ROBERTA.JARROWSamuelCurtisJohnsonGraduateSchoolofManagement

CornellUniversityIthaca,NY14853607-255-4729

e-mail:raj15@cornell.edu

PROFESSIONALEXPERIENCE1979-present RonaldP.andSusanE.LynchProfessorofInvestmentManagement

SamuelCurtisJohnsonGraduateSchoolofManagement,CornellUniversity

2011-present FacultyMember,EconomicsDepartment,CornellUniversity

1998-present FacultyMember,OperationsResearchandInformationEngineering,CornellUniversity

1998(Summer) VisitingScholar,SchoolofManagement,BostonUniversity

1990(Summer) BarclaysdeZoeteWeddVisitingProfessorAustralianGraduateSchoolofManagementTheUniversityofNewSouthWales,Australia

1989(Summer) DistinguishedVisitingLecturerinPh.D.ProgramSwedishSchoolofEconomicsandBusinessAdministrationHelsinki,Finland

PROFESSIONALACTIVITIES2020–present BoardofDirectors,ScientificAssociationofMathematicalFinance,Inc.(SIAM) PresidentofSIAM,Inc.2006-present BoardofDirectors,KamakuraCorporation1995–present DirectorofResearchandManagingDirector,KamakuraCorporation2013–2014 ProductAdvisoryBoard,Decura2011–2012 BoardofDirectors,TriangleFundLLC2009-2014 InternalExaminationsCommittee,AssociationofCertifiedInternational

InvestmentAnalysts2008-2010 AdvisoryBoard,StructuredInvestmentManagement2007-present AdvisoryCouncil,CornellFinancialEngineering,Manhattan1995–2004 Co-Director,CornellUniversity’sCertificateinFinancialEngineeringProgram2007-2008 BoardofDirectors,QuadrantCorporation2005-2009 DirectorofResearch,AJStergeDivision,Magnetar2002-2008 CounciloftheBachelierFinanceSociety2002-2005 DirectorofResearch,WOTNCorporation2002-2004 AdvisoryCommittee,CornellTheoryCenter1999-2002 ExecutiveCommittee,CornellTheoryCenter2002 InterimBoardGlobalAssociationofRiskProfessionals(GARP)1999-2005 AdvisoryBoard,CenterforFinancialInnovationandRiskManagement(CFIRM)

andMastersFinancialEngineering(MFE),SchoolofBusiness,TheUniversityofHongKong

ROBERT A. JARROW – Page 2 1999-2005 AdvisoryBoard,CenterforFinancialEngineering,NationalUniversityofSingapore1998-2001 BoardofDirectors,TheAmericanFinanceAssociation1997–2018 AdvisoryBoard,ParkerCenter,CornellUniversity1996–2003 HonoraryBoardofDirectors,RoundTableGroup,Inc.1994–1995 MerrillLynchAcademicAdvisoryCouncil1990–2013 Co-organizer,AnnualDerivativesSecuritiesConferenceEDITORIALACTIVITIES2020-present AdvisoryBoard,FrontiersofMathematicalFinance2018-present AdvisoryBoard,JournalofRiskandFinancialManagement2011-present AdvisoryBoard,TheJournalofInvestmentStrategies2007-present EditorialCommittee,AnnualReviewofFinancialEconomics2021 Editor,SpecialIssueonSystemicRiskandFinancialNetworks, MathematicsandFinancialEconomics2006-2020 AdvisoryBoard,MathematicalFinance2002-2005 ManagingEditor,MathematicalFinance1989–2001 Co-Editor,MathematicalFinance1989 FoundingOrganizer,MathematicalFinance2007-present EditorialBoard,JournalofRiskManagementinFinancialInstitutions2004-2005 AdvisoryBoard,JournalofFinanceLiterature2004-present AssociateEditor,JournalofCreditRisk2003-present AssociateEditor,TheJournalofDerivativesAccounting1996–present AssociateEditor,JournalofFixedIncome1993–2015 AssociateEditor,ReviewofDerivativesResearch2002-2014 AssociateEditor,FinanceResearchLetters2002-2003 AssociateEditor,JournalofBondTradingandManagement1999-2010 AssociateEditorsBoard,IstanbulStockExchangeReview2002-2018 AssociateEditor,TheJournalofDerivatives1999-2002 Co-Editor,TheJournalofDerivatives1998-1999 AssociateEditor,TheJournalofDerivatives2002-2015 AssociateEditor,TheJournalofFinancialResearch1998–2015 AssociateEditor,TheJournalofRisk1998 Editor,SpecialIssueonCreditDerivatives, ReviewofDerivativesResearch1998–1999 AssociateEditor,JournalofFinancialEngineering1996–1997 EditorialBoard,NetExposure:TheElectronicJournalofFinancialRisk1995–2000 AdvisoryBoard,Asia-PacificFinancialMarkets1994–1997 AssociateEditor,TheReviewofFinancialStudies1992–1997 AssociateEditor,AdvancesinFuturesandOptionsResearch

ROBERT A. JARROW – Page 3 1992–2003 AssociateEditor,TheFinancialReview1988–1994 AssociateEditor,TheReviewofFuturesMarkets1983–1999 AssociateEditor,JournalofFinancialandQuantitativeAnalysisEDUCATION1976-1979 MASSACHUSETTSINSTITUTEOFTECHNOLOGY,Cambridge,MA.

Ph.D.inFinance.Minorfieldineconomics.1974-1976 AMOSTUCKSCHOOLOFBUSINESS,DartmouthCollege,N.H.

M.B.A.withspecializationinFinance.GraduatedwithHighestDistinction.1970-1974 DUKEUNIVERSITY,Durham,N.C. B.A.withdoublemajorsinMathematicsandManagementScience. Graduatemagnacumlaude.AWARDS BestPaperPrize2020,KoreanAssociationofFinancialEngineeringConference RossBestPaperAward2013,FinanceResearchLetters ArthurWargaBestPaperAwardattheMooreSchoolofBusiness2013Fixed

IncomeConference CliffordH.WhitcombFacultyFellowship2011-12 12thAnnualBernsteinFabozzi/JacobsLevyAward2009-2010,Journalof

PortfolioManagement RiskMagazine’sLifetimeAchievementAward2009 RossBestPaperAward2008,FinanceResearchLetters CenterforAnalyticResearchAward2006,CarnegieMellonUniversity. RiskWho’sWho2006 TheInstituteforQuantitativeResearchinFinanceFellowshipfor2005 FixedIncomeAnalystsSociety(FIASI)HallofFame,2004 FDICSeniorFellow,2003–2014 MemberRiskMagazine’s50memberHallofFame Who’sWhoinEconomics,4thEdition(top1200citedeconomists) FinancialServicesExchangeGrant2002

2001GrahamandDoddScrollsAward(FinancialAnalystsJournal)IAFESeniorFellow,1997CornellJohnsonSchool'sExceptionalResearchAward19971997IAFE/SunGardFinancialEngineeroftheYearMobilOilScholarship1993TheInstituteforQuantitativeResearchinFinanceFellowshipfor19921991SouthernFinanceAssociationMeeting'sOutstandingPaperin

Futures/OptionsonFutures1990SouthernFinanceAssociationMeeting'sOutstandingPaperin

Futures/OptionsonFuturesCanadianSecuritiesInstituteAwardfortheBestPaperinInvestmentsatthe

