Original Research by Kamakura Corporation

Derivatives are not static, unchanging or inflexible. They are unfolding, evolving, shifting into new forms almost daily. Hence, any analytical tool that tries to incorporate and value derivatives must have scouts on the front lines; leading-edge thinkers to send back the latest, best intelligence from academia and the trading floor.

Kamakura Corporation’s senior management believes that providing leading-edge advice regarding financial theory requires leading-edge research. In keeping with this philosophy, Kamakura regularly conducts original research, either for publication or for in-house purposes. That is one of the reasons why Kamakura Corporation is a recognized leader in the application of advanced analytics to trading and financial risk management.

The following provides a complete bibliography of research by the professionals at Kamakura Corporation:

KAMAKURA WORKING PAPERS
PUBLICATIONS by Robert Jarrow
BOOKS by Robert Jarrow
EDITED BOOK OF READINGS by Robert Jarrow
OTHER KAMAKURA CORPORATION PUBLICATIONS
BOOKS by Donald van Deventer

Click on article number to download the Adobe Acrobat file. If you need to download the free Acrobat reader please go to the Adobe website.

KAMAKURA WORKING PAPERS

[WP43] Jens Hilscher with John Y. Campbell and Jan Szilagyi, "In Search of Distress Risk," forthcoming Journal of Finance

[WP42] Jens Hilscher with George Chacko and Peter Hecht, "Time Varying Expected Returns, Stochastic Dividend Yields, and Default Probabilities: Linking the Credit Risk and Equity Literatures."

[WP41] Jens Hilscher, "Is the Corporate Bond Market Forward Looking?" May 2007

[WP40] Jens Hilscher with Yves Nosbusch, "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," November 2007

[WP39] Robert Jarrow with Philip Protter, "Forward and Future Prices with Bubbles."

[WP38] Robert Jarrow with Xin Guo and Haizhi Lin, "Distressed Debt Prices and Recovery Rate Estimation."

[WP37] Donald van Deventer, "CDOs and the Credit Crisis: Complexity and model risk in the collateralized debt obligation market are severe."

[WP35] Robert Jarrow with Kazuhiro Shimbo and Philip Protter, "Asset Price Bubbles in Incomplete Markets."

[WP34] Robert Jarrow with Dilip Madan and Haluk Unal, "Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia."

[WP33] Robert Jarrow with Phillip Protter and Hasanjan Sayit, "No Arbitrage Without Semimartingales."

[WP31] Robert Jarrow with Melvyn Teo, Yiukuena Tse and Mitch Warachka, "A Robust Test of Market Efficiency."

[WP30] Robert Jarrow with Xin Guo and Yang Zeng, "Credit Risk Models with Incomplete Information."

[WP28] Robert Jarrow with Haito Li, Sheen Liu, and Chunchi Wu, "Valuing Callable Corporate Bonds in a Reduced Form Model Using a Call Intensity Process."

[WP26] Donald van Deventer, "Asset and Liability Management in Enterprise Wide Risk Management Perspective" forthcoming in Risk Management: A Modern Perspective, 2005, Michael Ong, editor. 278kb PDF

[WP25] Robert Jarrow and Donald van Deventer, "Estimating Default Correlations Using a Reduced Form Model." 530kb PDF

[WP22] Donald van Deventer, "Evaluating Yield Curve Smoothing Techniques with Implications for Credit Spreads." Available RiskCenter.com, January 22, 2004.

[WP20] Robert Jarrow, Rosalind Bennett, Michael Fu, Daniel Nuxoll, Huiju Zhang, "A General Martingale Approach to Measuring & Valuing the Risk to the FDIC Deposit Insurance Funds." 11/24/03 286kb PDF.

