Robert A. Jarrow
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 the pricing of credit derivatives, liquidity risk, and risk management. He is a graduate faculty representative in four fields: management, economics, operations research and industrial engineering, and applied mathematics.
Jarrow is the managing editor of Mathematical Finance and an associate editor for numerous other finance journals. His research has won numerous awards including the Graham and Dodd Scrolls Award 2001 and the CBOE Pomerance Prize in 1982. 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 also serves on various corporate board of directors and advisory boards.
Modeling Fixed Income and Interest Rate Options--Lecture Notes
Selected Publications
Berndt, A., R. Jarrow and C. Kang (2007). "Restructuring Risk in Credit Default Swaps: An Empirical Analysis," Stochastic Processes and Their Applications, 117 (11), 1724-1729.
Jarrow, R. (2007). "A Critique of Revised Basel II," Journal of Financial Services Research, 32 (1-2), 1-16.
Jarrow, R., P. Protter and D. Sezer (2007). "Information Reduction via Level Crossings in a Credit Risk Model," Finance and Stochastics, 11 (2), 1-18.
Jarrow, R., H. Li and F. Zhao (2007). "Interest Rate Caps 'Smile' Too! But Can the LIBOR Market Models Capture It?," Journal of Finance, 62 (1), 345-382.
Jarrow, R. and F. Zhao (2006). "Downside Loss Aversion and Portfolio Management," Management Science, 52 (4), 558-566.
Cetin, U., R. Jarrow, P. Protter, and M. Warachka (2006). "Pricing Options in an Extended Black-Scholes Economy with Illiquidity: Theory and Empirical Evidence," Review of Financial Studies, 19 (2), 494-529.
Jarrow, R. and P. Protter (2005). "Liquidity Risk and Risk Measure Computation," Review of Futures Markets, 11 (1), 27-39.
Jarrow, R. and A. Purnanandam (2005). "Generalized Coherent Risk Measures: The Firm's Perspective," Finance Research Letters, 2, 23-29.
Jarrow, R. and P. Protter (2005). "Large Traders, Hidden Arbitrage and Complete Markets," Journal of Banking and Finance, 29, 2803-2820.
Jarrow, R. (2002). Modelling Fixed Income Securities and Interest Rate Options, Second edition, Stanford University Press.
Jarrow, R. and S. Turnbull, (2000). Derivative Securities, Second edition, Southwestern Publishing Co.
raj15@cornell.edu
451 Sage Hall
Johnson Graduate School of Management
Cornell University
Ithaca, NY 14853-6201
607-255-4729