NorthernFinanceAssociationMeetings1990BankersTrustFinancialResearchGrant,1990,1991ChicagoBoardOptionsExchangePomerancePrizeforExcellenceintheAreaof

OptionsResearch1982

ROBERT A. JARROW – Page 4

M.I.T.EndowedFellowship1976,1977TheLillianandCharlesLeechPrizeforExcellenceinFinance1976Bache&CompanyScholarship1975EdwardTuckScholar1975

PUBLICATIONS[1] "AnAutoregressiveJumpProcessforCommonStockReturns,"TheJournalofFinancial

Economics,5(1977)(withGeorgeOldfieldandRichardRogalski).[2] "TheRelationshipBetweenYield,Risk,andReturnofCorporateBonds,"TheJournalofFinance,

4(September1978).[3] "NegotiationsversusCompetitionintheSaleofSecurities,"FinancialManagement,(Fall1978)

(withDennisLogue).[4] "HeterogeneousExpectations,RestrictionsonShortSales,andEquilibriumAssetPrices,"The

JournalofFinance,5(December1980).[5] "ForwardContractsandFuturesContracts,"TheJournalofFinancialEconomics,4(December

1981)(withGeorgeOldfield).[6] "LiquidityPremiumsandtheExpectationsHypothesis,"JournalofBankingandFinance,5

(December1981).[7] "ApproximateOptionValuationforArbitraryStochasticProcesses,"JournalofFinancial

Economics,10(November1982)(withAndrewRudd).CBOEPomerancePrize1982.

[8] "TestsofanApproximateOptionValuationFormula,"OptionPricing:TheoryandApplications,

1983,editedbyMenachemBrenner,LexingtonBooks(withAndrewRudd).[9] "AComparisonoftheAPTandCAPM:ANote,"JournalofBankingandFinance,7(June1983)

(withAndrewRudd).[10] "ConsensusBeliefsEquilibriumandMarketEfficiency,"JournalofFinance,3(June1983)(with

DavidEasley).[11] "TheErrorLearningHypothesis:TheEvidenceReexamined,"JournalofEconomicsand

Business,36(May1984).[12] "JumpRisksandtheIntertemporalCapitalAssetPricingModel,"JournalofBusiness,57(July

1984)(withEricRosenfeld).[13] "ACharacterizationTheoremforUniqueEquivalentMartingaleProbabilityMeasures,"

EconomicsLetters,22(1986).[14] "TheRelationshipBetweenArbitrageandFirstOrderStochasticDominance,"Journalof

Finance,4(September1986).

ROBERT A. JARROW – Page 5 PUBLICATIONS(continued)[15] "SpanningandCompletenessinMarketswithContingentClaims,"JournalofEconomicTheory,

41(February1987)(withRichardGreen).[16] "AnIntegratedAxiomaticApproachtotheExistenceofOrdinalandCardinalUtilityFunctions,"

TheoryandDecision,22(March1987).[17] "ThePricingofCommodityOptionswithStochasticInterestRates,"AdvancesinFuturesand

OptionsResearch,2(1987).[18] "Arbitrage,ContinuousTrading,andMarginRequirements,"JournalofFinance,5(December

1987)(withDavidHeath).[19] "BeliefsandArbitragePricing,"EconomicsLetters,24(1987).[20] "Ex-DividendStockPriceBehaviorandArbitrageOpportunities,"JournalofBusiness,61(1),

(1988)(withDavidHeath).[21] "Preferences,Continuity,andtheArbitragePricingTheory,"TheReviewofFinancialStudies,2

(1988).[22] "ForwardOptionsandFuturesOptions,"AdvancesinFuturesandOptionsResearch,3(1988)

(withGeorgeOldfield).[23] "Bribes,Power,andManagerialControlinCorporateVotingGames,"TheoryandDecision,26

(1989)(withChrisLeach).[24] "OptionPricingandImplicitVolatilities:AReviewandaNewPerspective,"JournalofEconomic

Surveys,3(1989)(withJimWiggins).[25] "PrimesandScores:AnEssayonMarketImperfections,"JournalofFinance,5(December1989)

(withMaureenO'Hara).[26] "ContingentClaimsValuationwithaRandomEvolutionofInterestRates,"TheReviewof

FuturesMarkets,9(1),(1990)(withDavidHeathandAndrewMorton).[27] "TheStop-LossStart-GainParadoxandOptionValuation:ANewDecompositionintoIntrinsic

andTimeValue,"TheReviewofFinancialStudies,3(3),(1990)(withPeterCarr).[28] "BondPricingandtheTermStructureofInterestRates:ADiscreteTimeApproximation,"

JournalofFinancialandQuantitativeAnalysis,(December1990)(withDavidHeathandAndrewMorton).

[29] "LargeTraderImpactandMarketRegulation,"FinancialAnalystsJournal,(July/August1991)

(withGaryGastineau).[30] "TheRelevanceofFiduciaryConflict-of-InterestsinControlVersusIssueProxyContests,"

JournalofFinancialandQuantitativeAnalysis,26(4),(December1991)(withChrisLeach).

ROBERT A. JARROW – Page 6 PUBLICATIONS(continued)[31] "PricingForeignCurrencyOptionsUnderStochasticInterestRates,"JournalofInternational

MoneyandFinance,10(3),(September1991)(withKaushikAmin).[32] "ACharacterizationofCompleteSecurityMarketsonaBrownianFiltration,"Mathematical

Finance,1(3),(July1991)(withDilipMadan).[33] "BondPricingandtheTermStructureofInterestRates:ANewMethodologyforContingent

ClaimsValuation,"Econometrica,60(1),(January1992)(withDavidHeathandAndrewMorton).ReprintedinVasicekandBeyond,1997,RiskPublications:London.ReprintedinOptionsMarkets,ed.G.M.ConstantinidesandA.G.Malliaris,1999,EdwardElgarPub.,U.K.ReprintedinTheDebtMarket,ed.SteveRossandFrancoModigliani,1999,EdwardElgarPub.,UK.ReprintedinTheNewInterestRateModels,ed.LaneHughston,2000,RiskBooks:London.ReprintedinDerivativesPricing:TheClassicCollection,ed.PeterCarr,2004,RiskBooks:London.

[34] "MarketManipulation,Bubbles,Corners,andShortSqueezes,"JournalofFinancialand

QuantitativeAnalysis,27(3),(September1992).[35] "AlternativeCharacterizationsofAmericanPutOptions,"MathematicalFinance,2(2),(April

1992)(withPeterCarrandRaviMyneni).[36] "PricingAmericanOptionsonRiskyAssetsinaStochasticInterestRateEconomy,"

MathematicalFinance,2(4),(October1992)(withKaushikAmin).ReprintedinVasicekandBeyond,1997,RiskPublications:London.

[37] "EasierDoneThanSaid,"RiskMagazine,5(9),(October1992)(withDavidHeath,Andrew

Morton,andMarkSpindel).ReprintedinOvertheRainbow:DevelopmentsinExoticOptionsandComplexSwaps,1995,RiskPublications:London.

[38] "CreditRisk:DrawingtheAnalogy,"RiskMagazine,5(9),(October1992)(withStuart

Turnbull).ReprintedinDerivativeCreditRisk:AdvancesinMeasurementandManagement,1995,RiskPublications:London.

