Statements (45)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
Person
|
| gptkbp:academicAdvisor |
gptkb:Robert_C._Merton
gptkb:David_A._Hsieh |
| gptkbp:affiliation |
gptkb:Cornell_University
|
| gptkbp:awards |
gptkb:CFA_Institute_Research_Foundation_Award
Fellow_of_the_American_Academy_of_Arts_and_Sciences Fellow_of_the_Econometric_Society |
| gptkbp:birthDate |
1947-01-01
|
| gptkbp:contribution |
Research on the relationship between risk and return
Research on the pricing of mortgage-backed securities Studies on the impact of liquidity on asset pricing Contributions to the understanding of interest rate derivatives Research on the implications of financial crises for asset pricing. Studies on the effects of behavioral finance on market outcomes Analysis of credit risk models Development of the Heath-Jarrow-Morton framework Research on the valuation of exotic options Studies on the dynamics of credit spreads Work on the implications of market frictions Work on the valuation of contingent claims Exploration of the role of arbitrage in financial markets Insights into the functioning of derivatives markets Research on the implications of stochastic volatility Research on the role of information in asset pricing Analysis of the effects of monetary policy on financial markets Analysis of the impact of regulation on financial markets Exploration of the relationship between corporate finance and asset pricing Insights into the behavior of interest rates over time |
| gptkbp:education |
gptkb:University_of_Chicago
gptkb:University_of_Illinois_at_Urbana-Champaign |
| gptkbp:field |
Finance
|
| https://www.w3.org/2000/01/rdf-schema#label |
Robert A. Jarrow
|
| gptkbp:influencedBy |
gptkb:Fischer_Black
gptkb:Robert_Merton |
| gptkbp:knownFor |
Options Pricing Theory
Term Structure Models Financial_Economics |
| gptkbp:nationality |
American
|
| gptkbp:publishes |
A Market Model for the Pricing of Options
A Theory of the Term Structure of Interest Rates The_Pricing_of_Options_on_Assets_with_Stochastic_Volatility |
| gptkbp:researchInterest |
Derivatives
Risk Management Asset Pricing Market Microstructure |