Robert Jarrow

Publication Activity (10 Years)

Years Active: 1999-2024
Publications (10 Years): 3

Top Topics

Financial Markets

Portfolio Theory

Top Venues

SIAM J. Financial Math.

Ann. Oper. Res.

Publications

Robert Jarrow, Philip Protter, Alejandra Quintos
Computing the probability of a financial market failure: a new measure of systemic risk. Ann. Oper. Res. 336 (1-2) (2024)
Robert Jarrow, Martin Larsson
Informational Efficiency with Trading Constraints: A Characterization. SIAM J. Financial Math. 11 (4) (2020)
PeiLin Hsieh, Robert Jarrow
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market. Manag. Sci. 65 (4) (2019)
Robert Jarrow, Philip Protter
Liquidity Suppliers and High Frequency Trading. SIAM J. Financial Math. 6 (1) (2015)
Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter
Discretely sampled variance and volatility swaps versus their continuous approximations. Finance Stochastics 17 (2) (2013)
Robert Jarrow, Younes Kchia, Philip Protter
How to Detect an Asset Bubble. SIAM J. Financial Math. 2 (1) (2011)
Robert Jarrow, Feng Zhao
Downside Loss Aversion and Portfolio Management. Manag. Sci. 52 (4) (2006)
Robert Jarrow, Dilip B. Madan
Hedging contingent claims on semimartingales. Finance Stochastics 3 (1) (1999)