17 WorldCat member libraries worldwide
Derivative securities by
Robert A Jarrow(
Book
)
3 editions published in 1996 in English and held by 14 WorldCat member libraries worldwide
3 editions published in 1996 in English and held by 14 WorldCat member libraries worldwide
Student solutions manual : An introduction to derivative securities, financial markets, and risk management by
Robert A Jarrow(
Book
)
1 edition published in 2013 in English and held by 12 WorldCat member libraries worldwide
Written entirely by the authors, the Solutions Manual provides worked solutions for all the problems in the book
1 edition published in 2013 in English and held by 12 WorldCat member libraries worldwide
Written entirely by the authors, the Solutions Manual provides worked solutions for all the problems in the book
Introduction to Derivative Securities, Financial Markets, and Risk Management, an (Second Edition) by
Robert A Jarrow(
)
1 edition published in 2018 in English and held by 11 WorldCat member libraries worldwide
1 edition published in 2018 in English and held by 11 WorldCat member libraries worldwide
Handbooks in Operations Research and Management Science : Finance(
)
1 edition published in 1995 in English and held by 10 WorldCat member libraries worldwide
1 edition published in 1995 in English and held by 10 WorldCat member libraries worldwide
Derivative securities by
Robert A Jarrow(
)
1 edition published in 1996 in English and held by 7 WorldCat member libraries worldwide
1 edition published in 1996 in English and held by 7 WorldCat member libraries worldwide
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Related Identities
 Ziemba, W. T. Contributor Editor
 Maksimovic, Vojislav 1955 Editor
 Fuji Capital Markets Corporation
 Turnbull, Stuart M. (Stuart McLean) Honoree
 Rudd, Andrew
 Prendismo (Firm)
 Fu, Michael 1962 Author Editor
 Chatterjea, Arkadev Author
 Yen, JuYi Editor
 Elliott, Robert J. (Robert James) 1940 Editor
Useful Links
Associated Subjects
Business Business enterprisesFinance Business mathematics Capital market CreditManagement Derivative securities Derivative securitiesMathematical models Derivative securitiesPrices Derivative securitiesPricesMathematical models Distribution (Probability theory) Economics, Mathematical Engineering mathematics Finance FinanceMathematical models Financial futures Financial institutions Financial risk management Fixedincome securities Fixedincome securitiesEconometric models Futures Heath, David C Interest rate futuresEconometric models Interest ratesEconometric models InvestmentsMathematical models InvestmentsMathematics Jarrow, Robert A Lévy processes Macroeconomics Martingales (Mathematics) Mathematical optimization Mathematics Musiela, Marek, Options (Finance) Options (Finance)Econometric models Options (Finance)Mathematical models Options (Finance)Prices Options (Finance)PricesMathematical models Options (Finance)ValuationMathematical models Organizational effectiveness Prices Probabilities Risk management Risk managementEconomic aspects Risk managementMathematical models Securities SecuritiesMathematical models Stochastic processes Stock price forecastingMathematical models Swaps (Finance) United States
Covers
Alternative Names
Jarrow, R.A.
Jarrow, R. A. 1952
Jarrow, Robert
Jarrow, Robert 1952
Jarrow, Robert Alan 1952
Robert A. Jarrow economista estadounidense
Robert A. Jarrow economista estatunidenc
Robert A. Jarrow economista estauxunidense
Robert A. Jarrow économiste américain
Robert A. Jarrow ekonomist amerikan
روبيرت اى. چارو
제로우, 로버트 1952
제로우, 로버트 A. 1952
제로우, 로버트 알렌 1952
ジャロウ, ロバート・A
ロバート・ジャロー
Languages