Professor Robert Jarrow Profiled as "The Innovator" by Bloomberg Publication
With David Heath, then in ORIE, Robert Jarrow established what is now the Financial Engineering Concentration at Cornell, where it is offered under the Master of Engineering degree program in ORIE. Peter Carr, a former Cornell finance professor who is the head of Quantitative Research at Bloomberg and the Master in Mathematical Finance program at NYU's Courant Institute, has written a profile called The Innovator, of Robert Jarrow, the Ronald P. and Susan E. Lynch Professor of Investment Management at Cornell.
The profile captures the evolution of Jarrow's interest in mathematical finance since his undergraduate study at Duke University, where he majored in both math and management science. He went on to rank No. 1 in his class at Dartmouth College's Tuck School of Business and to complete a Ph.D.( in three years) under Fischer Black and Robert C. Merton, who worked with Myron Scholes on the development of the Black-Scholes option-pricing model (in 1997 Scholes and Merton were awarded the Nobel Prize in Economic Sciences for this work; by that time Black had passed away). Jarrow joined Cornell's Johnson Graduate School of Management (JGSM) in 1979 and sat in on graduate classes in probability theory. This led to a scholarly collaboration with David Heath, an ORIE professor and probabilist who was looking for applications in finance. Together with Heath's graduate student Andrew Morton, the pair wrote a paper on what has come to be known as the Heath-Jarrow-Morton (HJM) framework. Heath is now an emeritus professor at Carnegie Mellon University and Morton rose to become global head of fixed income at Lehman Brothers.
The Jarrow profile, which appeared in the "Quant Corner" of Bloomberg Markets magazine, describes the evolution of the mathematical ideas in HJM in some detail, noting that the HJM research built on the work of Thomas Ho and Sang Bin Lee to exploit the power of probability theory in an application that was previously been analyzed using partial differential equations.
At Cornell, Jarrow, who has an appointment in ORIE as well as in JGSM, has been working with ORIE professor Philip Protter on foundational issues in mathematical finance concerning the validity of basic assumptions. "Cornell," Jarrow is quoted in the profile as saying, "is unusual among U.S. universities in that it allows people to work across academic boundaries. I work with people in mathematics, economics, engineering. The interaction of the different disciplines -- I always find that very enticing."
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