Overview
Robert Jarrow is a professor at Cornell University's Johnson Graduate School of Management and a co-founder of Kamakura Corporation. His research spans derivatives pricing, credit risk, and fixed income modeling. He is best known for the Heath-Jarrow-Morton (HJM) term structure model and the Jarrow-Turnbull credit risk model.
Key Contributions / Features
- Jarrow and Rudd (1982): Proposed polynomial expansion approximations for pricing options under arbitrary stochastic processes — the theoretical foundation for the non-parametric extensions tested in Jacquier-Jarrow (2000).
- Jacquier and Jarrow (2000): Bayesian MCMC analysis of contingent claim model error; predictive vs. fit density; showed non-parametric expansions fail out-of-sample despite in-sample improvement.
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