BibTeX records: Robert Jarrow

download as .bib file

@article{DBLP:journals/siamfm/JarrowL20,
  author       = {Robert Jarrow and
                  Martin Larsson},
  title        = {Informational Efficiency with Trading Constraints: {A} Characterization},
  journal      = {{SIAM} J. Financial Math.},
  volume       = {11},
  number       = {4},
  pages        = {959--973},
  year         = {2020},
  url          = {https://doi.org/10.1137/20M1318948},
  doi          = {10.1137/20M1318948},
  timestamp    = {Sat, 09 Jan 2021 00:00:00 +0100},
  biburl       = {https://dblp.org/rec/journals/siamfm/JarrowL20.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/mansci/HsiehJ19,
  author       = {PeiLin Hsieh and
                  Robert Jarrow},
  title        = {Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in
                  an Incomplete Market},
  journal      = {Manag. Sci.},
  volume       = {65},
  number       = {4},
  pages        = {1833--1854},
  year         = {2019},
  url          = {https://doi.org/10.1287/mnsc.2017.2867},
  doi          = {10.1287/MNSC.2017.2867},
  timestamp    = {Tue, 30 Jun 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/mansci/HsiehJ19.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/siamfm/JarrowP15,
  author       = {Robert Jarrow and
                  Philip Protter},
  title        = {Liquidity Suppliers and High Frequency Trading},
  journal      = {{SIAM} J. Financial Math.},
  volume       = {6},
  number       = {1},
  pages        = {189--200},
  year         = {2015},
  url          = {https://doi.org/10.1137/140967702},
  doi          = {10.1137/140967702},
  timestamp    = {Mon, 26 Oct 2020 00:00:00 +0100},
  biburl       = {https://dblp.org/rec/journals/siamfm/JarrowP15.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/siamfm/JarrowL15,
  author       = {Robert A. Jarrow and
                  Martin Larsson},
  title        = {Informational Efficiency under Short Sale Constraints},
  journal      = {{SIAM} J. Financial Math.},
  volume       = {6},
  number       = {1},
  pages        = {804--824},
  year         = {2015},
  url          = {https://doi.org/10.1137/140963522},
  doi          = {10.1137/140963522},
  timestamp    = {Wed, 17 May 2017 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/siamfm/JarrowL15.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/fs/JarrowKLP13,
  author       = {Robert Jarrow and
                  Younes Kchia and
                  Martin Larsson and
                  Philip Protter},
  title        = {Discretely sampled variance and volatility swaps versus their continuous
                  approximations},
  journal      = {Finance Stochastics},
  volume       = {17},
  number       = {2},
  pages        = {305--324},
  year         = {2013},
  url          = {https://doi.org/10.1007/s00780-012-0183-2},
  doi          = {10.1007/S00780-012-0183-2},
  timestamp    = {Mon, 26 Oct 2020 00:00:00 +0100},
  biburl       = {https://dblp.org/rec/journals/fs/JarrowKLP13.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/siamfm/JarrowKP11,
  author       = {Robert Jarrow and
                  Younes Kchia and
                  Philip Protter},
  title        = {How to Detect an Asset Bubble},
  journal      = {{SIAM} J. Financial Math.},
  volume       = {2},
  number       = {1},
  pages        = {839--865},
  year         = {2011},
  url          = {https://doi.org/10.1137/10079673X},
  doi          = {10.1137/10079673X},
  timestamp    = {Mon, 26 Oct 2020 00:00:00 +0100},
  biburl       = {https://dblp.org/rec/journals/siamfm/JarrowKP11.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/mor/GuoJZ09,
  author       = {Xin Guo and
                  Robert A. Jarrow and
                  Yan Zeng},
  title        = {Credit Risk Models with Incomplete Information},
  journal      = {Math. Oper. Res.},
  volume       = {34},
  number       = {2},
  pages        = {320--332},
  year         = {2009},
  url          = {https://doi.org/10.1287/moor.1080.0361},
  doi          = {10.1287/MOOR.1080.0361},
  timestamp    = {Sun, 28 May 2017 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/mor/GuoJZ09.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/fs/JarrowPS07,
  author       = {Robert A. Jarrow and
                  Philip Protter and
                  A. Deniz Sezer},
  title        = {Information reduction via level crossings in a credit risk model},
  journal      = {Finance Stochastics},
  volume       = {11},
  number       = {2},
  pages        = {195--212},
  year         = {2007},
  url          = {https://doi.org/10.1007/s00780-006-0033-1},
  doi          = {10.1007/S00780-006-0033-1},
  timestamp    = {Wed, 22 Jul 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/fs/JarrowPS07.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/mansci/JarrowZ06,
  author       = {Robert Jarrow and
                  Feng Zhao},
  title        = {Downside Loss Aversion and Portfolio Management},
  journal      = {Manag. Sci.},
  volume       = {52},
  number       = {4},
  pages        = {558--566},
  year         = {2006},
  url          = {https://doi.org/10.1287/mnsc.1050.0486},
  doi          = {10.1287/MNSC.1050.0486},
  timestamp    = {Mon, 26 Jun 2023 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/mansci/JarrowZ06.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@inproceedings{DBLP:conf/wsc/BennettNJFZ05,
  author       = {Rosalind L. Bennett and
                  Daniel A. Nuxoll and
                  Robert A. Jarrow and
                  Michael C. Fu and
                  Huiju Zhang},
  title        = {A loss default simulation model of the federal bank deposit insurance