[WP19] Donald van Deventer, Li Li and Xioming Wang, "Advanced Credit Model Performance Testing to Meet Basel Requirements: How Things Have Changed!" Published in The Basel Handbook: A Guide for Financial Practitioners, second edition, (Michael Ong, Editor) 12/18/06 1,105kb PDF

[WP18] Robert Jarrow, Haitao Li & Feng Zhao, "Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture It?" 1/2003 794kb PDF

[WP17] Robert Jarrow, U. Cetin, P. Protter & M. Warachka, "Option Pricing with Liquidity Risk." 1/24/03 284kb PDF

[WP14] Donald van Deventer and Jaqui Outram, "The New Capital Accord and Internal Bank Ratings." 05/28/02 396kb PDF

[WP11] Donald van Deventer and Xiaoming Wang, "Basel II and Lessons from Enron: The Consistency of the  Merton Credit Model with Observable Credit Spreads and Equity Prices." 4/25/02 438kb PDF

[WP10] Robert Jarrow with Don van Deventer and Xiaoming Wang, “A Robust Test of Merton’s Structural Model for Credit Risk.”  9/09/03 229kb PDF

[96] Robert Jarrow and Sudheer Chava, “A Comparison of Explicit versus Implicit Estimates of Default Probabilities.” Revised 3/3/02 Available to Kamakura Clients Only

[95] Robert Jarrow and Sudheer Chava “Bankruptcy Prediction Using Hazard Rate Estimation: Industry Effects” Revised 3/3/02 Available to Kamakura Clients only.

[WP9] Robert Jarrow, with Joseph Cherian and Eric Jacquier and Xianghai Ma, “Convenience yields in on the run treasuries: Theories and Evidence.” Revised 3/02 291 kb PDF.

[WP8] Donald van Deventer, "Transfer Pricing Systems Design: Building Clarity in the  Responsibility for and Measurement of Risk." 1/2002. 341kb PDF

[WP7] Robert Jarrow, David Lando, and Fan Yu, “Default Risk and Diversification: Theory and Applications,” Revised 12/20/01 634kb PDF

[WP6] Robert Jarrow and Jason Cohen, "Markov Modeling in the Heath, Jarrow, Morton Term Structure Framework." 11/21/00 550kb PDF

[WP4] Robert Jarrow with Jana Hranaiova and William Tomek, “Estimating the Value of Delivery Options in Futures Contracts.” 1/23/01 96kb PDF

[WP1] Robert Jarrow, "Speech in Honor of Robert C. Merton. 1999 Mathematical Finance Day Lifetime Achievement Award." 4/25/99 11kb PDF

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PUBLICATIONS BY ROBERT JARROW

[130] "Measuring the Risk of Default: A Modern Approach," forthcoming, Risk Management Association Journal, (with Jens Hilscher and Don van Deventer).

[129] "Option Pricing Theory: Historical Perspectives," forthcoming, Encyclopedia of Quantitative Finance, ed. Rama Cont, John Wiley & Sons, Ltd.

[128] "Synthetic CDO Equity: Short or Long Correlation Risk?," forthcoming, Journal of Fixed Income, (with Don van Deventer).

[127] "Tax Liens: A Novel Application of Asset Pricing Theory," forthcoming, Review of Derivatives Research, (with Vikrant Tyagi).

[126] "CDO Valuation: Fact and Fiction," forthcoming, Risk Books and Journals:  The Complete Guide to CDOs, ed. G. Meissner, (with Li Li, Mark Mesler, Don van Deventer).

[125] "LEARNING CURVE: Synthetic CDOs: Short Or Long Correlation Risk?," Derivatives Week, Vol. XVII, (NO.12), (March 24, 2008), (with Donald van Deventer).

[124] "Modeling Loan Commitments," forthcoming, Finance Research Letters, (with Amiyatosh Purnanandam).

[123] "Capital Structure and the Present Value of a Firm's Investment Opportunities: A Reduced Form Credit Risk Perspective," forthcoming, Review of Derivatives Research, (with Amiyatosh Purnanandam).

[122] "Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information," forthcoming, Real Estate Economics, (with Andreas Christopoulos and Yildiray Yildirim).

[121] "Modeling the Recovery Rate in a Reduced Form Model," forthcoming, Mathematical Finance, (with Xin Guo and Yang Zeng).

[120] "The Determinants of Corporate Credit Spreads," Risk Magazine, (September 2007), (with Li Li, Mark Mesler, Don van Deventer).

