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879 results on '"Jarrow, Robert A."'

3. Filtration Reduction and Completeness in Jump-Diffusion Models

Author

Grigorian, Karen and Jarrow, Robert

Subjects
Quantitative Finance - Mathematical Finance, Mathematics - Probability, Quantitative Finance - Pricing of Securities
Abstract

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 obtained using filtration reduction to a fictitious complete market. This unique EMM in the fictitious market is uplifted to the original economy using the notion of consistency. For pedagogical purposes, we begin with simple setups and progressively extend to models of increasing generality.

Published
2023

4. Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples

Author

Grigorian, Karen and Jarrow, Robert A.

Subjects
Quantitative Finance - Mathematical Finance, Mathematics - Probability, Quantitative Finance - Pricing of Securities
Abstract

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 viewpoint of mathematical finance. The emphasis is on providing a well-structured compendium of known mathematical results that can be used by researchers in mathematical finance. We mainly state the results and discuss their role and significance, with references provided for the omitted proofs. The discussion of mathematical results is accompanied by numerous examples from mathematical finance.

Published
2023

8. Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model

Author

Zhu, Liao, Jarrow, Robert A., and Wells, Martin T.

Subjects
Quantitative Finance - Statistical Finance, Statistics - Machine Learning
Abstract

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 arbitrage pricing theory (GAPT), which implies constant beta coefficients. The AMF model utilizes a Groupwise Interpretable Basis Selection (GIBS) algorithm to identify the relevant factors from among all traded ETFs. We compare the AMF model with the Fama-French 5-factor (FF5) model. We show that for nearly all time periods with length less than 6 years, the beta coefficients are time-invariant for the AMF model, but not for the FF5 model. This implies that the AMF model with a rolling window (such as 5 years) is more consistent with realized asset returns than is the FF5 model.

Published
2020

9. The Low-volatility Anomaly and the Adaptive Multi-Factor Model

Author

Jarrow, Robert A., Murataj, Rinald, Wells, Martin T., and Zhu, Liao

Subjects
Quantitative Finance - Statistical Finance, Statistics - Machine Learning
Abstract

The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find those basis assets significantly related to low and high volatility portfolios. These two portfolios load on very different factors, indicating that volatility is not an independent risk, but that it's related to existing risk factors. The out-performance of the low-volatility portfolio is due to the (equilibrium) performance of these loaded risk factors. The AMF model outperforms the Fama-French 5-factor model both in-sample and out-of-sample., Comment: 29 pages, 11 figures, 10 tables

Published
2020

12. High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model

Author

Zhu, Liao, Basu, Sumanta, Jarrow, Robert A., and Wells, Martin T.

Subjects
Quantitative Finance - Statistical Finance, Statistics - Machine Learning
Abstract

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 (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the convention that the number of risk-factors is small. We first obtain an adaptive collection of basis assets and then simultaneously test which basis assets correspond to which securities, using high-dimensional methods. The AMF model, along with the GIBS algorithm, is shown to have a significantly better fitting and prediction power than the Fama-French 5-factor model.

Published
2018
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14. Portfolio Optimization

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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15. Equilibrium

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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16. The Auxiliary Markets

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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17. Arbitrage Pricing Theory

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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18. Super- and Sub-Replication

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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19. Market Informational Efficiency

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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20. The Trading Constrained Market

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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21. Epilogue (The Fundamental Theorems and the CAPM)

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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22. A Representative Trader Economy

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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23. Characterizing the Equilibrium

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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24. Utility Functions

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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25. Incomplete Markets (Utility Over Terminal Wealth)

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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26. Complete Markets (Utility Over Terminal Wealth)

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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27. Reduced Form Credit Risk Models

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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28. Incomplete Markets

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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29. The Black Scholes Merton Model

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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30. The Heath Jarrow Morton Model

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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31. Basis Assets, Multiple-Factor Beta Models, and Systematic Risk

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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32. Stochastic Processes

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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33. Asset Price Bubbles

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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34. The Fundamental Theorems

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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37. Correction to: Continuous-Time Asset Pricing Theory

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Biagini, Francesca, Series Editor, Bouchard, Bruno, Series Editor, Broadie, Mark, Series Editor, Derman, Emanuel, Series Editor, Guasoni, Paolo, Series Editor, Rosenbaum, Mathieu, Series Editor, and Jarrow, Robert A.

