Robert A. Jarrow

About

Professor Robert A. Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management and Professor of Finance and Economics at the Johnson Graduate School of Management at Cornell University. He is a member of the graduate field of Operations Research. Professor Jarrow joined the Cornell faculty in 1979 and has since established a distinguished career in the field of financial engineering and investment management. His research focuses on applied probability, financial engineering, and related areas, and he has made numerous contributions recognized through awards such as the IAFE Financial Engineer of the Year in 1997. He serves as managing editor of Mathematical Finance, coeditor of The Journal of Derivatives, and is involved with various other finance journals. Additionally, he is co-director of Cornell University's Certificate in Financial Engineering program and has served on corporate and advisory boards, reflecting his active engagement in both academic and practical aspects of finance.

Research topics

• Economics
• Financial economics
• Econometrics
• Business
• Mathematical economics

Selected publications

• Continuous-Time Asset Pricing Theory

  Springer finance · 2021-01-01 · 31 citations

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• Testing for Asset Price Bubbles Using Options Data

  Journal of Business and Economic Statistics · 2024-11-19 · 5 citations

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• Option Pricing in an Incomplete Market

  Quarterly Journal of Finance · 2024-05-31 · 3 citations

  articleSenior author

  The purpose of this paper is to illustrate the pricing of options in an incomplete market using the new consistent uplifted martingale measure methodology introduced by Grigorian and Jarrow [2024, Filtration Reduction and Incomplete Markets, Frontiers of Mathematical Finance, 3(1), 78–105; 2023, Filtration Reduction and Completeness in Brownian Motion Models. Working Paper, Cornell University; 2024, Filtration Reduction and Completeness in Jump-Diffusion Models. Working Paper, Cornell University…

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• The Valuation of Corporate Coupon Bonds

  Journal of Financial and Quantitative Analysis · 2025-04-07 · 2 citations

  articleOpen access

  Abstract This article proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes a more realistic recovery rate process. Most existing studies use a recovery rate process that is misspecified because it includes recovery for coupons due after default. Misspecification errors from assuming recovery on all coupons can be substantial; they increase with recovery rates, coupons, maturity, and default probabilities. For a large sample of market transac…

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• FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON

  International Journal of Theoretical and Applied Finance · 2024-08-01 · 2 citations

  articleSenior author

  This paper introduces a new methodology for estimating dynamically consistent forward rate curves, which are essential for obtaining arbitrage-free valuation and risk management models. Using U.S. Treasury data from January 2013 to June 2023, we fit dynamically consistent forward rates curves and test the goodness of fit between theoretical and observed prices. We compare the traditional static forward rate curve parameterizations (including Nelson–Siegel, Svensson, and cubic splines) with our n…

  PublisherDOI

Frequent coauthors

• Philip Protter

  77 shared

• Yıldıray Yıldırım

  34 shared

• Sujan Lamichhane

  Agriculture and Forestry University

  23 shared

• David C. Heath

  20 shared

• Siguang Li

  Hong Kong University of Science and Technology

  20 shared

• Martin Larsson

  Carnegie Mellon University

  19 shared

• Stuart M. Turnbull

  18 shared

• S. Lynch

  Bush Heritage Australia

  16 shared

Awards & honors

• IAFE Financial Engineer of the Year (1997)

Similar researchers at Cornell University

• David Rupperth-73
• Adrian Lewish-54
• Andrea Lodih-53