__NOTOC__ Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the

Johnson Graduate School of Management The Samuel Curtis Johnson Graduate School of Management is the Graduate school, graduate business school in the SC Johnson College of Business at Cornell University, a private university, private Ivy League university located in Ithaca, New Yor ...

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 tea ...

. Professor Jarrow is a co-creator of the

Heath–Jarrow–Morton framework The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular (as opposed to simple forward rates). When the volatility and drift of the in ...

for pricing

interest rate derivative In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of diff ...

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, a credit derivative refers to any one of "various instruments and techniques designed to separate and then transfer the '' credit risk''"The Economist ''Passing on the risks'' 2 November 1996 or the risk of an event of default of a co ...

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 to depositors in American depository institutions, the other being the National Credit Union Administration, which regulates and insures credi ...

senior fellow. He has served as the Director for Research of

Kamakura Corporation Kamakura Corporation is a global financial software company headquartered in Honolulu, Honolulu, Hawaii. It specializes in software and data for risk management for banking, insurance and investment businesses. The company was founded in 1990 by ...

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 The International Association for Quantitative Finance (IAQF), formerly the International Association of Financial Engineers (IAFE), is a non-profit professional society dedicated to fostering the fields of quantitative finance and financial engin ...

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 '' magna cum laude'' from Duke University in 1974 with a major in mathematics, received an

MBA A Master of Business Administration (MBA; also Master's in Business Administration) is a postgraduate degree focused on business administration. The core courses in an MBA program cover various areas of business administration such as accounti ...

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 business school of Dartmouth College, a private research university in Hanover, New Hampshire. Founded ...

Dartmouth College Dartmouth College (; ) is a 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 to educate Native ...

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, master's, and doctoral degree programs, ...

under

Robert C. Merton Robert Cox Merton (born July 31, 1944) is an American economist, Nobel Memorial Prize in Economic Sciences laureate, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especia ...

Selected publications

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

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)

Selected publications

See also

References

External links