Among connoisseurs, Robert A Jarrow is known as a pro among pros, a mathematical finance maven, who understands real-world financial markets and translates that specified knowledge into mathematical models of that world. Relevant, rigorous, and right on the mark in problem-selection, are the constants that mark the unmistakable stamp of a Jarrow paper.The present book patiently develops the complex mathematical models at the foundation of option pricing, bond pricing, and credit pricing. The chapters reproduce articles that have become classics in the field. The chapters of this volume are rigorous and at times demanding of what the reader must do to gain the full benefits of what they offer. But whether a serious academic researcher, a seasoned quantitative professional, or a mathematically inclined novice student, the reader is in for a treat well-worth the effort: Bon appetit! –Robert C Merton Nobel Laureate, Economics 1997 Harvard Business School
Robert Jarrows selected works, with colleagues, are a tour de force of possible generalizations of the BlackScholesMerton options pricing analysis. Under some assumptions, the BlackScholes formula still holds; under others it is an approximation; under others it is not even close. Nothing about the BlackScholesMerton analysis seems to be left unexplored. And then Jarrow tells us that, although I have been studying the BlackScholesMerton model for almost 30 years, I still have not found answers to all of my questions about its structure. He then lists fascinating questions which he is currently exploring, but which are not ready for presentation in the current volume. –Harry M Markowitz Nobel Laureate, Economics 1990 UC, San Diego
This major selection of papers of Robert Jarrow, though only a fraction of his amazing output over nearly three decades, exemplifies his leadership in the world of financial mathematics and financial engineering, even before these fields were named. Always ahead of others with new methods, always relevant to real issues in financial markets, Jarrow covers all of the bases. Anyone who wants to see the path of development of these fields can find it in this great book. –Darrell Duffie Dean Witter Distinguished Professor of Finance Stanford University
Review
This major selection of papers of Robert Jarrow, though only a fraction of his amazing output over nearly three decades, exemplifies his leadership in the world of financial mathematics and financial engineering, even before these fields were named. Always ahead of others with new methods, always relevant to real issues in financial markets, Jarrow covers all of the bases. Anyone who wants to see the path of development of these fields can find it in this great book.
Review
Bob Jarrow is a giant in the field of financial engineering, and this volume of his most influential papers is a most welcome addition to the literature on derivatives, the term structure of interest rates, and credit-sensitive securities.
Book Description
Professor Robert Jarrow is extremely well known for his outstanding contributions to the subjects of mathematical economics and mathematical finance. This elegant volume contains an integrated collection of selected papers written by Professor Jarrow and his collaborators spanning decades of research. It covers several important topics including option pricing theory, interest rate modelling, and credit risk. The publication of this volume is long overdue. It will be of great help to anyone who wants to understand the inner workings of modern finance.
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