Robert A. Jarrow
- Ronald P. & Susan E. Lynch Professor of Investment Management
- Asset Management
- Quantitative Modeling
Professor Robert Jarrow is Ronald P. & Susan E. Lynch Professor of Investment Management and professor of finance at the Johnson Graduate School of Management. His 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 pricing, liquidity risk, price bubbles, and risk management. He is a graduate faculty representative at the Johnson Graduate School of Management in four fields: management, economics, operations research and information engineering, and applied mathematics.
Jarrow co-created the HJM model and the reduced form credit risk model, both of which are the standard models used by financial institutions and central banks around the world today. He was also the first to distinguish forward/futures prices and to study market manipulation using arbitrage-pricing theory.
Jarrow co-created the journal Mathematical Finance, and he is an advisory or 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. 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.
- Jarrow, Robert. "On the Existence of Competitive Equilibrium in Frictionless and Incomplete Stochastic Asset Markets"Mathematics and Financial Economics. 11.4 (2017): 455-477
- Jarrow, Robert; Larsson, Martin. "On Aggregation and Representative Agent Equilibria"Journal of Mathematical Economics. 74 (2018): 119-127
- Jarrow, Robert. "Asset Price Bubbles and Risk Management"Journal of Risk. 20.1 (2017): 59-76
- Jarrow, Robert. "An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles"Quarterly Journal of Finance. 8.2 (2018)
- Jarrow, Robert. "A CAPM with Trading Constraints and Price Bubbles"International Journal of Theoretical and Applied Finance. 20.8 (2017)
- Emmerling, Thomas; Jarrow, Robert; Yildirim, Yildiray. "Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases"Studies in Economics and Finance. 35.1 (2018): 2-24
- Jarrow, Robert; Lamichhane, Sujan. "The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions"Quarterly Journal of Finance. (forthcoming).
- Jarrow, Robert; Protter, Philip. "A Rational Asset Pricing Model for Premiums and Discounts or Closed-End Funds: The Bubble Theory"Mathematical Finance. 29.4 (2019): 1157-1170
- Jarrow, Robert; Li, Haitao; Ye, Xiaoxia; Hu, May. "Exploring Mispricing in the Term Structure of CDS Spreads"Review of Finance. 23.1 (2019): 161-198
- Jarrow, Robert; Protter, Philip. "Fair Microfinance Loan Rates"International Review of Finance. 19.4 (2019): 909-918
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
- IAFE Senior Fellow (1997) International Association of Financial Engineers
- NRE 5360 - Doctoral Seminar - Introduction to Asset Pricing Theory
- NBA 5550 - Fixed Income Securities and Interest Rate Options
- NBA 5500 - Risk Management and Derivative Investment
- PhD Massachusetts Institute of Technology, 1979
- MBA Amos Tuck School of Business, Dartmouth College, 1976
- BA Duke University, 1974