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

• Optimal Exercise of Brokered Callable Certificates of Deposit

  SSRN Electronic Journal · 2026-01-01

  preprintOpen accessSenior author
  PublisherDOI

• Asset Price Bubbles

  WORLD SCIENTIFIC eBooks · 2026-03-30

  book1st authorCorresponding
  PublisherDOI

• Asset Price Bubbles

  WORLD SCIENTIFIC eBooks · 2026-03-30

  book1st authorCorresponding
  PublisherDOI

• Asset Price Bubbles

  WORLD SCIENTIFIC eBooks · 2026-03-31

  book1st authorCorresponding
  PublisherDOI

• Catastrophe and Corporate Bonds: A Unified Approach to Pricing Natural Disaster Risks

  SSRN Electronic Journal · 2026-01-01

  preprintOpen access1st authorCorresponding
  PublisherDOI

• Filtration reduction and completeness in Brownian motion models

  Frontiers of Mathematical Finance · 2025-01-01 · 1 citations

  articleOpen accessSenior author

  This paper studies an incomplete Brownian motion market and uses filtration reduction to obtain a fictitious complete market with a unique pricing measure. We uplift this measure to the original market and study valuation and hedging via the uplifted measure. We show how a general market can be decomposed into a market corresponding to the reduced information plus a noise component. This allows us to give a precise meaning to the notion of irrelevant information in the context of a filtration reduction in an incomplete market.

  PublisherOA PDFDOI

• Pricing the Upside Potential to Downside Risk

  SSRN Electronic Journal · 2025-01-01

  preprintOpen access
  PublisherDOI

• Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective

  ArXiv.org · 2025-11-03

  preprintOpen accessSenior author

  We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price processes to the true price process under an increasing information flow; (ii) a specific mechanism of shrinking biases under increasing information flows; (iii) optimal aggregation of expert opinions by a trader seeking a positive alpha. All these problems are studied by means of (conditional) McKean-Vlasov-type SDEs, Wasserstein barycenters, KL divergence and relevant tools from convex optimization, optimal control and nonlinear filtering. We supply the theoretical results in (i)-(iii) with concrete simulations demonstrating how the proposed models can be applied in practice to model financial markets under information constraints and the arbitrage-seeking behavior of traders with differential beliefs.

  PublisherOA PDFDOI

• Digital assets, bubbles, and derivative prices

  Review of Derivatives Research · 2025-10-01 · 1 citations

  article1st authorCorresponding
  PublisherDOI

• Valuing Commercial Real Estate and its Real Options

  SSRN Electronic Journal · 2025-01-01

  preprintOpen access1st authorCorresponding
  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)