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pro vyhledávání: '"Jarrow, Robert"'
Autor:
Grigorian, Karen, Jarrow, Robert
This paper studies the pricing and hedging of derivatives in frictionless and competitive, but incomplete jump-diffusion markets. A unique equivalent martingale measure (EMM) is obtained using filtration reduction to a fictitious complete market. Thi
Externí odkaz:
http://arxiv.org/abs/2304.06202
Autor:
Grigorian, Karen, Jarrow, Robert A.
In this paper we provide an exhaustive survey of the current state of the mathematics of filtration enlargement and an interpretation of the key results of the literature from the viewpoint of mathematical finance. The emphasis is on providing a well
Externí odkaz:
http://arxiv.org/abs/2303.03573
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through the possible
Externí odkaz:
http://arxiv.org/abs/2110.10936
Autor:
Jarrow, Robert1 (AUTHOR), Protter, Philip2 (AUTHOR), Quintos, Alejandra3 (AUTHOR) alejandra.quintos@wisc.edu
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p481-503. 23p.
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory (GAPT), which implies constant beta coefficient
Externí odkaz:
http://arxiv.org/abs/2011.04171
The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find those basis assets significantly related to low and hig
Externí odkaz:
http://arxiv.org/abs/2003.08302
Autor:
Jarrow, Robert A., Kwok, Simon S.
Publikováno v:
In Journal of Empirical Finance December 2023 74
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