Robert A. Jarrow

Biography

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Cornell SC Johnson College of Business. He is a co-creator of the Heath-Jarrow-Morton (HJM) model, the reduced form credit risk model, and the forward price martingale measure. These are the standard models used for pricing and hedging derivatives in major financial institutions. Jarrow was the first to distinguish forward/futures prices and to study market manipulation using arbitrage-pricing theory. He has written seven textbooks, including the first on the Black Scholes Merton and HJM models, and has over 200 academic journal publications.

Jarrow is on the advisory board of numerous academic journals including the Frontiers of Mathematical Finance. His research has won many awards, including the Graham and Dodd Scrolls Award 2001, the CBOE Pomerance Prize 1982, the Ross Best Paper Award 2008, and the Bernstein Fabozzi/Jacobs Levy Award 2009. In 1997, he was named IAFE Financial Engineer of the Year in recognition of his research accomplishments. He is currently an IAFE senior fellow. Jarrow 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 industry advisory boards.

Jarrow's teaching and research interests involve the study of mathematical finance, with particular emphasis on derivatives, asset pricing, and risk management. He is a graduate faculty representative in numerous fields: management, economics, operations research and information engineering, and applied mathematics.

Selected Publications

• Jarrow, Robert; Li, Siguang. "Index Design: Hedging and Manipulation"Quarterly Journal of Finance. 12.2 (2022): 2250005
• Jarrow, Robert; Liu, Yuxuan. "Asset price bubbles, wealth preserving, dominating, and replicating trading strategies"Frontiers of Mathematical Finance (Online Only). 2.1 (2023): 33-55
• Jarrow, Robert; Li, Siguang. "Interest rate swaps: a comparison of compounded daily versus discrete reference rates"Review of Derivatives Research. 26 (2023): 1-21
• Jarrow, Robert; Yildirim, Yildiray. "Inflation-Adjusted Bonds, Swaps, and Derivatives"Annual Review of Financial Economics. 15 (2023): 449-471
• Jarrow, Robert; Li, Siguang. "Media trading groups and short selling manipulation"Quantitative Finance. 23.7-8 (2023): 1035-1052
• Jarrow, Robert. "The no-arbitrage pricing of non-traded assets"Annals of Finance. 19.3 (2023): 401-418
• Jarrow, Robert; Liu, Yuxuan. "Portfolio optimization in the presence of asset price bubbles"Annals of Operations Research. (forthcoming).
• Jarrow, Robert; Kwok, Simon. "Futures Contract Collateralization and its Implications"Journal of Empirical Finance. 74 (2023): 101422
• Grigorian, Karen; Jarrow, Robert. "Filtration Reduction and Incomplete Markets"Frontiers of Mathematical Finance (Online Only). 3.1 (2024): 78-105

Awards and Honors

• IAFE/SunGard Financial Engineer of the Year (1997)
• Fixed Income Analysts Society (FIASI) Hall of Fame (2004) Fixed Income Analysts Society
• Member Risk Magazine's 50 member Hall of Fame (1900) Member Risk Magazine

Recent Courses

• NBAT 5900 - Advanced Topics in Finance
• NRE 5360 - Doctoral Seminar - Introduction to Asset Pricing Theory
• NBA 5550 - Fixed Income Securities and Interest Rate Options

Academic Degrees

• PhD Massachusetts Institute of Technology, 1979
• MBA Amos Tuck School of Business, Dartmouth College, 1976
• BA Duke University, 1974