Jarrow, Robert

A landmark development in the longstanding research into yield ciuve modelling was presented by David Heath, Robert Jarrow and Andrew Morton in their 1989 paper, which formally appeared in volume 60 of Econometrica (1992). The paper considered interest-rate modelling as a stochastic process, but applied to the entire term structure rather than only the short-rate. The importance of the HJM presentation is this in a market that permits no arbitrage, where interest... 

David Heath, Robert Jarrow, and Andrew Morton, Bond Pricing and the Term Structure of Interest Rates A Discrete Time Approximation, Journal of Financial and Quantitative Analysis 25 (1990), pp. 419—440 Contingent Claim Valuation with a Random Evolution of Interest Rates, Review of Futures Markets 9 (1990), pp. 54-76 Bond Pricing and the Term Structure of Interest Rates, Econometrica 60, no. 1 (1992), pp. 77-105. 

Robert Jarrow and David Lando, A Markov Model for the Term Structure of Credit Spreads, Review of Financial Studies 10 (1997), pp. 481-523 Darrell Duffie and Kenneth Singleton, Modelling Term Structures of Defaultable Bonds, Review of Financial Studies (1997). 

Reduced Form Kamakura implements reduced form models from the Robert Jarrow family, such as the Jarrow-Chava version. These models use equity, debt, and credit derivative prices. 

Robert Jarrow and Stuart Turnbull, Pricing Derivatives on Financial Securities Subject to Default Risk, Journal of Finance 50, no. 1 (1995), pp. 53-86. Kamakura Risk Information Services Credit Risk Overview Kamakura s Press Release, Kamakura Launches Basel II Default Probability Service and Announces First Client, October 31, 2002. 

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