Published
2021
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41. Option Pricing in an Incomplete Market.

Author

Grigorian, Karen and jarrow, Robert A.

Subjects
INCOMPLETE markets, BROWNIAN motion, MARKET pricing, CONSTRUCTION costs, MARTINGALES (Mathematics)
Abstract

The purpose of this paper is to illustrate the pricing of options in an incomplete market using the new consistent uplifted martingale measure methodology introduced by Grigorian and Jarrow [2024, Filtration Reduction and Incomplete Markets, Frontiers of Mathematical Finance, 3(1), 78–105; 2023, Filtration Reduction and Completeness in Brownian Motion Models. Working Paper, Cornell University; 2024, Filtration Reduction and Completeness in Jump-Diffusion Models. Working Paper, Cornell University]. We apply it to an incomplete market where a stock has stochastic volatility. Two valuation formulas are generated, depending upon whether the trader is more concerned about volatility or price risk in the construction of a partial replicating portfolio for the option's payoff. [ABSTRACT FROM AUTHOR]

Published
2024
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42. FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON.

Author

WU, DAVID and JARROW, ROBERT

Subjects
MARKET prices, GOODNESS-of-fit tests, PRICES, MARKET pricing, SPLINES
Abstract

This paper introduces a new methodology for estimating dynamically consistent forward rate curves, which are essential for obtaining arbitrage-free valuation and risk management models. Using U.S. Treasury data from January 2013 to June 2023, we fit dynamically consistent forward rates curves and test the goodness of fit between theoretical and observed prices. We compare the traditional static forward rate curve parameterizations (including Nelson–Siegel, Svensson, and cubic splines) with our new dynamically consistent methodology. The dynamically consistent forward rate curve estimates generally outperform the traditional static methods in reproducing market prices. [ABSTRACT FROM AUTHOR]

Published
2024
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45. Equilibrium

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Broadie, Mark, Series Editor, Davis, Mark, Series Editor, Derman, Emanuel, Series Editor, Klüppelberg, Claudia, Series Editor, Schachermayer, Walter, Series Editor, and Jarrow, Robert A.

Published
2018
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46. Portfolio Optimization

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Broadie, Mark, Series Editor, Davis, Mark, Series Editor, Derman, Emanuel, Series Editor, Klüppelberg, Claudia, Series Editor, Schachermayer, Walter, Series Editor, and Jarrow, Robert A.

Published
2018
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47. The Auxiliary Markets

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Broadie, Mark, Series Editor, Davis, Mark, Series Editor, Derman, Emanuel, Series Editor, Klüppelberg, Claudia, Series Editor, Schachermayer, Walter, Series Editor, and Jarrow, Robert A.

Published
2018
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48. Stochastic Processes

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Broadie, Mark, Series Editor, Davis, Mark, Series Editor, Derman, Emanuel, Series Editor, Klüppelberg, Claudia, Series Editor, Schachermayer, Walter, Series Editor, and Jarrow, Robert A.

Published
2018
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49. The Trading Constrained Market

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Broadie, Mark, Series Editor, Davis, Mark, Series Editor, Derman, Emanuel, Series Editor, Klüppelberg, Claudia, Series Editor, Schachermayer, Walter, Series Editor, and Jarrow, Robert A.

Published
2018
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50. Super- and Sub-replication

Author

Jarrow, Robert A., Avellaneda, Marco, Series Editor, Barone-Adesi, Giovanni, Series Editor, Broadie, Mark, Series Editor, Davis, Mark, Series Editor, Derman, Emanuel, Series Editor, Klüppelberg, Claudia, Series Editor, Schachermayer, Walter, Series Editor, and Jarrow, Robert A.

Published
2018
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