[119] "Operational Risk," forthcoming, Journal of Banking and Finance.

[118] "Restructuring Risk in Credit Default Swaps: An Empirical Analysis," Stochastic Processes and Their Applications, 117 (11), (2007), (with Antje Berndt and ChoongOh Kang).

[117] "A Critique of Revised Basel II," Journal of Financial Services Research, 32 (1-2), (October 2007).

[116] "Information Reduction via Level Crossing in a Credit Risk Model," Finance and Stochastics, 11 (2), (April 2007), (with Philip Protter and A. Deniz Sezer).

[115] "Asset Price Bubbles in Complete Markets," Advances in Mathematical Finance, (2007), eds., M. Fu, R. Jarrow, J. Yen, R. Elliott, Birkhauser, Boston, MA.

[114] "A Tutorial on Zero Volatility and Option Adjusted Spreads," Advances in Mathematical Finance (2007), eds., M. Fu, R. Jarrow, J. Yen, R. Elliot, Birkhauser, Boston, MA.

[113] "Interest Rate Caps 'Smile' Too! But Can the LIBOR Market Models Capture It?," Journal of Finance, 629 (1), (February 2007), (with Haitao Li and Feng Zhao).

[112] "Downside Loss Aversion and Portfolio Management," Management Science, 52 (4), (April 2006), (with Feng Zhao).

[111] "Liquidity Risk and Classical Option Pricing Theory," Liquidity Risk Measurement and Management, eds. L. Matz and P. Neu, (2007), John Wiley & Sons (Asia).

[110] "A Loss Default Simulation Model of the Federal Bank Deposit Insurance Funds," Proceedings of the 2005 Winter Simulation Conference, M.E. Kuhl, N.M. Steiger, F.B. Armstrong, and J.A. Joines, eds., (with Rosalind Bennett, Daniel Nuxoll, Michael Fu, Huiju Zhang).

[109] "Liquidity Risk and Risk Measure Computation," Review of Future Markets, 11 (1), (Summer 2005), (with Philip Protter).

[108] "Pricing Option in an Extended Black-Scholes Economy with Illiquidity: Theory and Empirical Evidence," Review of Financial Studies, 19 (2), (Summer 2006), (with Umut Cetin, Philip Protter, Mitch Warachka).

[107] "An Introduction to Financial Asset Pricing," forthcoming, Handbook of Financial Engineering, ed., J. Birge and V. Linetsky, Elsvier Publishers, (with Philip Protter).

[106] "Liquidity Risk and Option Pricing Theory," forthcoming, Handbook of Financial Engineering, ed., J.Birge and V. Linetsky, Elsvier Publishers, (with Philip Protter).

[105] "Estimating Default Correlations Using a Reduced From Models," Risk Magazine, (January 2005), (with Don van Deventer).

[104] "Generalized Coherent Risk Measures: The Firm's Perspective," Finance Research Letters, 2, (2005), (with Amiyatosh Purnanandam).

[103] "Large Traders, Hidden Arbitrage and Complete Markets," Journal of Banking and Finance, 29, (2005), (with Philip Protter).

[102] "Bankruptcy Prediction with Industry Effects," Review of Finance, 8 (4), (2004), (with Sudheer Chava).

[101] "Estimating the Value of Delivery Options in Future Contracts," Journal of Financial Research, 28 (3), (Fall 2005), (with Jana Hranaiova and William Tomek).

[100] "Structural versus Reduced Form Models: A New Information Based Perspective," Journal of Investment Management, 2 (2), (2004), (with Philip Protter). 166kb PDF

[99] "Mathematics and Finance: A Fruitful Relationship," Finance Research Letters, 1 (2), (June 2004).

[98] "Risky Coupon Bonds as a Portfolio of Zero-Coupon Bonds," Finance Research Letters, 1(2), (June 2004), Vol. 45, (with Philip Protter).

[97] A Short History of Stochastic Integration and Mathematical Finance: The Early Years, 1880-1970," A Festschrift to Honor Herman Rubin, ed. Anirban Dasgupta, IMS Lecture Notes, Monograph Series, (2004), Vol. 45, (with Philip Protter).

