JOR 17 3 Authors
The Journal of Risk
Volume 17, Issue 3
Robert Jarrow is a Professor at the Samuel Curtis Johnson Graduate School of Management, Cornell University and director of research at Kamakura Corporation. He is the co-creator of the Heath-Jarrow-Morton model for pricing interest rate derivatives, the reduced form credit risk model for pricing credit derivatives, and the forward price martingale measure. His research was the first to study market manipulation using arbitrage-pricing theory, and to distinguish forward/futures prices. He has been the recipient of numerous prizes and awards including the CBOE Pomerance Prize for Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, the 1997 IAFE/SunGard Financial Engineer of the Year Award, and Risk Magazine's 2009 Lifetime Achievement Award. He is on the advisory board of Mathematical Finance - a journal he co-started in 1989. He is also an associate or advisory editor for numerous other journals. He is both an IAFE and a FDIC senior fellow. He is included in the Fixed Income Analysts Society Hall of Fame and the Risk Magazine's 50 member Hall of Fame. He has written five books, including the first textbooks on the Black Scholes and the HJM models, as well as over 190 publications in leading academic journals.
Felipe Silva is a PhD student at the Samuel Curtis Johnson Graduate School of Management, Cornell University. He holds a bachelor´s degree in Aeronautical Engineering from Instituto Tecnológico de Aeronáutica (ITA), Brazil, and an M.Eng. degree in Financial Engineering from Cornell´s Operations Research and Information Engineering department. Before joining Johnson School he worked for 5 years in the private sector in Brazil, including a brief career in the aerospace sector (Embraer) and later joining the financial services industry at Itaú Unibanco (Market Risk Division) and Banco Santander (Quantitative Researcher). He also worked as a summer research associate at Elustria Capital Partners, an energy hedge fund based in New York City. He is also a founding partner of Pricez Telecommunications Limited, a start-up e-commerce firm focused on the mobile telecom market in Brazil.
Zura Kakushadze received his Ph.D. in Theoretical Physics from Cornell University, was a Postdoctoral Fellow at Harvard University, and an Assistant Professor at the C.N. Yang Institute for Theoretical Physics at Stony Brook. Dr. Kakushadze received the Alfred P. Sloan Fellowship in 2001. After expanding into quantitative finance, he was a Director at RBC Capital Markets, Managing Director at WorldQuant, Executive Vice President at Revere Data, and currently is the President and co-owner of Quantigic® Solutions, an Adjunct Professor at UConn, and a Full Professor at Free University of Tbilisi. He has 98 publications in Theoretical Physics and Quantitative Finance.