                  funds},
  booktitle    = {Proceedings of the 37th Winter Simulation Conference, Orlando, FL,
                  USA, December 4-7, 2005},
  pages        = {1835--1843},
  publisher    = {{IEEE} Computer Society},
  year         = {2005},
  url          = {https://doi.org/10.1109/WSC.2005.1574459},
  doi          = {10.1109/WSC.2005.1574459},
  timestamp    = {Thu, 10 Jun 2021 22:18:45 +0200},
  biburl       = {https://dblp.org/rec/conf/wsc/BennettNJFZ05.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/fs/CetinJP04,
  author       = {Umut {\c{C}}etin and
                  Robert A. Jarrow and
                  Philip Protter},
  title        = {Liquidity risk and arbitrage pricing theory},
  journal      = {Finance Stochastics},
  volume       = {8},
  number       = {3},
  pages        = {311--341},
  year         = {2004},
  url          = {https://doi.org/10.1007/s00780-004-0123-x},
  doi          = {10.1007/S00780-004-0123-X},
  timestamp    = {Wed, 22 Jul 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/fs/CetinJP04.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@article{DBLP:journals/fs/JarrowM99,
  author       = {Robert Jarrow and
                  Dilip B. Madan},
  title        = {Hedging contingent claims on semimartingales},
  journal      = {Finance Stochastics},
  volume       = {3},
  number       = {1},
  pages        = {111--134},
  year         = {1999},
  url          = {https://doi.org/10.1007/s007800050054},
  doi          = {10.1007/S007800050054},
  timestamp    = {Wed, 22 Jul 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/journals/fs/JarrowM99.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@incollection{DBLP:books/el/95/CarrJ95,
  author       = {Peter P. Carr and
                  Robert A. Jarrow},
  editor       = {Robert A. Jarrow and
                  Vojislav Maksimovic and
                  William T. Ziemba},
  title        = {Chapter 7 {A} discrete time synthesis of derivative security valuation
                  using a term structure of futures prices},
  booktitle    = {Finance},
  series       = {Handbooks in operations research and management science},
  volume       = {9},
  pages        = {225--249},
  publisher    = {Elsevier},
  year         = {1995},
  url          = {https://doi.org/10.1016/s0927-0507(05)80051-9},
  doi          = {10.1016/S0927-0507(05)80051-9},
  timestamp    = {Tue, 07 Nov 2023 12:00:44 +0100},
  biburl       = {https://dblp.org/rec/books/el/95/CarrJ95.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@incollection{DBLP:books/el/95/Jarrow95,
  author       = {Robert Jarrow},
  editor       = {Robert A. Jarrow and
                  Vojislav Maksimovic and
                  William T. Ziemba},
  title        = {Chapter 8 Pricing interest rate options},
  booktitle    = {Finance},
  series       = {Handbooks in operations research and management science},
  volume       = {9},
  pages        = {251--272},
  publisher    = {Elsevier},
  year         = {1995},
  url          = {https://doi.org/10.1016/s0927-0507(05)80052-0},
  doi          = {10.1016/S0927-0507(05)80052-0},
  timestamp    = {Sat, 09 May 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/books/el/95/Jarrow95.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@incollection{DBLP:books/el/95/CherianJ95,
  author       = {Joseph A. Cherian and
                  Robert A. Jarrow},
  editor       = {Robert A. Jarrow and
                  Vojislav Maksimovic and
                  William T. Ziemba},
  title        = {Chapter 20 Market manipulation},
  booktitle    = {Finance},
  series       = {Handbooks in operations research and management science},
  volume       = {9},
  pages        = {611--630},
  publisher    = {Elsevier},
  year         = {1995},
  url          = {https://doi.org/10.1016/s0927-0507(05)80064-7},
  doi          = {10.1016/S0927-0507(05)80064-7},
  timestamp    = {Sat, 09 May 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/books/el/95/CherianJ95.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@incollection{DBLP:books/el/95/JarrowMZ95,
  author       = {Robert Jarrow and
                  Vojislav Maksimovic and
                  William T. Ziemba},
  editor       = {Robert A. Jarrow and
                  Vojislav Maksimovic and
                  William T. Ziemba},
  title        = {Preface},
  booktitle    = {Finance},
  series       = {Handbooks in operations research and management science},
  volume       = {9},
  pages        = {v--xvii},
  publisher    = {Elsevier},
  year         = {1995},
  url          = {https://doi.org/10.1016/s0927-0507(05)80044-1},
  doi          = {10.1016/S0927-0507(05)80044-1},
  timestamp    = {Sat, 09 May 2020 01:00:00 +0200},
  biburl       = {https://dblp.org/rec/books/el/95/JarrowMZ95.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}

@book{DBLP:books/el/95/JMZ1995,
  editor       = {Robert A. Jarrow and
                  Vojislav Maksimovic and
                  William T. Ziemba},
  title        = {Finance},
  series       = {Handbooks in operations research and management science},
  volume       = {9},
  publisher    = {Elsevier},
  year         = {1995},
  url          = {https://www.sciencedirect.com/handbook/handbooks-in-operations-research-and-management-science/vol/9/suppl/C},
  isbn         = {978-0-444-89084-9},
  timestamp    = {Tue, 07 Nov 2023 00:00:00 +0100},
  biburl       = {https://dblp.org/rec/books/el/95/JMZ1995.bib},
  bibsource    = {dblp computer science bibliography, https://dblp.org}
}
a service of  Schloss Dagstuhl - Leibniz Center for Informatics

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.