Robert A. Jarrow
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__NOTOC__ Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of
Investment Management Investment management is the professional asset management of various Security (finance), securities, including shareholdings, Bond (finance), bonds, and other assets, such as real estate, to meet specified investment goals for the benefit of inv ...
at the Johnson Graduate School of Management,
Cornell University Cornell University is a private statutory land-grant research university based in Ithaca, New York. It is a member of the Ivy League. Founded in 1865 by Ezra Cornell and Andrew Dickson White, Cornell was founded with the intention to ...
. Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing
interest rate derivative In finance, an interest rate derivative (IRD) is a derivative (finance), derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There a ...
s, a co-creator of the reduced form Jarrow–Turnbull
credit risk A credit risk is risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost principal and interest, disruption to cash flows, and increased ...
models employed for pricing
credit derivative In finance Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of Production (economics), production, Distribution (economics), distribution, and Consumptio ...
s, and the creator of the forward price martingale measure. These tools and models are now the standards utilized for pricing and hedging in major investment and commercial banks.The World According to Robert Jarrow
derivativesstrategy.com He is on the advisory board of ''Mathematical Finance'' – a journal he co-started in 1989. He is also an associate or advisory editor for numerous other journals and serves on the board of directors of several firms and professional societies. He is currently both an IAFE senior fellow and an
FDIC The Federal Deposit Insurance Corporation (FDIC) is one of two agencies that supply deposit insurance Deposit insurance or deposit protection is a measure implemented in many countries to protect bank depositors, in full or in part, from loss ...
senior fellow. He has served as the Director for Research of Kamakura Corporation since 1995. Professor Jarrow has been the recipient of numerous prizes and awards including the CBOE Pomerance Prize for Excellence in the Area of Options Research, the Graham and Dodd Scrolls Award, and the 1997 International Association of Financial Engineers IAFE/SunGard Financial Engineer of the Year Award. He is included in both the Fixed Income Analysts Society Hall of Fame and Risk Magazine's 50 member Hall of Fame. Publications include five books - ''Options Pricing'', ''Finance Theory'', ''Modeling Fixed Income Securities and Interest Rate Options (second edition)'', ''Derivative Securities (second edition), ''and ''And Introduction to Derivative Securities, Financial Markets, and Risk Management'' - as well as over 100 publications in leading finance and economic journals. He graduated ''
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'' from
Duke University Duke University is a Private university, private research university in Durham, North Carolina. Founded by Methodists and Quakers in the present-day city of Trinity, North Carolina, Trinity in 1838, the school moved to Durham in 1892. In 1924, t ...
in 1974 with a major in mathematics, received an MBA from the
Tuck School of Business The Tuck School of Business (also known as Tuck, and formally known as the Amos Tuck School of Administration and Finance) is the Graduate school, graduate business school of Dartmouth College, a Private university, private research university in ...
at
Dartmouth College Dartmouth College (; ) is a Private university, private research university in Hanover, New Hampshire. Established in 1769 by Eleazar Wheelock, it is one of the nine colonial colleges chartered before the American Revolution. Although founded t ...
in 1976 with highest distinction, and in 1979 he obtained a PhD in finance from the
MIT Sloan School of Management The MIT Sloan School of Management (MIT Sloan or Sloan) is the business school of the Massachusetts Institute of Technology, a private university in Cambridge, Massachusetts. MIT Sloan offers Bachelor's degree, bachelor's, Master's degree, master ...
under Robert C. Merton.


Selected publications

* Oldfield, George S.; Jarrow, Robert A. (1988) "Forward Options and Futures Options". ''Advances in Futures and Options Research'' * * * *


See also

* Heath–Jarrow–Morton framework *
Jarrow–Turnbull model The Jarrow–Turnbull model is a widely used "reduced-form" credit risk A credit risk is risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and include ...


References


External links


Profile
johnson.cornell.edu
Profile
kamakuraco.com
VitaSSRN Author page
{{DEFAULTSORT:Jarrow, Robert A. Living people American economists Financial economists Mathematical finance Cornell University faculty Johnson School faculty Tuck School of Business alumni Duke University Trinity College of Arts and Sciences alumni MIT Sloan School of Management alumni Year of birth missing (living people) Date of birth missing (living people)