[39] "DiffusionProcessesinFinance,"TheNewPalgraveDictionaryofMoneyandFinance,1993.[40] "ASimpleFormulaforOptionsonDiscountBonds,"AdvancesinFuturesandOptionsResearch,

Vol.6,(1993)(withRobinBrenner).[41] "Futures,"DouglasGreenwald,editor,EncyclopediaofEconomics,McGraw-Hill,Inc.,1993.

ROBERT A. JARROW – Page 7 PUBLICATIONS(continued)[42] "MarketManipulationandCorporateFinance:ANewPerspective,"FinancialManagement,

(Summer1993)(withArkadevChatterjeaandJosephCherian).[43] "OptionPricingwithRandomVolatilitiesinCompleteMarkets,"ReviewofQuantitativeFinance

andAccounting,4(1),(March1994)(withLarryEisenberg).ReprintedinVolatility:NewEstimationTechniquesforPricingDerivatives,1998,RiskPublications:London.

[44] "DerivativeSecurityMarkets,MarketManipulation,andOptionPricingTheory,"Journalof

FinancialandQuantitativeAnalysis,29(2),(June1994).[45] "Delta,GammaandBucketHedgingofInterestRateDerivatives,"AppliedMathematical

Finance,1,(September1994)(withStuartTurnbull).ReprintedinSurveysinAppliedandIndustrialMathematics,2(5),(1995).ReprintedinInterestRateRiskMeasurementandManagement,editorsD.ChambersandS.Nawalkha,InstitutionalInvestor,Inc.

[46] "PricingInterestRateOptions,"Jarrow,Maksimoviz,Ziemba,editors,Finance:Handbookin

OperationsResearchandManagementScience,NorthHolland,(1995).[47] "MarketManipulation,"Jarrow,Maksimoviz,Ziemba,editors,Finance:HandbookinOperations

ResearchandManagementScience,NorthHolland,(1995)(withJosephCherian).[48] "ADiscreteTimeSynthesisofDerivativeSecurityValuationUsingaTermStructureofFutures

Prices,"Jarrow,Maksimoviz,Ziemba,editors,Finance:HandbookinOperationsResearchandManagementScience,NorthHolland,(1995)(withPeterCarr).

[49] "PricingDerivativesonFinancialSecuritiesSubjecttoCreditRisk,"JournalofFinance,50(1),

(March1995)(withStuartTurnbull).ReprintedinCreditRiskModelsandManagement,1999,RiskPublications:London.

ReprintedinOptionsMarkets,eds.G.M.ConstantinidesandA.G.Malliaris,2000,EdwardElgarPublishingLtd:Cheltenham,U.K.

ReprintedinCreditRiskModelsandManagement,2004,2ndedition,RiskPublications,London.[50] "OptionPricingUsingtheTermStructureofInterestRatestoHedgeSystematicDiscontinuities

inAssetReturns,"MathematicalFinance,5(4),(October1995)(withDilipMadan).[51] "VitalStatistics,"RiskMagazine,8(4),(April1995)(withEricJacquier).

ReprintedinOvertheRainbow:DevelopmentsinExoticOptionsandComplexSwaps,1995,RiskPublications:London.

[52] "CreditRisk",C.Alexander,editor,HandbookofRiskManagementandAnalysis,JohnWiley

(1996)(withStuartTurnbull).[53] "PowerSwaps:DiseaseorCure?,"RiskMagazine,9(2),(February1996)(withDonaldvan

Deventer).ReprintedinStructuredProducts,2009,RiskPublications,London.

ROBERT A. JARROW – Page 8 PUBLICATIONS(continued)[54] "OptionPricingUsingaBinomialModelwithRandomTimeSteps(AFormalModelofGamma

Hedging),"ReviewofDerivativesResearch,1(2)(1996),(withHeikeDengler).[55] "AMarkovModelfortheTermStructureofCreditRiskSpreads,"TheReviewofFinancial

Studies,10(1),(Summer1997)(withDavidLandoandStuartTurnbull).[56] "IsMean-VarianceAnalysisVacuous:orWasBetaStillBorn?"EuropeanFinanceReview,1(1),

(1997),(withDilipMadan).[57] “TheImpactofDefaultRiskonSwapRatesandSwapValues,”RiskMagazine,10(5),(May

1997)(withStuartTurnbull).ReprintedinHedgingwithTrees,1998,RiskPublications:London.

[58] "AUnifiedApproachforPricingContingentClaimsonMultipleTermStructures,"Reviewof

QuantitativeFinanceandAccounting,10(1),(January1998),(withStuartTurnbull).[59] "AnIntegratedApproachtoHedgingandPricingEurodollarDerivatives,"JournalofRiskand

Insurance,64(2),(1997),(withStuartTurnbull).[60] “NewDevelopmentsinOption-AdjustedValuation,”DerivativesUse,TradingandRegulation,3

(1),(1997),(withDonvanDeventer).[61] “AReviewofGilster’sOptionPricingTheory:IsRiskFreeHedgingFeasible?,”Financial

Management,26(1),(Spring1997). ReprintedinBehavioralFinance,ed.H.Shefrin,2000,EdwardElgarPublishingLtd:Cheltenham,

U.K.[62] “MarketManipulationandaModeloftheUnitedStatesTreasurySecuritiesAuctionMarket,”

JournalofFinancialandQuantitativeAnalysis,33(2),(June1998),(withArkadevChatterjea).[63] TheArbitrage-FreeValuationandHedgingofDemandDepositsandCreditCardLoans,"Journal

ofBankingandFinance,22(3),(March1998),(withDonvanDeventer).[64] “TheHJMModel:ItsPast,Present,andFuture,”JournalofFinancialEngineering,6(4),

(December1997).[65] “HedgingContingentClaimsonSemimartingales,”FinanceandStochastics,3(1),(January

1999),(withDilipMadan).[66] “MoppingupLiquidity,”RiskMagazine,(December1997),(withAjaySubramanian).[67] "OptionsMarkets,Self-FulfillingProphecies,andImpliedVolatilities,"ReviewofDerivatives

Research,2(1),(1998),(withJosephCherian).[68] “CurrentAdvancesintheModelingofCreditRisk,”Derivatives:Tax,Regulation,Finance,

(May/June1998).[69] "BayesianAnalysisofContingentClaimModelError,"JournalofEconometrics,94(1),(2000),

(withEricJacquier).

ROBERT A. JARROW – Page 9 PUBLICATIONS(continued)[70] “IntegratingInterestRateRiskandCreditRiskinAssetandLiabilityManagement,”Assetand

LiabilityManagement:TheSynthesisofNewMethodologies,RiskPublications,(1998),(withDonvanDeventer).

[71] “TheSecondFundamentalTheoremofArbitragePricingTheory,”MathematicalFinance,(July

1999),(withXingJinandDilipMadan).[72] “TheSecondFundamentalTheoremofAssetPricing-ANewApproach,”ReviewofFinancial

Studies,(Winter1999),(withRobertBattig).[73] “PracticalUsageofCreditRiskModelsinLoanPortfolioandCounterpartyExposure

Management,”CreditRiskModelsandManagement,RiskPublications,(1999),(withDonvanDeventer).ReprintedinCredit:TheCompleteGuidetoPricing,HedgingandRiskManagement,ed.A.ArvanitisandJ.Gregory,2001,RiskBooks:London.

