Robert A. Jarrow

Biography

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell’s SC Johnson College of Business. He is a co-creator of the Heath-Jarrow-Morton (HJM) model, the reduced form credit risk model, and the forward price martingale measure. These are the standard models used for pricing and hedging derivatives in major financial institutions. He was the first to distinguish forward/futures prices and to study market manipulation using arbitrage-pricing theory. He has written seven textbooks, including the first on the Black Scholes Merton (BSM) and Heath Jarrow Morton (HJM) models, and has over 250 academic journal publications.

He co-created two journals in mathematical finance, Mathematical Finance and the Frontiers of Mathematical Finance. Jarrow serves on the advisory board of numerous academic journals including the Frontiers of Mathematical Finance. His research has won many awards, including the Graham and Dodd Scrolls Award 2001, the CBOE Pomerance Prize 1982, the Ross Best Paper Award 2008, and the Bernstein Fabozzi/Jacobs Levy Award 2009. 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 industry advisory boards. He has consulted for the Federal Deposit Insurance Corporation (FDIC), the U.S. Treasury Department, the Federal Reserve Bank of New York, and numerous hedge funds and commercial and investment banks.

Education

PhD Massachusetts Institute of Technology, 1979
MBA Amos Tuck School of Business, Dartmouth College, 1976
BA Duke University, 1974

Research

• Hilscher, Jens; Jarrow, Robert; van Deventer, Donald. "The Valuation of Corporate Coupon Bonds"Journal of Financial and Quantitative Analysis. 60.5 (2025): 2259 - 2292
• Jarrow, Robert. "Arbitrage Pricing Theory 50 Years after Black Merton Scholes"Journal of Investment Management. 22.4 (2024)
• Fusari, Nicola; Jarrow, Robert; Lamichhane, Sujan. "Testing for Asset Price Bubbles Using Options Data"Journal of Business and Economic Statistics. 43.4 (2025): 807-821
• Grigorian, Karen; Jarrow, Robert. "No Arbitrage for a Special Class of Filtration Expansions"Annals of Finance. 21 (2025): 45-68
• Jarrow, Robert. "A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle"Quarterly Journal of Finance. 14.4 (2024): 2450016
• Grigorian, Karen; Jarrow, Robert. "Filtration Reduction and Completeness in Brownian Motion Models"Frontiers of Mathematical Finance. 5 (2025): 94-120
• Jarrow, Robert. "Optimal Strategies for Digital Assets with No Fundamental Value"Journal of Portfolio Management. 52.1 (2025): 44 - 51
• Jarrow, Robert. "Digital Assets, Bubbles, and Derivative Prices"Review of Derivatives Research. 28.3 (2025): 13
• Jarrow, Robert. "Do Bubbles Exist? Positive Digital Asset Market Prices are the Definitive Proof"Journal of Investment Management. 24.1 (2026)
• Wu, David; Jarrow, Robert. "The Treasury - SOFR Swap Spread Puzzle Explained"Quarterly Journal of Finance. 15.4 (2025): e2650001

Awards

• 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 (1900) Member Risk Magazine