[96] "Pratical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management: An Update," Credit Risk Models and Management, ed. David Shimko, Risk Publications, (2004), (with Don van Deventer).

[95] "Default Risk and Diversification: Theory and Empirical Applications," Mathematical Finance, 15 (1), (January 2005), (with David Lando and Fran Yu).

[94] "Liquidity Risk and Arbitrage Pricing Theory," Finance and Stochastics, 8 (3), (August 2004), (with Umut Cetin, Philip Protter).

[93] "Estimating the Term Structure of Corporate Debt with a Semiparametric Penalized Spline Model," Journal of the American Statistical Association, 99 (465), (March 2004), (with David Ruppert and Yan Yu).

[92] "Testing Market Efficiency using Statistical Arbitrage with Applications to Momentum and Value Strategies," Journal of Financial Economics, 73 (3), (September 2004), (with Steve Hogan, Melvyn Teo, and Mitch Warachka).

[91] "Pricing the Convenience Yield of Treasury Securities: Theory and Evidence," Review of Derivatives Research, 7 (2), (2004), (with Joseph Cherian and Eric Jacquier).

[90] "A Robust Test of Merton's Structural Model for Credit Risk," Journal of Risk, 6 (1), (2003), (with Don van Deventer and Xiaoming Wang).

[89] "Modeling Credit Risk with Partial Information," The Annals of Applied Probability, 14 (3), (August 2004), (with Umut Cetin, Philip Protter, Yildiray Yildirim).

[88] "Estimating Default Probabilities Implicit in Equity Prices," Journal of Investment Management, (2003, First Quarter), (with Tibor Janosi and Yildiray Yildirim). Reprinted in the Credit Market Handbook: Advanced Modeling Issues, e.d. Gifford Fong, John Wiley.

[87] "How Valuable is Credit Card Lending," The Journal of Derivatives, 11 (2), (2003), (with Arka Chatterjea, Robert Neal, Yildiray Yildirim).

[86] "Market Pricing of Deposit Insurance," Journal of Financial Services Research, Vol. 24, No. 2-3, pp. 93-119, 2003 (with Darrell Duffie, Amiyatosh Purnanandam and Wei Yang.)  300kb PDF

[85] "Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices," Journal of Risk, 5 (1), (2002), (with Tibor Janosi and Yildiray Yildirim). Reprinted in Innovations in Risk Management, ed. P. Jorion, 2004, Risk Books: London.

[84] “Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model,” forthcoming, Journal of Financial and Quantitative Analysis (with Yildiray Yildirim) 439kb PDF.

[83] “A Simple Model for Valuing Default Swaps When Both Market and Credit Risk Are Correlated,” The Journal of Fixed Income (with Yildiray Yildirim) November  2001. 880kb PDF

[82] “Put Option Premiums and Coherent Risk Measures,” forthcoming, Mathematical Finance. February 2001. 147kb PDF.

[81] “Counterparty Risk and the Pricing of Defaultable Securities,” Journal of Finance, 56 (5), (2001) (with Fan Yu). 384kb PDF

[80] “Default Parameter Estimation Using Market Prices,” Financial Analysts Journal, (Sept./Oct. 2001). 344kb PDF

[79] “Contingent Claim Models with Deterministic Volatility: Model Error versus Poor Estimation,” Model Risk, ed. R. Gibson, Risk Books, (2000), (with Eric Jacquier).

[78] “Arbitrage, Martingales, and Private Monetary Value,” Journal of Risk, 3 (1), (Fall 2000) (with Dilip Madan).

[77] “The Liquidity Discount,” Mathematical Finance, 11 (4), (March 2001), (with Ajay Subramanian). 854kb PDF

[76] “An Empirical Analysis of the Jarrow van Deventer Model for Valuing Non-Maturity Demand Deposits,” The Journal of Derivatives, (Fall 1999), (with Tibor Janoski and Ferdinando Zullo). 1,402kb PDF

[75]“The Intersection of Market and Credit Risk,” Journal of Banking and Finance, 24 (1), (2000), (with Stuart Turnbull).