[74] “InHonoroftheNobelLaureatesRobertC.MertonandMyronS.Scholes:APartialDifferentialEquationthatChangedtheWorld,”TheJournalofEconomicPerspectives,13(4),(Fall1999).ReprintedinPioneersofFinancialEconomics:Volume2,ed.G.Poitras,F.Jovanovic,2007,EdwardElgarPub.

[75] “TheIntersectionofMarketandCreditRisk,”JournalofBankingandFinance,24(1),(2000),

(withStuartTurnbull).[76] “AnEmpiricalAnalysisoftheJarrow-vanDeventerModelforValuingNon-MaturityDemand

Deposits,”TheJournalofDerivatives,(Fall1999),(withTiborJanosiandFerdinandoZullo).[77] “TheLiquidityDiscount,”MathematicalFinance,11(4),(October2001),(withAjay

Subramanian).[78] “Arbitrage,Martingales,andPrivateMonetaryValue,”JournalofRisk,3(1),(Fall2000),(with

DilipMadan).[79] “ContingentClaimModelswithDeterministicVolatility:ModelErrorversusPoorEstimation,”

ModelRisk,ed.R.Gibson,RiskBooks,(2000),(withEricJacquier).[80] “DefaultParameterEstimationUsingMarketPrices,”FinancialAnalystsJournal,(Sept./Oct.

2001).2001GrahamandDoddScrollsAward[81] “CounterpartyRiskandthePricingofDefaultableSecurities,”JournalofFinance,56(5),(2001),

(withFanYu).[82] “PutPremiumsandCoherentRiskMeasures,”MathematicalFinance,12(2),(2002).[83] “ASimpleModelforValuingDefaultSwapsWhenBothMarketandCreditRiskAreCorrelated,”

TheJournalofFixedIncome,11(4),(March2002),(withYildirayYildirim).[84] “PricingTreasuryInflationProtectedSecuritiesandRelatedDerivativesUsinganHJMModel,”

38(2),(June2003),JournalofFinancialandQuantitativeAnalysis,(withYildirayYildirim).

ROBERT A. JARROW – Page 10 PUBLICATIONS(continued)[85] “EstimatingExpectedLossesandLiquidityDiscountsImplicitinDebtPrices,”JournalofRisk,5

(1),(2002),(withTiborJanosiandYildirayYildirim). ReprintedinInnovationsinRiskManagement,ed.P.Jorion,2004,RiskBooks:London.[86] “MarketPricingofDepositInsurance,”JournalofFinancialServicesResearch,24(2/3),(2003),

(withDarrellDuffie,AmiyatoshPurnanandamandWeiYang).[87] “HowValuableisCreditCardLending,”TheJournalofDerivatives,11(2),(2003),(withArka

Chatterjea,RobertNeal,YildirayYildirim).[88] “EstimatingDefaultProbabilitiesImplicitinEquityPrices,”JournalofInvestmentManagement,

(2003,FirstQuarter),(withTiborJanosiandYildirayYildirim).ReprintedinTheCreditMarketHandbook:AdvancedModelingIssues,e.d.GiffordFong,(2006),JohnWiley.

[89] “ModelingCreditRiskwithPartialInformation,”TheAnnalsofAppliedProbability,14(3),

(August2004),(withUmutCetin,PhilipProtter,YildirayYildirim).[90] “ARobustTestofMerton’sStructuralModelforCreditRisk,”JournalofRisk,6(1),(2003),(with

DonvanDeventerandXiaomingWang).[91] "PricingtheConvenienceYieldofTreasurySecurities:TheoryandEvidence,"Reviewof

DerivativesResearch,7(2),(2004),(withJosephCherianandEricJacquier).[92] “TestingMarketEfficiencyusingStatisticalArbitragewithApplicationstoMomentumandValue

Strategies,”JournalofFinancialEconomics,73(3),(September2004),(withSteveHogan,MelvynTeo,andMitchWarachka).

[93] “EstimatingtheTermStructureofCorporateDebtwithaSemiparametricPenalizedSpline

Model,”JournaloftheAmericanStatisticalAssociation,99(465),(March2004),(withDavidRuppertandYanYu).

[94] “LiquidityRiskandArbitragePricingTheory,”FinanceandStochastics,8(3),(August2004),

(withUmutCetin,PhilipProtter).ReprintedinHandbookofQuantitativeFinanceandRiskManagement,ed.C.F.Lee,A.C.Lee,JohnLee,(2010),SpringerVerlag.

[95] “DefaultRiskandDiversification:TheoryandEmpiricalApplications,”MathematicalFinance,

15(1),(January2005),(withDavidLandoandFanYu).[96] “PracticalUsageofCreditRiskModelsinLoanPortfolioandCounterpartyExposure

Management:AnUpdate,”CreditRiskModelsandManagement,ed.DavidShimko,RiskPublications,(2004),(withDonvanDeventer).

[97] “AShortHistoryofStochasticIntegrationandMathematicalFinance:TheEarlyYears,1880-

1970,”AFestschrifttoHonorHermanRubin,ed.AnirbanDasgupta,IMSLectureNotes,MonographSeries,(2004),Vol.45,(withPhilipProtter).

ROBERT A. JARROW – Page 11 PUBLICATIONS(continued)[98] “RiskyCouponBondsasaPortfolioofZero-CouponBonds,”FinanceResearchLetters,1(2),

(June2004).[99] “MathematicsandFinance:AFruitfulRelationship,”ModernRiskManagement:AHistory,Risk

Books,(2003).[100] “StructuralversusReducedFormModels:ANewInformationBasedPerspective,”Journalof

InvestmentManagement,2(2),(2004),(withPhilipProtter).ReprintedinTheCreditMarketHandbook:AdvancedModelingIssues,e.d.GiffordFong,(2006),JohnWiley.

[101] “EstimatingtheValueofDeliveryOptionsinFuturesContracts,”JournalofFinancialResearch,

28(3),(Fall2005),(withJanaHranaiovaandWilliamTomek)[102] “BankruptcyPredictionwithIndustryEffects,”ReviewofFinance,8(4),(2004),(withSudheer

Chava).Nominated2005GSAMBestPaperPrize.

[103] “LargeTraders,HiddenArbitrageandCompleteMarkets,”JournalofBankingandFinance,29,

(2005),(withPhilipProtter).[104] “GeneralizedCoherentRiskMeasures:TheFirm’sPerspective,”FinanceResearchLetters,2,

(2005),(withAmiyatoshPurnanandam).[105] “EstimatingDefaultCorrelationsUsingaReducedFormModels,”RiskMagazine,(January

2005),(withDonvanDeventer).[106] “LiquidityRiskandOptionPricingTheory,”HandbookofFinancialEngineering,ed.,J.Birgeand

V.Linetsky,ElsevierPublishers,(withPhilipProtter),(2007).[107] “AnIntroductiontoFinancialAssetPricing,”HandbookofFinancialEngineering,ed.,J.Birge

andV.Linetsky,ElsevierPublishers,(withPhilipProtter),(2007).[108] “PricingOptionsinanExtendedBlack-ScholesEconomywithIlliquidity:TheoryandEmpirical

Evidence,”ReviewofFinancialStudies,19(2),(Summer2006),(withUmutCetin,PhilipProtter,MitchWarachka).

