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Robert Jarrow

Professor, Ronald P. & Susan E. Lynch Professor of Investment Management at Johnson Graduate School of Management at Cornell University

Schools

  • Johnson Graduate School of Management at Cornell University

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Biography

Johnson Graduate School of Management at Cornell University

Biography

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 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. 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.

Selected Publications

  • 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 (forthcoming).
  • 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 (forthcoming).
  • Jarrow, Robert. "An Equilibrium Capital Asset Pricing Model in Markets with Trading Constraints and Price Bubbles" International Journal of Theoretical and Applied Finance (forthcoming).
  • Emmerling, Thomas; Jarrow, Robert; Yildirim, Yildiray. "Portfolio Balance Effects and the Federal Reserve''s Large-Scale Asset Purchases" Studies in Economics and Finance (forthcoming).

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

Recent Courses

  • NBAT 5900 - Advanced Topics in Finance
  • NMI 5000 - Directed Reading and Research
  • NRE 5360 - Doctoral Seminar - Introduction to Asset Pricing Theory
  • NBA 5550 - Fixed Income Securities and Interest Rate Options

Academic Degrees

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

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