[74] “In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation that Changed the World,” The Journal of Economic Perspectives, 13 (4), (Fall 1999). 1,078kb PDF

[73] “Practical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management: An Update,” forthcoming Credit Risk Models and Management, Risk Publications, (2004), (with Don van Deventer) 182kb PDF  

Reprinted in Credit: The Complete Guide to Pricing, Hedging and Risk Management, ed. A. Arvanitis and J. Gregory, 2001, Risk Books: London.

[72] “The Second Fundamental Theorem of Asset Pricing A New Approach,” Review of Financial Studies, (Winter 1999), (with Robert Battig). 179KB PDF

[71] “The Second Fundamental Theorem of Arbitrage Pricing Theory,” Mathematical Finance, (July 1999), (with Xing Jin and Dilip Madan).

[70] “Integrating Interest Rate Risk and Credit Risk in Asset and Liability Management,” Asset and Liability Management: The Synthesis of New Methodologies, Risk Publications, (1998), (with Don van Deventer) 396kb PDF

[69] "Bayesian Analysis of Contingent Claim Model Error," Journal of Econometrics, 94 (1), (2000), (with Eric Jacquier).

[68] “Current Advances in the Modeling of Credit Risk,” Derivatives: Tax, Regulation, Finance, (May/June 1998) 560kb PDF

[67] "Options Markets, Self-Fulfilling Prophecies, and Implied Volatilities," Review of Derivatives Research, 2 (1), (1998), (with Joseph Cherian).

[66] “Mopping up Liquidity,” Risk Magazine, (December 1997), (with Ajay Subramanian).

[65] “Hedging Contingent Claims on Semimartingales,” Finance and Stochastics, 3 (1), (January 1999), (with Dilip Madan).

[64] “The HJM Model: Its Past, Present, and Future,” Journal of Financial Engineering, 6 (4), (December 1997).

[63] "The Arbitrage-Free Valuation and Hedging of Demand Deposits and Credit Card Loans," Journal of Banking and Finance, 22 (3), (March 1998), (with Don van Deventer) 174kb PDF

[62] “Market Manipulation and a Model of the United States Treasury Securities Auction Market,” Journal of Financial and Quantitative Analysis, 33 (2), (June 1998), (with Arkadev Chatterjea). 10.1MB PDF

[61] “A Review of Gilster’s Option Pricing Theory: Is Risk Free Hedging Feasible?,” Financial Management, 26 (1), (Spring 1997).
Reprinted in Behavioral Finance, ed. H. Shefrin, 2000, Edward Elgar Publishing Ltd: Cheltenham, U.K.

[60] “New Developments in Option-Adjusted Valuation,” Derivatives Use, Trading and Regulation, 3 (1), (1997), (with Don van Deventer). 192kb PDF

[59] "An Integrated Approach to Hedging and Pricing Eurodollar Derivatives," Journal of Risk and Insurance, 64 (2), (1997), (with Stuart Turnbull).

[58] "A Unified Approach for Pricing Contingent Claims on Multiple Term Structures," Review of Quantitative Finance and Accounting, 10 (1), (January 1998), (with Stuart Turnbull). 596kb PDF

[57] “The Impact of Default Risk on Swap Rates and Swap Values,” Risk Magazine, 10 (5), (May 1997) (with Stuart Turnbull).
Reprinted in Hedging with Trees, 1998, Risk Publications: London.

[56] "Is Mean-Variance Analysis Vacuous: or Was Beta Still Born?" European Finance Review, 1 (1), (1997), (with Dilip Madan). 263kb PDF

[55] "A Markov Model for the Term Structure of Credit Risk Spreads," The Review of Financial Studies, 10 (1), (Summer 1997) (with David Lando and Stuart Turnbull). 543kb PDF

[54] "Option Pricing Using a Binomial Model with Random Time Steps (A Formal Model of Gamma Hedging)," Review of Derivatives Research, 1 (2) (1996), (with Heike Dengler).