[109] “LiquidityRiskandRiskMeasureComputation,”ReviewofFuturesMarkets,11(1),(Summer

2005),(withPhilipProtter).[110] “ALossDefaultSimulationModeloftheFederalBankDepositInsuranceFunds,”Proceedingsof

the2005WinterSimulationConference,M.E.Kuhl,N.M.Steiger,F.B.Armstrong,andJ.A.Joines,eds.,(withRosalindBennett,DanielNuxoll,MichaelFu,HuijuZhang).

[111] “LiquidityRiskandClassicalOptionPricingTheory,”LiquidityRiskMeasurementand

Management,eds.L.MatzandP.Neu,(2007),JohnWiley&Sons(Asia).

ROBERT A. JARROW – Page 12 PUBLICATIONS(continued)[112] “DownsideLossAversionandPortfolioManagement,”ManagementScience,52(4),(April

2006),(withFengZhao).[113] “InterestRateCaps‘Smile’Too!ButCantheLIBORMarketModelsCaptureIt?,”Journalof

Finance,62(1),(February2007),(withHaitaoLiandFengZhao).[114] “ATutorialonZeroVolatilityandOptionAdjustedSpreads,”AdvancesinMathematicalFinance,

(2007),eds.,M.Fu,R.Jarrow,J.Yen,R.Elliott,Birkhauser,Boston,MA.[115] “AssetPriceBubblesinCompleteMarkets,”AdvancesinMathematicalFinance,(2007),eds.,

M.Fu,R.Jarrow,J.Yen,R.Elliott,Birkhauser,Boston,MA,(withPhilipProtterandKazuhiroShimbo).

[116] “InformationReductionviaLevelCrossingsinaCreditRiskModel,”FinanceandStochastics,

11(2),(April2007),(withPhilipProtterandA.DenizSezer).[117] “ACritiqueofRevisedBaselII,”JournalofFinancialServicesResearch,32(1-2),(October2007).[118] “RestructuringRiskinCreditDefaultSwaps:AnEmpiricalAnalysis,”StochasticProcessesand

TheirApplications,117(11),(2007),(withAntjeBerndtandChoongOhKang).CenterforAnalyticResearchAward2006.

[119] “OperationalRisk,”JournalofBankingandFinance,32,(May2008).[120] “TheDeterminantsofCorporateCreditSpreads,”RiskMagazine,(September2007),(withLiLi,

MarkMesler,DonvanDeventer).[121] “ModelingtheRecoveryRateinaReducedFormModel,”MathematicalFinance,19(1),(January

2009),(withXinGuoandYangZeng).[122] “CommercialMortgageBackedSecurities(CMBS)andMarketEfficiencywithRespecttoCostly

Information,”RealEstateEconomics,36(3),(2008),(withAndreasChristopoulosandYildirayYildirim).

[123] “CapitalStructureandthePresentValueofaFirm’sInvestmentOpportunities:AReducedForm

CreditRiskPerspective,”ReviewofDerivativesResearch,10(1),(January2007),(withAmiyatoshPurnanandam).

[124] “ModelingLoanCommitments,”FinanceResearchLetters,5(1),(March2008),(withSudheer

Chava). RossBestPaperAward2008.[125] “CDOValuation:FactandFiction,”TheDefinitiveGuidetoCDOs,ed.G.Meissner,RiskBooks,

London,(2008),(withLiLi,MarkMesler,DonvanDeventer).[126] “TaxLiens:ANovelApplicationofAssetPricingTheory,”ReviewofDerivativesResearch,10

(2),(May2007),(withVikrantTyagi).

ROBERT A. JARROW – Page 13 PUBLICATIONS(continued)[127] “SyntheticCDOEquity:ShortorLongCorrelationRisk?,”JournalofFixedIncome,17(4),

(Spring2008),(withDonvanDeventer).[128] “OptionPricingTheory:HistoricalPerspectives,”EncyclopediaofQuantitativeFinance,ed.

RamaCont,JohnWiley&Sons,Ltd.,(2010).[129] “MeasuringtheRiskofDefault:AModernApproach,”RiskManagementAssociationJournal,

(July/August2008),(withJensHilscherandDonvanDeventer).[130] “ValuingCallableCorporateBondsinaReducedFormModelUsingaCallIntensityProcess,”

JournalofFinancialEconomics,95(2),(February2010),(withHaitaoLi,SheenLiu,andChunchiWu).

[131] “CreditRiskModelswithIncompleteInformation,”MathematicsofOperationsResearch,34(2),

(May2009),(withXinGuoandYangZeng).[132] “TheSubprimeCreditCrisisof07,”JournalofDerivatives,16(4),(Fall2008),(withMichel

CrouhyandStuartTurnbull).[133] “AssetPriceBubblesinIncompleteMarkets,”MathematicalFinance,20(2),(April2010),(with

PhilipProtterandKazuhiroShimbo).[134] “NoArbitrageWithoutSemimartingales,”AnnalsofAppliedProbability,19(2),(April2009),

(withPhilipProtterandHasanjanSayit).[135] “TheTermStructureofInterestRates,”AnnualReviewofFinancialEconomics,1,(2009).[136] “CreditRiskModels,”AnnualReviewofFinancialEconomics,1,(2009).[137] “DistressedDebtPricesandRecoveryRateEstimation,”ReviewofDerivativesResearch,11(3),

(October2008),(withXinGuoandHaizhiLin).[138] “ForwardandFuturesPriceswithBubbles,”InternationalJournalofTheoreticalandApplied

Finance,12(7),(November2009),(withPhilipProtter).[139] “ReducedFormCreditRiskModels,”EncyclopediaofQuantitativeFinance,ed.RamaCont,John

Wiley&Sons,Ltd.,(2010),(withDonvanDeventer).[140] “ConvenienceYields,”ReviewofDerivativesResearch,13(1),(2010).[141] “OnModelTestinginFinancialEconomics,”TheFinancialReview,45(2),(May2010).[142] “TheFutureofRiskManagementTools:LessonsLearned,”CanadianInvestmentReview,

(Winter2009).[143] “HedginginaHJMModel,”FinanceResearchLetters,7,(2010).

ROBERT A. JARROW – Page 14 PUBLICATIONS(continued)[144] “ARobustTestofMarketEfficiency,”JournalofFinancialMarkets,15(1),(February2012),

(withMelvynTeo,YiukuenaTseandMitchWarachka).[145] “ActivePortfolioManagementandPositiveAlphas:FactorFantasy?”,JournalofPortfolio

Management,36(4),(2010).12thAnnualBernsteinFabozzi/JacobsLevyAward2009-2010.ReprintedinFiveYearsofAward-WinningArticlesfromtheJournalofPortfolioManagement,VolumeThree,2009-2013,eds.F.Fabozzi,B.Jacobs,K.Levy,InstitutionalInvestorJournals,2014.

[146] “ASimpleRobustModelforCatBondValuation,”FinanceResearchLetters,7(2),(2010).[147] “TheMartingaleTheoryofBubbles:ImplicationsfortheValuationofDerivativesandDetecting

Bubbles,”TheFinancialCrisis:DebatingtheOrigins,Outcomes,andLessonsoftheGreatestEconomicEventofOurLifetime,ed.,ArthurBerd,RiskPublications,(2010),(withPhilipProtter).

