Robert A. Jarrow

22.2k total citations · 4 hit papers
300 papers, 12.7k citations indexed

About

Robert A. Jarrow is a scholar working on Finance, Economics and Econometrics and Accounting. According to data from OpenAlex, Robert A. Jarrow has authored 300 papers receiving a total of 12.7k indexed citations (citations by other indexed papers that have themselves been cited), including 261 papers in Finance, 161 papers in Economics and Econometrics and 43 papers in Accounting. Recurrent topics in Robert A. Jarrow's work include Stochastic processes and financial applications (150 papers), Financial Markets and Investment Strategies (121 papers) and Credit Risk and Financial Regulations (99 papers). Robert A. Jarrow is often cited by papers focused on Stochastic processes and financial applications (150 papers), Financial Markets and Investment Strategies (121 papers) and Credit Risk and Financial Regulations (99 papers). Robert A. Jarrow collaborates with scholars based in United States, Australia and Canada. Robert A. Jarrow's co-authors include Stuart M. Turnbull, David Heath, A. J. Morton, David Lando, Philip Protter, Sudheer Chava, Fan Yu, Andrew Rudd, Kaushik I. Amin and Peter Carr and has published in prestigious journals such as The Journal of Finance, Journal of the American Statistical Association and Journal of Financial Economics.

In The Last Decade

Robert A. Jarrow

276 papers receiving 11.3k citations

Hit Papers

align trajectories sort by overperformance

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 1.8k citations Robert A. Jarrow et al. profile →
Pricing Derivatives on Financial Securities Subject to Credit Risk

1995 1.2k citations Robert A. Jarrow et al. profile →
A Markov Model for the Term Structure of Credit Risk Spreads

1997 889 citations Robert A. Jarrow, David Lando et al. profile →
Bankruptcy Prediction with Industry Effects

2004 571 citations Robert A. Jarrow et al. profile →

Author Peers

Peers are selected by citation overlap in the author's most active subfields. citations · hero ref

Author						Papers	Cites
Robert A. Jarrow	11.3k	4.7k	2.9k	1.1k	1.1k	300	12.7k
Francis A. Longstaff	11.9k 1.1×	5.2k 1.1×	2.3k 0.8×	2.2k 2.0×	774 0.7×	113	13.3k
Frank J. Fabozzi	6.6k 0.6×	4.7k 1.0×	2.2k 0.8×	987 0.9×	2.7k 2.5×	622	10.0k
Jun Pan	8.1k 0.7×	3.5k 0.7×	1.2k 0.4×	977 0.9×	781 0.7×	51	8.7k
Jonathan E. Ingersoll	11.7k 1.0×	6.3k 1.3×	1.6k 0.6×	2.6k 2.3×	1.2k 1.1×	57	13.6k
John Hull	7.4k 0.7×	3.0k 0.6×	697 0.2×	912 0.8×	653 0.6×	47	8.0k
Larry G. Epstein	6.3k 0.6×	8.1k 1.7×	1.7k 0.6×	2.7k 2.4×	2.2k 2.1×	96	12.0k
John C. Cox	14.6k 1.3×	7.0k 1.5×	1.6k 0.6×	2.3k 2.1×	1.5k 1.4×	19	16.4k
Steven L. Heston	8.4k 0.7×	3.6k 0.8×	561 0.2×	937 0.8×	670 0.6×	60	9.1k
Kenneth J. Singleton	13.7k 1.2×	8.0k 1.7×	2.0k 0.7×	6.0k 5.4×	775 0.7×	95	17.6k
Andrew Ang	14.0k 1.2×	9.5k 2.0×	3.8k 1.3×	4.7k 4.2×	1.4k 1.3×	157	16.4k

Countries citing papers authored by Robert A. Jarrow

Since Specialization

Citations

This map shows the geographic impact of Robert A. Jarrow's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Robert A. Jarrow with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Robert A. Jarrow more than expected).

Fields of papers citing papers by Robert A. Jarrow

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Robert A. Jarrow. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Robert A. Jarrow. The network helps show where Robert A. Jarrow may publish in the future.

Co-authorship network of co-authors of Robert A. Jarrow

This figure shows the co-authorship network connecting the top 25 collaborators of Robert A. Jarrow. A scholar is included among the top collaborators of Robert A. Jarrow based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Robert A. Jarrow. Robert A. Jarrow is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Jarrow, Robert A., et al.. (2024). Filtration reduction and incomplete markets. 3(1). 78–105. 4 indexed citations

Fusari, Nicola, et al.. (2024). Testing for Asset Price Bubbles Using Options Data. Journal of Business and Economic Statistics. 43(4). 807–821.

Wu, David Yu-Ting & Robert A. Jarrow. (2024). FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON. International Journal of Theoretical and Applied Finance. 27(05n06).

Jarrow, Robert A. & Donald R. van Deventer. (2023). A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital. Journal of risk management in financial institutions. 16(3). 237–237.

Jarrow, Robert A. & Yuxuan Liu. (2023). Portfolio optimization in the presence of asset price bubbles. Annals of Operations Research. 1 indexed citations

Jarrow, Robert A. & Yuxuan Liu. (2023). Portfolio Optimization in the Presence of Asset Price Bubbles. SSRN Electronic Journal. 1 indexed citations

Jarrow, Robert A., et al.. (2012). Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices. SSRN Electronic Journal. 2 indexed citations

Protter, Philip, et al.. (2011). A Liquidity Based Model for Asset Price Bubbles. SSRN Electronic Journal. 9 indexed citations

Jarrow, Robert A. & Philip Protter. (2009). Forward and Futures Prices with Bubbles. SSRN Electronic Journal. 2 indexed citations

10.

Carr, Peter, et al.. (2008). Robust Replication of Default Contingent Claims. Behaviour Research and Therapy. 86. 68–86. 1 indexed citations

11.

Fu, Michael C., et al.. (2007). Advances in Mathematical Finance. CERN Document Server (European Organization for Nuclear Research). 50 indexed citations

12.

Berndt, Antje, et al.. (2007). Restructuring risk in credit default swaps: An empirical analysis. Stochastic Processes and their Applications. 117(11). 1724–1749. 48 indexed citations

13.

Jarrow, Robert A., et al.. (2004). Estimating the Value of Delivery Options in Futures Contracts. SSRN Electronic Journal. 2 indexed citations

14.

Jarrow, Robert A. & Philip Protter. (2004). Structural vs Reduced Form Models: A New Information Based Perspective. SSRN Electronic Journal. 27 indexed citations

15.

Jarrow, Robert A.. (2001). Default Parameter Estimation Using Market Prices. SSRN Electronic Journal. 19 indexed citations

16.

Jarrow, Robert A., et al.. (2000). The Second Fundamental Theorem of Asset Pricing ? A New Approach. SSRN Electronic Journal. 3 indexed citations

17.

Jarrow, Robert A. & Éric Jacquier. (1999). Dynamic Evaluation of Contingent Claim Models (An Analysis of Model Error). SSRN Electronic Journal. 3 indexed citations

18.

Jarrow, Robert A. & Éric Jacquier. (1998). Model Error in Contingent Claim Models (Dynamic Evaluation). SSRN Electronic Journal. 1 indexed citations

19.

Jarrow, Robert A., et al.. (1998). Market Manipulation, Price Bubbles and a Model of the U.S. Treasury Securities Auction Market. SSRN Electronic Journal. 1 indexed citations

20.

Eisenberg, Larry & Robert A. Jarrow. (1991). Option Pricing with Random Volatilities in Complete Markets. SSRN Electronic Journal. 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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