[53] "Power Swaps: Disease or Cure?," Risk Magazine, 9 (2), (February 1996) (with Donald van Deventer). 410kb PDF

[52] "Credit Risk", C. Alexander, editor, Handbook of Risk Management and Analysis, John Wiley (1996) (with Stuart Turnbull).

[51] "Vital Statistics," Risk Magazine, 8 (4), (April 1995) (with Eric Jacquier).  Reprinted in Over the Rainbow: Developments in Exotic Options and Complex Swaps, 1995, Risk Publications: London. 277kb PDF

[50] "Option Pricing Using the Term Structure of Interest Rates to Hedge Systematic Discontinuities in Asset Returns," Mathematical Finance, 5 (4), (October 1995) (with Dilip Madan).

[49] "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, 50 (1), (March 1995) (with Stuart Turnbull). 1,452kb PDF

Reprinted in Credit Risk Models and Management, 1999, Risk Publications: London.
Reprinted in Options Markets, eds. G.M. Constantinides and A.G. Malliaris, 2000, Edward Elgar Publishing Ltd: Cheltenham, U.K.

[48] "A Discrete Time Synthesis of Derivative Security Valuation Using a Term Structure of Futures Prices," Jarrow, Maksimoviz, Ziemba, editors, Finance: Handbook in Operations Research and Management Science, North Holland, (1995) (with Peter Carr). 1,013kb PDF

[47] "Market Manipulation," Jarrow, Maksimoviz, Ziemba, editors, Finance: Handbook in Operations Research and Management Science, North Holland, (1995) (with Joseph Cherian).

[46] "Pricing Interest Rate Options," Jarrow, Maksimoviz, Ziemba, editors, Finance: Handbook in Operations Research and Management Science, North Holland, (1995).

[45] "Delta, Gamma and Bucket Hedging of Interest Rate Derivatives," Applied Mathematical Finance, 1, (September 1994) (with Stuart Turnbull). 830kb PDF

Reprinted in Surveys in Applied and Industrial Mathematics, 2 (5), (1995).
Reprinted in Interest Rate Risk Measurement and Management, editors D. Chambers and S. Nawalkha, Institutional Investor, Inc.

[44] "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, 29 (2), (June 1994). 1,052kb PDF

[43] "Option Pricing with Random Volatilities in Complete Markets," Review of Quantitative Finance and Accounting, 4 (1), (March 1994) (with Larry Eisenberg). 603kb PDF

Reprinted in Volatility: New Estimation Techniques for Pricing Derivatives, 1998, Risk Publications: London.

[42] "Market Manipulation and Corporate Finance: A New Perspective," Financial Management, (Summer 1993) (with Arkadev Chatterjea and Joseph Cherian). 837kb PDF

[41] "Futures," Douglas Greenwald, editor, Encyclopedia of Economics, McGraw-Hill, Inc., 1993.

[40] "A Simple Formula for Options on Discount Bonds," Advances in Futures and Options Research, Vol. 6, (1993) (with Robin Brenner). 238kb PDF

[39] "Diffusion Processes in Finance," The New Palgrave Dictionary of Money and Finance, 1993.

[38] "Credit Risk: Drawing the Analogy," Risk Magazine, 5 (9), (October 1992) (with Stuart Turnbull).

Reprinted in Derivative Credit Risk: Advances in Measurement and Management, 1995, Risk Publications: London.

[37] "Easier Done Than Said," Risk Magazine, 5 (9), (October 1992) (with David Heath, Andrew Morton, and Mark Spindel).

Reprinted in Over the Rainbow: Developments in Exotic Options and Complex Swaps, 1995, Risk Publications: London.

[36] "Pricing American Options on Risky Assets in a Stochastic Interest Rate Economy," Mathematical Finance, 2 (4), (October 1992) (withKaushik Amin). 702kb PDF

Reprinted in Vasicek and Beyond, 1997, Risk Publications: London.

[35] "Alternative Characterizations of American Put Options," Mathematical Finance, 2 (2), (April 1992) (with Peter Carr and Ravi Myneni).

