34 citations · 61 across the 9 of their papers we have counts for
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q-fin.MF2023★ 2 cited
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…
q-fin.MF2023
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…
q-fin.MF2021★ 2 cited
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…