[148] “TheDangersofCalibrationandHedgingtheGreeksinOptionPricing,”JournalofFinancial

Education,Spring/Summer,(2012),(withArkadevChatterjea).[149] “UnderstandingtheRiskofLeveragedETFs,”FinanceResearchLetters,7(3),(2010).[150] “TheCostofOperationalRiskLossInsurance,”ReviewofDerivativesResearch,13(3),(2010),

(withJeffOrmanandYildirayYildirim).[151] “ForeignCurrencyBubbles,”ReviewofDerivativesResearch,14(1),(2011),(withPhilip

Protter).[152] “OptimalTradingofArbitrageOpportunitieswithMarketImpact,”InternationalReviewof

AppliedFinancialIssuesandEconomics,2(3),(2010).[153] “CreditRatingAccuracyandIncentives,”JournalofCreditRisk,6(3),(2010),(withLihengXu)[154] “CreditMarketEquilibriumTheoryandEvidence:RevisitingtheStructuralversusReduced

FormModelDebate,”FinanceResearchLetters,8,(2011).[155] “TARPWarrantsValuationMethods,”SerialNo.111-132,Hearing:TARPOversight:AnUpdate

onWarrantRepurchasesandBenefitstoTaxpayers,CommitteeonFinancialServices,U.S.HouseofRepresentatives,(May2010).

[156] “AReducedFormModelforWarrantValuation,”TheFinanceReview,46(3),(2011),(with

SiegfriedTrautmann).[157] “PositiveAlphas,AbnormalPerformanceandIllusoryArbitrage,”MathematicalFinance,23(1),

(2013),(withPhilipProtter).[158] “TheEconomicsofCreditDefaultSwaps(CDS),”AnnualReviewofFinancialEconomics,3,

(2011).

ROBERT A. JARROW – Page 15 PUBLICATIONS(continued)[159] “HedgingDerivativeswithModelError,”QuantitativeFinance,12(6),(2012).[160] “RiskManagementModels:Construction,Testing,Usage,”JournalofDerivatives,18(4),

Summer,(2011).[161] “InvestigatingBubbleTrouble,”CreditfluxMagazine,April(2011),(withPhilipProtter).[162] “IsThereaBubbleinLindedIn’sStockPrice?,”JournalofPortfolioManagement,38(1),(Fall

2011),(withY.KchiaandP.Protter).[163] “HousingPricesandtheOptimalTime-on-the-MarketDecision,”FinanceResearchLetters,8(4),

(December2011),(withHazerInaltekin,MehmetSaglam,YildirayYildirim).[164] “HowtoDetectanAssetBubble,”SIAMJournalonFinancialMathematics,2(2011),(with

YounesKchiaandPhilipProtter).[165] “ALiquidityBasedModelforAssetPriceBubbles,”QuantitativeFinance,12(9),(2012),(with

PhilipProtterandAlexandreRoch).[166] “TheMeaningofMarketEfficiency,”MathematicalFinance,22(1),(2012),(withMartin

Larsson).[167] “TheRoleofABS,CDSandCDOsintheCreditCrisisandtheEconomy,”RethinkingtheFinancial

Crisis,eds.,A.Blinder,A.Lo,andR.Solow,RussellSageFoundation,(2012).[168] “DiscretelySampledVarianceandVolatilitySwapsvsTheirContinuousApproximations,”

FinanceandStochastics,17(2),(2013),(withYounesKchia,MartinLarsson,andPhilipProtter).[169] “RelatingTopDownwithBottomUpApproachesintheEvaluationofABSwithLargeCollateral

Pools,”InternationalJournalofTheoreticalandAppliedFinance,15(2),(2012),(withNicolasDienerandPhilipProtter).

[170] “ARealTimeBubbleDetectionMethodology,”BloombergRiskNewsletter,(October28,2011),

(withYounesKchiaandPhilipProtter).[171] “ADysfunctionalRoleofHighFrequencyTradinginElectronicMarkets,”InternationalJournal

ofTheoreticalandAppliedFinance,15(3),(2012),(withPhilipProtter).MostreadarticlesinIJTAF,Sept.2012-Jan.2013.

[172] “ProblemswithUsingCDStoInferDefaultProbabilities,”JournalofFixedIncome,21(4),

(Spring2012).ReprintedinCreditDerivatives:ExaminingtheCreditDefaultSwapMarket,InstitutionalInvestorsJournalPublisher,(2012).

[173] “DiscreteversusContinuousTimeModels:LocalMartingalesandSingularProcessesinAssetPricingTheory,”FinanceResearchLetters,9,(2012),(withPhilipProtter).

[174] “DetectingAssetPriceBubbles,”JournalofDerivatives,20(1),(2012).

ROBERT A. JARROW – Page 16 PUBLICATIONS(continued)[175] “TheEffectofTradingFuturesonShortSaleConstraints,”MathematicalFinance,25(2),(April

2015),(withPhilipProtterandSergioPulido).[176] “TheThirdFundamentalTheoremofAssetPricing,”AnnalsofFinancialEconomics,7(2),(2012).[177] “ASimple,Transparent,andAccurateMortgageValuationYieldCurve,”JournalofFixedIncome,

22(3),(Winter2013),(withDonaldvanDeventer).[178] “ALeverageRatioRuleforCapitalAdequacy,”JournalofBankingandFinance,37,(2013).[179] “AllYourCDSModelsareWrong,”CreditfluxMagazine,(November2012).[180] “GovernmentPolicies,ResidentialMortgageDefaults,andtheBoomandBustCycleofHousing

Prices,”RealEstateEconomics,42(3),(2014),(withMariusAscheberg,HolgerKraft,andYildirayYildirim).

[181] “CapitalAdequacyRules,CatastrophicFirmFailure,andSystemicRisk,”ReviewofDerivatives

Research,16(3),(October2013).[182] “CreditAnalysisModels,”FixedIncomeAnalysis,3rdedition,eds.B.Petitt,J.Pinto,W.Pirie,

(2015),J.Wiley,N.J.,(withDonvanDeventer).[183] “OptionPricingandMarketEfficiency,”JournalofPortfolioManagement,40(1),(Fall2013).[184] “TheZero-LowerBoundonInterestRates:MythorReality?”,FinanceResearchLetters,10

(2013).RossBestPaperAward2013

[185] “AbnormalProfitOpportunitiesandtheInformationalAdvantageofHighFrequencyTrading,”

QuarterlyJournalofFinance,3(2),(2013),(withHaoLi).[186] “FinancialCrisesandEconomicGrowth,”QuarterlyReviewofEconomicsandFinance,54(2),

(2014).[187] “ComputingPresentValues:CapitalBudgetingDoneCorrectly,”FinanceResearchLetters,11,

(2014).[188] “ForwardRateCurveSmoothing,”AnnualReviewofFinancialEconomics,6,(2014).

[189] “TheImpactofQuantitativeEasingontheU.S.TermStructureofInterestRates,”ReviewofDerivativesResearch,17(3),(2014),(withHaoLi).ArthurWargaBestPaperAwardattheMooreSchoolofBusiness2013FixedIncomeConference.

[190] “TheEconomicDefaultTimeandtheArcsineLaw,”JournalofFinancialEngineering,1(3),(2014),(withXinGuoandAdriendeLarrard).

ROBERT A. JARROW – Page 17 PUBLICATIONS(continued)

[191] “RiskMeasuresandtheImpactofAssetPriceBubbles,”JournalofRisk,17(3),(2015),(withFelipeSilva).