[34] "Market Manipulation, Bubbles, Corners, and Short Squeezes," Journal of Financial and Quantitative Analysis, 27(3), (September 1992). 1,240kb PDF

[33] "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, 60(1), (January 1992) (with David Heath and Andrew Morton). 1,080kb PDF

Reprinted in Vasicek and Beyond, 1997, Risk Publications: London.
Reprinted in Options Markets, ed. G.M. Constantinides and A.G. Malliaris, 1999, Edward Elgar Pub., U.K.
Reprinted in The Debt Market, ed. Steve Ross and Franco Modigliani, 1999, Edward Elgar Pub., UK.
Reprinted in The New Interest Rate Models, ed. Lane Hughston, 2000, Risk Books: London.

[32] "A Characterization of Complete Security Markets on a Brownian Filtration," Mathematical Finance, 1 (3), (July 1991) (with Dilip Madan).

[31] "Pricing Foreign Currency Options Under Stochastic Interest Rates," Journal of International Money and Finance, 10(3), (September 1991) (with Kaushik Amin). 900kb PDF

[30] "The Relevance of Fiduciary Conflict-of-Interests in Control Versus Issue Proxy Contests," Journal of Financial and Quantitative Analysis, 26 (4), (December 1991) (with Chris Leach).

[29] "Large Trader Impact and Market Regulation," Financial Analysts Journal, (July/August 1991) (with Gary Gastineau). 1,013kb PDF

[28] "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, (December 1990) (with David Heath and Andrew Morton). 783kb PDF

[27] "The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value," The Review of Financial Studies, 3 (3), (1990) (with Peter Carr).

[26] "Contingent Claims Valuation with a Random Evolution of Interest Rates," The Review of Futures Markets, 9 (1), (1990) (with David Heath and Andrew Morton). 850kb PDF

[25] "Primes and Scores: An Essay on Market Imperfections," Journal of Finance, 5 (December 1989) (with Maureen O'Hara). 1,278kb PDF

[24] "Option Pricing and Implicit Volatilities: A Review and a New Perspective," Journal of Economic Surveys, 3 (1989) (with Jim Wiggins).

[23] "Bribes, Power, and Managerial Control in Corporate Voting Games," Theory and Decision, 26 (1989) (with Chris Leach).

[22] "Forward Options and Futures Options," Advances in Futures and Options Research, 3 (1988) (with George Oldfield). 568kb PDF

[21] "Preferences, Continuity, and the Arbitrage Pricing Theory," The Review of Financial Studies, 2 (1988). 711kb PDF

[20] "Ex-Dividend Stock Price Behavior and Arbitrage Opportunities," Journal of Business, 61 (1), (1988) (with David Heath). 678kb PDF

[19] "Beliefs and Arbitrage Pricing," Economics Letters, 24 (1987).

[18] "Arbitrage, Continuous Trading, and Margin Requirements," Journal of Finance, 5 (December 1987) (with David Heath). 737kb PDF

[17] "The Pricing of Commodity Options with Stochastic Interest Rates," Advances in Futures and Options Research, 2 (1987).

[16] "An Integrated Axiomatic Approach to the Existence of Ordinal and Cardinal Utility Functions," Theory and Decision, 22 (March 1987).

[15] "Spanning and Completeness in Markets with Contingent Claims," Journal of Economic Theory, 41 (February 1987) (with Richard Green).

[14] "The Relationship Between Arbitrage and First Order Stochastic Dominance," Journal of Finance, 4 (September 1986).

[13] "A Characterization Theorem for Unique Equivalent Martingale Probability Measures," Economics Letters, 22 (1986).

[12] "Jump Risks and the Intertemporal Capital Asset Pricing Model," Journal of Business, 57 (July 1984) (with Eric Rosenfeld).

[11] "The Error Learning Hypothesis: The Evidence Reexamined," Journal of Economics and Business, 36 (May 1984). 521kb PDF

[10] "Consensus Beliefs Equilibrium and Market Efficiency," Journal of Finance, 3 (June 1983) (with David Easley).

