Profile

Robert A. Jarrow

Robert A. Jarrow

Ronald P. & Susan E. Lynch Professor of Investment Management
Professor of Finance

Email: raj15@cornell.edu
451 Sage Hall
Samuel Curtis Johnson Graduate School of Management
Cornell University
Ithaca, NY 14853-6201
Phone: 607-255-4729

Professor Jarrow's teaching and research interests involve the study of mathematical finance. He is interested in derivatives, risk management, investments and asset pricing theory. Jarrow is currently engaged in research relating to asset management, liquidity risk, and risk management. He is a graduate faculty representative in four fields: management, economics, operations research and information engineering, and applied mathematics.

Jarrow is on the advisory board of Mathematical Finance and he is an associate editor for numerous other finance journals. His research has won numerous awards including the Graham and Dodd Scrolls Award 2001, the CBOE Pomerance Prize in 1982, and the Ross Best Paper Award in 2008. In 1997, he was named IAFE Financial Engineer of the Year in recognition of his research accomplishments. He is currently an IAFE senior fellow and an FDIC senior fellow. He is in the Fixed Income Analysts Society Hall of Fame, Risk Magazine's 50 member Hall of Fame, and listed in the Who's Who of Economics. He received Risk Magazine's Lifetime Achievement Award in 2009. He also serves on various corporate board of directors and advisory boards.

Curriculum Vitae (CV)

Click here to view the curriculum vitae (PDF document).

Accepted Papers

  • Jarrow, Robert A.; Larsson, Martin.  "Informational Efficiency Under Short Sale Constraints"  SIAM Journal on Financial Mathematics  (Accepted)

  • Jarrow, Robert A..  "Asset Price Bubbles"  Annual Review of Financial Economics  (Accepted)

  • Jarrow, Robert A.; Xu, Henry.  "Bank Runs and Self-Insured Bank Deposits"  Quarterly Review of Economics and Finance  (Accepted)

  • Jarrow, Robert A.; Kwok, Simon.  "Specification Tests of Calibrated Option Pricing Models"  Journal of Econometrics  (Accepted)

  • Jarrow, Robert A.; Protter, Philip.  "Liquidity Suppliers and High Frequency Trading"  SIAM Journal on Financial Mathematics  (Accepted)

  • Jarrow, Robert A.; Chatterjea, Arka.  "A Simplified Approach for Teaching Interest Rate Derivatives"  (Accepted)

  • Jarrow, Robert A.; van Deventer, Don.  "Simulating and Validating a Multi-factor HJM Model with Negative Interest Rates"  Journal of Risk Management in Financial Institutions  (Accepted)

Published Papers

Working Papers

  • Fung, Scott; Jarrow, Robert A.; Tsai, Shih-Chuan.  "An Empirical Investigation of Large Trader Market Manipulation in Derivatives Markets"

  • Protter, Philip; Jarrow, Robert A.; Bilina-Falafala , Roseline.  "Change of Numeraires and Relative Asset Price Bubbles"

  • Jarrow, Robert A.; Li, Haitao; Wei, Lai; Guan, Yongpei.  "Facing an Arbitrage Opportunity: Trade or Wait?"

  • Jarrow, Robert A.; Krishenik, A.; Minca, A..  "Optimal Cash Holdings under Heterogeneous Beliefs"

  • Emmerling, Thomas; Jarrow, Robert A.; Yildirim, Yildiray.  "Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases"

  • Jarrow, Robert A.; Protter, Philip.  "Positive Alphas and a Generalized Multiple-factor Asset Pricing Model"

  • Jarrow, Robert A.; Li, Haito; Song, Zhaogang.  "Re-examining Surprise Elements in Short-Rate Dynamics: Poisson Big Jumps or Levy Small Jumps?"

  • Hsieh, PeiLin Billy; Jarrow, Robert A..  "Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads"

Scholarly Books

Textbooks

Book Chapters

Book Sections

  • Jarrow, Robert A., 2010, Option Pricing Theory: Historical Perspectives, in Encyclopedia of Quantitative Finance, eds Rama Cont, John Wiley & Sons.

  • Jarrow, Robert A.; van Deventer, Don, 2010, Reduced Form Credit Risk Models, in Encyclopedia of Quantitative Finance, eds Rama Cont, John Wiley & Sons, Ltd.