34 citations · 61 across the 9 of their papers we have counts for
11 papers
Filtration Reduction and Completeness in Jump-Diffusion Models
Karen Grigorian, Robert Jarrow
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 ob…
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples
Karen Grigorian, Robert A. Jarrow
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…
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
Robert Jarrow, Philip Protter, Alejandra Quintos
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 d…
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
Liao Zhu, Robert A. Jarrow, Martin T. Wells
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 ar…
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
Liao Zhu, Sumanta Basu, Robert A. Jarrow +1
The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor…
Informational Efficiency under Short Sale Constraints
Robert A. Jarrow, Martin Larsson
A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This pape…