[9] "A Comparison of the APT and CAPM: A Note," Journal of Banking and Finance, 7 (June 1983) (with Andrew Rudd).

[8] "Tests of an Approximate Option Valuation Formula," Option Pricing: Theory and Applications, 1983, edited by Menachem Brenner, Lexington Books (with Andrew Rudd).

[7] "Approximate Option Valuation for Arbitrary Stochastic Processes," Journal of Financial Economics, 10 (November 1982) (with Andrew Rudd).

[6] "Liquidity Premiums and the Expectations Hypothesis," Journal of Banking and Finance, 5 (December 1981). 319kb PDF

[5] "Forward Contracts and Futures Contracts," The Journal of Financial Economics, 4 (December 1981) (with George Oldfield). 452kb PDF

[4] "Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices," The Journal of Finance, 5 (December 1980).

[3] "Negotiations versus Competition in the Sale of Securities," Financial Management, (Fall 1978) (with Dennis Logue).

[2] "The Relationship Between Yield, Risk, and Return of Corporate Bonds," The Journal of Finance, 4 (September 1978).

[1] "An Autoregressive Jump Process for Common Stock Returns," The Journal of Financial Economics, 5 (1977) (with George Oldfield and Richard Rogalski).

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BOOKS by Robert Jarrow

Volatility, 1998, Risk Books.

Asset & Liability Management: A Synthesis of New Methodologies, 1998, Risk Books

Derivative Securities, 1996, Southwestern Publishing Co.,Second edition, Fall 1999 (with Stuart Turnbull).

Modelling Fixed Income Securities and Interest Rate Options, 1996,   McGraw-Hill Book Company. 

Translated into Japanese, 1997, Japan UNI Agency, Inc., Tokyo.
Translated into Korean, 1997, Bob Mun Sa Publishing Co

Over The Rainbow Developments in Exotic Options & Complex Swaps, 1996, Risk Books.

Finance Theory, 1988, Prentice-Hall, Inc.

Option Pricing, 1983, Richard D. Irwin, Inc. (with Andrew Rudd).

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EDITED BOOK OF READINGS

Finance: Handbook in Operations Research and Management Science, North Holland, 1995 (with V. Maksimoviz and W. Ziemba).

Translated into Japanese, 1997.

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OTHER KAMAKURA CORPORATE PUBLICATIONS

[321] van Deventer, Donald R. featured in "The Crisis So Far: A Market Restructured," by Todd Davenport.  American Banker, April 23, 2008.

[320] van Deventer, Donald R., "A Introduction to Credit Risk Models," Chapter 14 in Advanced Bond Portfolio Management, edited by Frank J. Fabozzi, Lionel Martellini, and Philippe Praiaulet.  John Wiley and Sons, Hoboken, New Jersey, 2006.

[319] van Deventer, Donald R., "Innovations in Credit Risk Modeling", in Fixed Income Tools for Enhancing Returns and Meeting Client Objectives, published by CFA Institute, 2005.

[318] Murate, Toshio and Donald R. van Deventer, "Rating Agencies, the Copula Model and the Subprime Crisis," [in Japanese] Kinyu Business, Toyo Keizai, Autumn, 2007.

[317] Imai Kenji & Donald van Deventer. "Measuring Predictive Capability of Credit Models Under the Basel Capital Accords: Conseco and Results from the United States, 1963-1998." 140kb PDF

Part 1: Bank Asset/Liability Management Newsletter, Vol. 19, No. 4, April 2003 pages 7-8.
Part 2: Bank Asset/Liability Management, vol 19, no. 5, May 2003, pages 6-8.

[316] Holt, George. "Improving the score: dynamic models." Credit Risk International, November-December 2002 One of the criticisms of traditional credit scoring approaches is that they are static: the predicted outcome is at a set point in the future. However, defaults can occur at any time. In this article the author looks at the difference between the two approaches applied to commercial credit. Is it time to take a less static view of credit risk?

[315] Adams, Kenneth J. and Donald R. van Deventer.  "Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness.”  Journal of Fixed Income, June 1994. 631kb PDF