[192] “LiquidityRiskandtheTermStructureofInterestRates,”MathematicsandFinancialEconomics,9(1),(2015),(withAlexRoch).

[193] “TheImpactofaCentralBank’sBondMarketInterventiononForeignExchangeRates,”TheQuarterlyJournalofFinance,5(2),(2015),(withHaoLi).

[194] “SpecificationTestsofCalibratedOptionPricingModels,”JournalofEconometrics,189(2),(2015),(withSimonKwok).

[195] “LiquiditySuppliersandHighFrequencyTrading,”SIAMJournalonFinancialMathematics,6(1),(2015),(withPhilipProtter).

[196] “ASimplifiedApproachforTeachingInterestRateDerivatives,”JournalofAppliedRiskManagementandInsurance,3(1),(2015),(withArkaChatterjea).

[197] “DesigningCatastrophicBondsforCatastrophicRisksinAgriculture:MacroHedgingLongandShortRainsinKenya,”AgriculturalFinanceReview,75(1),(2015),(withLinSunandCalumTurvey).

[198] “BankRunsandSelf-InsuredBankDeposits,”TheQuarterlyReviewofEconomicsandFinance,58,(2015),(withLihengXu).

[199] “AssetPriceBubbles,”AnnualReviewofFinancialEconomics,7,(2015).

[200] “SimulatingandValidatingaMulti-factorHJMModelwithNegativeInterestRates,”JournalofRiskManagementinFinancialInstitutions,8(4),(2015),(withDonvanDeventer).

[201] Commentary“ActivePortfolioManagementandPositiveAlphas:FactorFiction,”FiveYearsofAward-WinningArticlesfromtheJournalofPortfolioManagement,Vol.3,2009-2013,eds.F.Fabozzi,B.Jacobs,K.Levy,InstitutionalInvestorJournals,(2014).

[202] “InformationalEfficiencyUnderShortSaleConstraints,”SIAMJournalonFinancialMathematics,6(1),(2015),(withMartinLarsson).

[203] “PositiveAlphasandAGeneralizedMultiple-FactorAssetPricingModel,”MathematicsandFinancialEconomics,10(1),(2016),(withPhilipProtter).

[204] “AssetPriceBubblesandtheLandofOz,”JournalofPortfolioManagement,42(2),(2016).

[205] “BubblesandMultiple-FactorAssetPricingModels,”InternationalJournalofTheoreticalandAppliedFinance,19(1),(2016).

[206] “TestingforAssetPriceBubbles:ThreeNewApproaches,”QuantitativeFinanceLetters,4(1),(2016).

ROBERT A. JARROW – Page 18 PUBLICATIONS(continued)

[207] “RelativeAssetPriceBubbles,”AnnalsofFinance,12(2),(2016),(withRoselineBilinaFalafalaandPhilipProtter).

[208] “OptimalCashHoldingsUnderHeterogeneousBeliefs,”MathematicalFinance,28(2),(2018),(withAndreyKrishenikandAndreeaMinca).

[209] “VolatilityUncertainty,TimeDecay,andOptionBid-AskSpreadsinanIncompleteMarket,”,ManagementScience,65(4),(2019),(withPeiLinHsieh).

[210] “OntheExistenceofCompetitiveEquilibriuminFrictionlessandIncompleteStochasticAssetMarkets,”MathematicsandFinancialEconomics,11(4),(2017).

[211] “AssetPriceBubblesandRiskManagement,”JournalofRisk,20(1),(2017).

[212] “PortfolioBalanceEffectsandtheFederalReserve’sLarge-ScaleAssetPurchases,”StudiesinEconomicsandFinance,35(1),(2018),withThomasEmmerlingandYildirayYildirim).

[213] “OnAggregationandRepresentativeAgentEquilibrium,”JournalofMathematicalEconomics,74,(2018),(withMartinLarsson).

[214] “AnEquilibriumCapitalAssetPricingModelinMarketswithPriceJumpsandPriceBubbles,”QuarterlyJournalofFinance,8(2),(2018).

[215] “AnEquilibriumCapitalAssetPricingModelinMarketswithTradingConstraintsandPriceBubbles,”InternationalJournalofTheoreticalandAppliedFinance,20(8),(2017).

[216] “AssetMarketEquilibriumwithLiquidityRisk,”AnnalsofFinance,14(2),(2018).

[217]“ExploringMispricingintheTermStructureofCDSSpreads,”ReviewofFinance,23(1),(2019), (withHaitaoLi,XiaoxiaYe,MayHu).

[218] “CMBSMarketEfficiency:TheCrisisandtheRecovery,”JournalofFinancialStability,36(1),(2018),(withAndreasChristopoulos).

[219] “FairMicrofinanceLoanRates,”InternationalReviewofFinance,19(4),(2019),(withPhilipProtter).

[220] “AnEmpiricalInvestigationofLargeTraderMarketManipulationinDerivativesMarkets,”ReviewofDerivativesResearch,21(3),(2018),(withShih-ChuanTsaiandScottFung).

[221] “CapitalAssetMarketEquilibriumwithLiquidityRisk,TradingConstraints,andAssetPriceBubbles,”MathematicsandFinancialEconomics,13(1),(2019).

[222] “CreditRisk,Liquidity,andBubbles,”InternationalReviewofFinance,20(3),(2020),(withPhilipProtter).

[223] “ARationalAssetPricingModelforPremiumsandDiscountsorClosed-EndFunds:TheBubbleTheory,”,MathematicalFinance,29(4),(2019),(withPhilipProtter).

ROBERT A. JARROW – Page 19 PUBLICATIONS(continued)

[224]“OntheExistenceofStockPriceBubbles–theSmokingGun–DiscountsandPremiumsonclosed-endFundsandEFTs,”JournalofPortfolioManagement,45(6),(September2019).

[225] “AssetPriceBubbles,MarketLiquidity,andSystemicRisk,”MathematicsandFinancialEconomics,15(1),(2021),(withSujanLamichhane).

[226]“RememberingMarkRubinstein,”JournalofDerivatives,27(1),(2019),(withMenachemBrenner,EmanuelDerman,EricReiner).

[227]“TheEffectsofYieldControlMonetaryPolicy:AHelicopterMoneyDroptoFinancialInstitutions,”QuarterlyJournalofFinance,10(1),(2020),(withSujanLamichhane).

[228]“TheEconomicsofInsurance:ADerivatives-BasedApproach,”forthcomingAnnualReviewofFinancialEconomics.

[229] “RobertC.Merton’sSeminalInsights,Revisited,”RobertC.MertonandtheScienceofFinance:ACollection,CFAInstituteResearchFoundation,eds.LuisGarcia-Feijoo,LaureneB.Siegel,andTimothyR.Kohn,(2020).

[230]“InformationalEfficiencywithTradingConstraints:aCharacterization,”SIAMJournalonFinancialMathematics,11(4),(2020),(withMartinLarsson).

[231]“HighDimensionalEstimationandMulti-FactorModels,”QuarterlyJournalofFinance,10(4),(2020),(withLiaoZhu,SumantaBasu,andMartinWells).

[232] “EndogenousLiquidityRiskandDealerMarketStructure,”forthcoming,QuarerlyReviewofEconomicsandFinance,(withSiguangLi).

[233]“Concavity,StochasticUtility,andRiskAversion,”,FinanceandStochastics,25(2),(2021),(withSiguangLi).

