Robert A. Jarrow

9^th Most Popular Author in DefaultRisk.com

 

Cornell University -- Department of Finance
Ronald P. and Susan E. Lynch Professor of Investment Management
Johnson Graduate School of Management
451 Sage Hall
Ithaca, NY 14853-6201
USA

• MIT, Ph.D. ("in Finance, Minor field in economics") (1979)
• Work on derivatives is widely cited.  Currently involved in, Kamakura Corp, a risk management venture.
• Primary Area of Interest: Investments

Professor Jarrow's teaching and research interests involve the study of economic theory under uncertainty. He is interested in derivatives, risk management, investments and asset pricing theory. Professor Jarrow is currently engaged in research relating to the pricing of credit derivatives and exotic options. He is a Graduate Faculty representative in four fields: management, economics, operations research and industrial engineering, and applied mathematics. He is a coeditor of Mathematical Finance and an associate editor of the Journal of Financial and Quantitative Analysis, the Financial Review, Review of Financial Studies, Review of Derivatives Research, Journal of Fixed Income and the Review of Futures Markets. He was a Mobil scholar in 1993 and a member of the Merrill Lynch Academic Advisory Council. In 1997 he was named IAFE Financial Engineer of the year in recognition of his many contributions to the field.

Publications: that are posted on DefaultRisk.com

Credit Pricing

Counterparty Risk and the Pricing of Defaultable Securities
by Robert A. Jarrow of Cornell University, and
Fan Yu of the University of California at Irvine
(628K PDF) -- 44 pages -- October 2001

Jarrow, Robert A. and Stuart M. Turnbull, "Pricing Derivatives on Financial Securities Subject to Credit Risk", Journal of Finance, Vol. 50, No. 1, (March 1995), pp. 53-85. [Abstract]

Heath, David , Robert Jarrow, and Andrew Morton, "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation", Econometrica, (January 1992), Vol. 60, No. 1, pp 77-105. [Abstract]

Heath, David, Robert Jarrow, and Andrew Morton, "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation", Journal of Financial and Quantitative Analysis, Vol. 25, No. 4, (December 1990), pp. 419-440. [Abstract]

Credit Modeling

A Note on Lando's Formula and Conditional Independence
by Xin Guo of the University of California at Berkeley,
Robert A. Jarrow of Cornell University, and
Christian Menn of Cornell University
(200K PDF) -- 10 pages -- May 29, 2007

Credit Risk Models with Incomplete Information
by Xin Guo of the University of California at Berkeley,
Robert A. Jarrow of Cornell University, and
Yan Zeng of Florida State University
(313K PDF) -- 20 pages -- January 21, 2007

Structural Versus Reduced Form Models: A New Information Based Perspective
by Robert A. Jarrow of Cornell University, and
Philip Protter of Cornell University
(115K PDF) -- 10 pages -- May 2004

Modeling Credit Risk with Partial Information
by Umut Çetin of Cornell University,
Robert Jarrow of Cornell University,
Philip Protter of Cornell University, and
Yıldıray Yıldırım of Syracuse University
(103K PDF) -- 12 pages -- August 2004

Integrating Interest Rate Risk and Credit Risk in Asset and Liability  Management
by Robert A. Jarrow of Cornell University, and
Donald R. van Deventer of Kamakura Corporation
(143K PDF) -- 20 pages -- December 28, 1998

A Markov Model for the Term Structure of Credit Risk Spreads
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Stuart M. Turnbull of Queen's University
(467K PDF) -- 43 pages -- Summer 1997

Jarrow, Robert A. and Stuart M. Turnbull, "The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 271-299. [Abstract]

Credit Derivatives

A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated
by Robert Jarrow of Cornell University, and
Yildiray Yildirim or Syracuse University
(326K PDF) -- 31 pages -- December 10, 2001

Credit Correlation

Default Risk and Diversification: Theory and Empirical Implications
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Fan Yu of the University of California at Irvine
(197K PDF) -- 26 pages -- January 2005

Recovery Rates

Modeling the Recovery Rate in a Reduced Form Model
by Xin Guo of Cornell University,
Robert A. Jarrow of Cornell University, and
Yan Zeng of Bloomberg L.P.
(323K PDF) -- 32 pages -- August 30, 2007

Jarrow, Robert, "Default Parameter Estimation Using Market Prices", Financial Analysts Journal, Vol. 57, No. 5, (September/October 2001), pp. 75-92. [Abstract]

Supervisory

A Loss Default Simulation Model of the Federal Bank Deposit Insurance Funds
by Rosalind L. Bennett of the FDIC,
Daniel A. Nuxoll of the FDIC,
Robert A. Jarrow of Cornell University,
Michael C. Fu of the University of Maryland, and
Huiju Zhang of the University of Maryland
(144K PDF) -- 9 pages -- November 2005

Credit Scoring

Estimating Default Probabilities Implicit in Equity Prices
by Tibor Janosi of Cornell University,
Robert Jarrow of Cornell University, and
Yildiray Yildirim of Syracuse University
(337K PDF) -- 38 pages -- Q1 2003

Liquidity Risk

Liquidity Risk and Arbitrage Pricing Theory
by Umut Çetin of the Technical University of Vienna,
Robert A. Jarrow of Cornell University, and
Philip Protter of Cornell University
(238K PDF) -- 31 pages -- August 2004

Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
by Tibor Janosi of Cornell University,
Robert Jarrow of Cornell University, and
Yildiray Yildirim of Cornell University
(2,250K PDF) -- 39 pages -- June 20, 2002

Books:

	Advances in Mathematical Finance by editors: Michael C. Fu, Robert A. Jarrow, Ju-Yi J. Yen, Robert J. Elliott Birkhäuser Boston, (July 2007), Hardcover, 340 pages
	Derivative Securities: The Complete Investor's Guide by Robert Jarrow and Stuart Turnbull, South-Western Publications, (July 1999), Book & Disk edition, 602 pages
	Modelling Fixed Income Securities and Interest Rate Options, 2nd Edition by Robert Jarrow, Stanford University Press, (August 2002), Hardcover, 352 pages
	Option Pricing by Robert A. Jarrow Richard Irwin, Paperback, (August 1983)

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