Robert A. Jarrow, Ph.D. Biography

Managing Director, Research

Robert Jarrow is a Professor at the Samuel Curtis Johnson Graduate School of Management, Cornell University and director of research at Kamakura Corporation. He is the co-creator of the Heath-Jarrow-Morton model for pricing interest rate derivatives, the reduced form credit risk model for pricing credit derivatives, and the forward price martingale measure. His research was the first to study market manipulation using arbitrage-pricing theory, and to distinguish forward/futures prices.

He has been the recipient of numerous prizes and awards including the CBOE Pomerance Prize for Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, the 1997 IAFE/SunGard Financial Engineer of the Year Award, and Risk Magazine’s 2009 Lifetime Achievement Award.  He is on the advisory board of Mathematical Finance – a journal he co-started in 1989.  He is also an associate or advisory editor for numerous other journals. He is both an IAFE and a FDIC senior fellow. He is included in the Fixed Income Analysts Society Hall of Fame and the Risk Magazine’s 50 member Hall of Fame.  He has written five books, including the first textbooks on the Black Scholes and the HJM models, as well as over 195 publications in leading academic journals.