[234]“PrefacetotheSpecialIssueonSystemicRiskandFinanceialNetworks.”MathematicsandFinancialEconomics,15(1),(2021),(withAgostinoCapponi).

[235]“Risk-NeutralPricingTechniquesandExamples,”forthcoming,MathematicalFinance,(withP.Patie,A.Srapionyan,andY.Zhao).

WORKINGPAPERS

[1] “TheValuationofCorporateCouponBonds,”(withJensHilscherandDonVanDeventer).

[2] “TestingforAssetPriceBubbles:AnInvarianceTheorem,”(withPhillipProtterandJaimeSanMartin).

[3] “RiskPremia,AssetPriceBubbles,andMonetaryPolicy,”(withSujanLamichhane).

[4]“FundingShortages,Expectations,andForwardRateRiskPremium,”(withSujanLamichhane).

ROBERT A. JARROW – Page 20 [5] “TheLow-volatilityAnaomalyandtheAdaptiveMulti-FactorModel,”(withRinaldMurataj,

MartinWells,andLiaoZhu).

[6] “InferringFinancialBubblesfromOptionData,”(withSimonKwok).

[7] “TestingtheMulti-factorModelwithTime-InvariantCoefficients,”(withLiaoZhuandMartinWells).

[8] “TestingforAssetPriceBubblesusingOptionsData,”(withNicolaFusariandSujanLamichhane).

[9]“TestingtheLocalMartingaleTheoryofBubblesusingCryptocurrencies,”(withSoonHyeokChoi).BestPaperPrize2020,KoreanAssoicationofFinancialEngineeringConference.

[10] “MediaTradingGroupsandShortSellingManipulation–AreMediaGroupsEfficiencyEnhancingorReducing,”(withSiguangLi).

[11] “IndexDesign:HedgingandManipulation,”(withSiguangLi).

BOOKS

OptionPricing,1983,RichardD.Irwin,Inc.(withAndrewRudd). FinanceTheory,1988,Prentice-Hall,Inc. ModellingFixedIncomeSecuritiesandInterestRateOptions,1996,McGraw-HillBookCompany. Secondedition,2002,StanfordUniversityPress. TranslatedintoJapanese,1997,JapanUNIAgency,Inc.,Tokyo. TranslatedintoKorean,1997,BobMunSaPublishingCo. Thirdedition,2020,CRCPress,Taylor&FrancisGroup. DerivativeSecurities,1996,SouthwesternPublishingCo.

Secondedition,2000(withStuartTurnbull).

AnIntroductiontoDerivativeSecurities,FinancialMarkets,andRiskManagement,2013,W.W.Norton&Co.,Inc.TranslatedintoChinese,2014,hibooks.Indianedition,2016,VivaBooks.Secondedition,2019,WorldScientificPublishingCo.Pte.Ltd.(withArkadevChatterjea).TheEconomicFoundationsofRiskManagement:Theory,Practice,andApplications,2017,WorldScientificPressCo.,Inc.

ContinuousTimeAssetPricingTheory:AMartingaleBasedApproach,2018,Springer. Secondedition,forthcoming.

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Finance:HandbookinOperationsResearchandManagementScience,NorthHolland,1995(withV.MaksimovizandW.Ziemba).

TranslatedintoJapanese,1997. TranslatedintoChinese,2002. OvertheRainbow:DevelopmentsinExoticOptionsandComplexSwaps,RiskPublications:

London,1995. Volatility:NewEstimationTechniquesforPricingDerivatives,RiskPublications:London,1998. AdvancesinMathematicalFinance,Birkhauser,Boston,MA,(withR.Elliott,M.Fu,J.Yen),2007. FinancialDerivativesPricing:SelectedWorksofRobertJarrow,WorldScientificPressCo.,Inc.,

2008. April2021

ROBERT A. JARROW – Page 22

ConsultingExperiences

1987,Citibank,ExecutiveTraining1988,BankofAmerica,CapitalMarketsResearch1988,Citicorp,ResearchGroup1989,BankofAmerica,CapitalMarketsResearch1989,BankersTrust,ResearchGroup1990,SecurityPacific,SwapsGroup1991,MerrillLynch,ProfessionalTrading1991,MacQuarieBankLtd.,Research1991,Dealerware1992,WorldBank,DerivativesProductsandLiabilityManagement1992,MerrillLynch,InvestorsStrategiesGroup1992,Spear,Leeds,Kellogg-expertwitness(indexoptions)1993,BankersTrust,GlobalAssetsRetirementServices1994,TreasuryServices1994,MerrillLynch,TradingResearchGroup1995,MerrillLynch,TradingResearchGroup1995,Citicorp,GlobalDerivatives1995,KamakuraCorporation1996,KamakuraCorporation1996,Coburn&Croft-expertwitness(manipulation)1997,KamakuraCorporation1997,NomuraSecurities—expertwitness(agencysecurities)1998,KamakuraCorporation1998,ExpertWitness(foreigncurrencyswaps)1998,S.E.C.andU.S.Attorney'sOffice(bondvaluation)1999,KamakuraCorporation1999,ExpertWitness(foreigncurrencyswaps)2000,KamakuraCorporation2000,ExpertWitness(OrangeCounty)2000,FirstUnionNationalBank,RiskManagement2000,ExpertWitness(ValuationofTaxLiens)2001,KamakuraCorporation2001,SKGBoardofAdvisors2002,KamakuraCorporation2002,SKGBoardofAdvisors2002,WOTNCorporation

ROBERT A. JARROW – Page 23

ConsultingExperiences(continued)

2003,BarclaysCapital(TIPSpricing)2003,KamakuraCorporation2003,WOTNCorporation2003,FederalDepositInsuranceCorporation(FDIC)2004,KamakuraCorporation2004,WOTNCorporation2004,FederalDepositInsuranceCorporation(FDIC)2004,WachoviaBank2005,KamakuraCorporation2005,WOTNCorporation2005,FederalDepositInsuranceCorporation(FDIC)2005,AJStergeInvestments2006,KamakuraCorporation2006,FederalDepositInsuranceCorporation(FDIC)2006,MagnetarCapital2007,KamakuraCorporation2007,FederalDepositInsuranceCorporation(FDIC)2007,MagnetarCapital2008,KamakuraCorporation2008,FederalDepositInsuranceCorporation(FDIC)2008,MagnetarCapital2009,KamakuraCorporation2009,FederalDepositInsuranceCorporation(FDIC)2009,MagnetarCapital2009,U.S.Treasury(ValuingTARPWarrants)2010,KamakuraCorporation2010,FederalDepositInsuranceCorporation(FDIC)2011,KamakuraCorporation2011,FederalDepositInsuranceCorporation(FDIC)2012,KamakuraCorporation2012,FederalDepositInsuranceCorporation(FDIC)2012,FederalReserveBankofNewYork2013,KamakuraCorporation2013,FederalDepositInsuranceCorporation(FDIC)2013,Decura2014,KamakuraCorporation2014,FederalDepositInsuranceCorporation(FDIC)2014,Decura

ROBERT A. JARROW – Page 24

ConsultingExperiences(continued)

2015,KamakuraCorporation2016,KamakuraCorporation2017,KamakuraCorporation2018,KamakuraCorporation2019,KamakuraCorporation2020,KamakuraCorporation2021,KamakuraCorporation