Robert A. Jarrow

Robert A. Jarrow

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

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.; Roch, Alex.  "Liquidity Risk and the Term Structure of Interest Rates"  Mathematics and Financial Economics  (Accepted)

  • Jarrow, Robert A.; Li, H..  "The Impact of a Central Bank’s Bond Market Intervention on Foreign Exchange Rates"  Quarterly Journal of Finance and Accounting  (Accepted)

  • Jarrow, Robert A..  "Forward Rate Curve Smoothing"  Annual Review of Financial Economics  (Accepted)

  • Jarrow, Robert A.; Silva, F..  "Risk Measures and the Impact of Asset Price Bubbles"  Journal of Risk  (Accepted)

  • Jarrow, Robert A.; Protter, Philip E.; Pulido, Sergio.  "The Effect of Trading Futures on Short Sale Constraints"  Mathematical Finance  (Accepted)

Published Papers

Working Papers

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

  • Jarrow, Robert A.; Xu, Henry.  "Bank Runs and Self-Insured Deposits"

  • 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.; Larsson, M..  "Informational Efficiency Under Short Sale Constraints"

  • Jarrow, Robert A.; Protter, P..  "Liquidity Suppliers and High Frequency Trading"

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

  • 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?"

  • Jarrow, Robert A.; Kwok, Simon.  "Specification Tests of Calibrated Option Pricing Models"

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

Scholarly Books


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.