Robert A. Jarrow
Encyclopedia
Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management
at the Johnson Graduate School of Management, Cornell University
. He graduated magna cum laude from Duke University
in 1974 with a major in mathematics, received an MBA from the Tuck School of Business
at Dartmouth College
in 1976 with highest distinction, and in 1979 he obtained a PhD in finance from the MIT Sloan School of Management
under Robert C. Merton
.
Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivative
s, a co-creator of the reduced form credit risk
models employed for pricing credit derivatives Jarrow–Turnbull model, 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. He is also one of the most respected researchers in credit risk.
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 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 senior fellow. He has served as Managing Director for Research of Kamakura Corporation since 1995. He is included in both the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50 member Hall of Fame.
Professor Jarrow's publications include four books: Options Pricing, Finance Theory, Modeling Fixed Income Securities and Interest Rate Options (second edition), and Derivative Securities (second edition), as well as over 100 publications in leading finance and economic journals.
Investment management
Investment management is the professional management of various securities and assets in order to meet specified investment goals for the benefit of the investors...
at the Johnson Graduate School of Management, Cornell University
Cornell University
Cornell University is an Ivy League university located in Ithaca, New York, United States. It is a private land-grant university, receiving annual funding from the State of New York for certain educational missions...
. He graduated magna cum laude from Duke University
Duke University
Duke University is a private research university located in Durham, North Carolina, United States. Founded by Methodists and Quakers in the present day town of Trinity in 1838, the school moved to Durham in 1892. In 1924, tobacco industrialist James B...
in 1974 with a major in mathematics, received an MBA from the Tuck School of Business
Tuck School of Business
The Amos Tuck School of Business Administration is the graduate business school of Dartmouth College in Hanover, New Hampshire, in the United States...
at Dartmouth College
Dartmouth College
Dartmouth College is a private, Ivy League university in Hanover, New Hampshire, United States. The institution comprises a liberal arts college, Dartmouth Medical School, Thayer School of Engineering, and the Tuck School of Business, as well as 19 graduate programs in the arts and sciences...
in 1976 with highest distinction, and in 1979 he obtained a PhD in finance from the MIT Sloan School of Management
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
under Robert C. Merton
Robert C. Merton
Robert Carhart Merton is an American economist, Nobel laureate in Economics, and professor at the MIT Sloan School of Management.-Biography:...
.
Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivative
Interest rate derivative
An interest rate derivative is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate...
s, a co-creator of the reduced form credit risk
Credit risk
Credit risk is an investor's risk of loss arising from a borrower who does not make payments as promised. Such an event is called a default. Other terms for credit risk are default risk and counterparty risk....
models employed for pricing credit derivatives Jarrow–Turnbull model, and the creator of the forward price martingale
Martingale
Martingale can refer to:*Martingale , a stochastic process in which the conditional expectation of the next value, given the current and preceding values, is the current value*Martingale for horses...
measure
Measure
- Legal :* Measure of the Church of England is a law passed by the General Synod and the UK Parliament equivalent of an Act* Measure of the National Assembly for Wales, a law specific to Wales passed by the Welsh Assembly between 2007 and 2011...
. These tools and models are now the standards utilized for pricing and hedging in major investment and commercial banks. He is also one of the most respected researchers in credit risk.
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
International Association of Financial Engineers
The International Association of Financial Engineers is a non-profit professional society dedicated to fostering the field of financial engineering. The IAFE hosts several panel discussions throughout the year to discuss the issues that affect the industry from both academic and professional angles...
IAFE/SunGard Financial Engineer of the Year Award. 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 senior fellow. He has served as Managing Director for Research of Kamakura Corporation since 1995. He is included in both the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50 member Hall of Fame.
Professor Jarrow's publications include four books: Options Pricing, Finance Theory, Modeling Fixed Income Securities and Interest Rate Options (second edition), and Derivative Securities (second edition), as well as over 100 publications in leading finance and economic journals.
Selected publications
- Oldfield, George S.George S. OldfieldGeorge S. Oldfield is a prominent academic in the field of finance. He was the Richard S. Reynolds, Jr. Professor of Finance at The Mason School of Business at the College of William & Mary, and a faculty member at Amos Tuck School of Business Administration at Dartmouth College and the S.C...
; Jarrow, Robert A. (1988) "Forward Options and Futures Options". Advances in Futures and Options Research