34 citations · 45 across the 3 of their papers we have counts for
5 papers
Is there a bubble in LinkedIn's stock price?
Robert Jarrow, Younes Kchia, Philip Protter
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the financial press concern…
On progressive filtration expansion with a process
Younes Kchia, Philip Protter
In this paper we study progressive filtration expansions with cadlag processes. Using results from the weak convergence of sigma fields theory, we first establish a semimartingale…
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…
No arbitrage without semimartingales
Robert A. Jarrow, Philip Protter, Hasanjan Sayit
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In parti…
Modeling Credit Risk with Partial Information
Umut Cetin, Robert Jarrow, Philip Protter +1
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and…