Robert Jarrow – Derivate Securities. The Complete Investors Guide
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Skilled investors know that to play in today’s high-risk global-investment environment, they must maximize return while hedging risk. To do this successfully, investors must understand the intricacies and nuances of a myriad of investment vehicles, many relatively new to the investment arena. In Derivative Securities: The Complete Investor’s Guide, two renowned experts show how a unified approach to derivatives that pays equal attention to options and futures pricing in both theory and practice, allows the investor to achieve his or her goals. Particular attention is paid to the issue of credit risk in pricing and the crucial function of risk management.
About the Author
Robert A. Jarrow holds the Ronald P. and Susan E. Lynch Professor of Investment Management chair at the S.C. Johnson Graduate School of Management at Cornell University. Professor Jarrow has written over 70 articles which have appeared in many publications including: The Journal of Financial Economics, The Journal of Finance, The Journal of Banking and Finance, Journal of Financial and Quantitative Analysis, Econometrica, and Mathematical Finance. In addition to co- writing DERIVATIVE SECURITIES, now in its second edition, with Stuart Turnbull, (South-Western College Publishing, 2000), Professor Jarrow has also co-authored OPTION PRICING with Andrew Rudd (Irwin, 1983), Finance Theory (Prentice-Hall, 1988), and Modelling Fixed Income Securities and Interest Rate Options (1996, McGraw Hill). Professor Jarrow also serves as co-editor of The Journal of Derivatives and is Associate Editor of The Journal of Risk, and The International Journal of Bonds. He is and has been involved with many other publications.
The recipient of numerous awards, including the 1997 IAFE/SunGard Financial Engineer of the Year, and the Mobil Oil Scholarship in 1993, Professor Jarrow serves on many prestigious boards and holds several directorships including: Advisory Board Member, Center for Financial Engineering, National University of Singapore; Board Directors, The American Finance Association; Co-Director, Cornell University’s Certificate in Financial Engineering Program; and Advisory Member, Merrill Lynch Academic Advisory Council.
Professor Jarrow has also worked as a consultant for the United States Securities and Exchange Commission and the United States Attorney’s office. He has consulted for Kamakura Corporation, Citicorp, Merrill Lynch, Bankers Trust, and other global corporations. Professor Jarrow received his B.A. degree from Duke University, his MBA from Dartmouth College’s Amos Tuck School of Business, and his Ph.D. from Massachusetts Institute of Technology.
Stuart M. Turnbull is Vice President of Global Analytics, the Canadian Imperial Bank of Commerce. He is in charge of developing the next generation of credit and market risk management models.
Prior to joining the Bank, Turnbull was the Bank of Montreal Professor of Banking and Finance, Queen’s University (Canada), and a Research Fellow, Institute for Policy Analysis (Toronto). He is a graduate of the Imperial College of Science and Technology (London) and the University of British Columbia. He is the author of OPTION VALUATION, and (with Robert A. Jarrow) DERIVATIVE SECURITIES. Widely known, he has published over 30 articles in major finance and economic journals, and in law and economics journals, as well as many articles in practitioner journals. He is co-author with Robert Jarrow of the J-T model of pricing credit derivatives, which is widely used by financial institutions. He has been a consultant to many financial institutions.
Stuart M. Turnbull is an associate editor of Mathematical Finance, the Journal of Financial Engineering, the International Journal of Theoretical and Applied Finance, and has served as an associate editor for the Journal of Finance.