… We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the
dollar payoff from a risky security into a certain payoff and a “spot exchange rate.” Arbitrage-free …

Motivated by recent financial crises in East Asia and the United States where the downfall of
a small number of firms had an economy‐wide impact, this paper generalizes existing …

The fundamental paradox of mathematics is that abstraction leads to both simplicity and
generality. It is a paradox because generality is often thought of as requiring complexity, but …

… As a first solution to this problem, liquidity risk has recently been incorporated into
arbitrage pricing theory as a convenience yield (see Jarrow and Turnbull 1997; Jarrow 2001). …

Recent advances in the theory of credit risk allow the use of standard term structure
machinery for default risk modeling and estimation. The empirical literature in this area often …

This paper investigates the forecasting accuracy of bankruptcy hazard rate models for US
companies over the time period 1962–1999 using both yearly and monthly observation …

This paper investigates the relation between ex-dividend stock-price behavior and arbitrage
opportunities. In a continuous trading, frictionless economy, we demonstrate that is possible …

This article provides a Markov model for the term structure of credit risk spreads. The model
is based on Jarrow and Turnbull (1995) , with the bankruptcy process following a discrete …

This paper investigates market manipulation trading strategies by large traders in a securities
market. A large trader is defined as any investor whose trades change prices. A market …

… However, we can incorporate these empirical observations into the reduced form of Jarrow
and … We will also discuss the question of correlation and its role in the Jarrow–Turnbull model. …