  Robert A. Jarrow10^{th} Most Prolific Credit Author in DefaultRisk.com 10^{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 148536201 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. Contact:   Email address secured by Enkoder.  Phone  +1 (607) 2554729  Fax  +1 (607) 2544590  email 

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, 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. 5385. Heath, David , Robert Jarrow, and Andrew Morton, "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation", Econometrica, Vol. 60, No. 1, (January 1992), pp 77105. 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. 419440. Credit Modeling Credit Risk Models with Incomplete Information by Xin Guo of the University of California, Berkeley, Robert A. Jarrow of Cornell University & Kamakura Corp., and Yan Zeng of Bloomberg (279K PDF)  19 pages  June 18, 2008 A Note on Lando's Formula and Conditional Independence by Xin Guo of the University of California, Berkeley, Robert A. Jarrow of Cornell University, and Christian Menn of Cornell University (200K PDF)  10 pages  May 29, 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. 12, (January 2000), pp. 271299. 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, Irvine (197K PDF)  26 pages  January 2005 Recovery Rates Distressed Debt Prices and Recovery Rate Estimation by Xin Guo of the University of California, Berkeley, Robert A. Jarrow of the Cornell University & Kamakura Corp., and Haizhi Lin of the Cornell University (383K PDF)  39 pages  January 26, 2009 Modeling the Recovery Rate in a Reduced Form Model by Xin Guo of Cornell University & University of California, Berkeley, 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. 7592. 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 (1,809K PDF)  38 pages  Fall 2002 Model Testing / Stress Testing Jarrow, Robert, Donald R. van Deventer, Xiaoming Wang, "A Robust Test of Merton's Structural Model for Credit Risk", Journal of Risk, Vol. 6, No. 1, (Fall 2003), 3958. Other Credit The Economic Default Time and the Arcsine Law by Xin Guo of the University of California, Berkeley, Robert A. Jarrow of the Cornell University & Kamakura Corp., and Adrien de Larrard of the Laboratoire de Probabilités et Modèles Aléatoires (328K PDF)  21 pages  January 21, 2011 Books:  Encyclopedia of Quantitative Finance (4Volume Set) Editor in Chief: Rama Cont Wiley, (April 26, 2010), Hardcover, 2194 pages   Advances in Mathematical Finance by editors: Michael C. Fu, Robert A. Jarrow, JuYi 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, SouthWestern Publications, (July 1999), Book & Disk edition, 602 pages   Modelling Fixed Income Securities and Interest Rate Options, 2^{nd} 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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