Continuous-Time Asset Pricing Theory

Über den Autor

Robert Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell's SC Johnson College of Business (Ithaca, New York) and director of research at Kamakura Corporation. 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 received numerous 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, and Risk Magazine's 2009 Lifetime Achievement Award. He is on the advisory board of Mathematical Finance - a journal he co-started in 1989, and he is an associate or advisory editor for numerous other journals. He is an IAFE senior fellow, and a member of the Fixed Income Analysts Society Hall of Fame and Risk Magazine's 50 member Hall of Fame. He has written seven books, including the first textbooks on the Black-Scholes and the HJM models, as well as over 200 publications in leading academic journals.