Stuart M. Turnbull

Professor

Stuart M. Turnbull

Bio

Stuart M. Turnbull has authored over fifty academic papers in the areas of financial economics, law and economics, and the general area of derivatives. He is currently an Associate Editor of the Journal of Mathematical Finance, International Journal of Theoretical and Applied Finance, and the Journal of Derivatives. He is one of the foremost derivative security pricing experts in the world. He has published two books on derivatives. His book with Robert A. Jarrow, Derivative Securities, is a standard in the industry, providing a simple, unified approach to the world of derivative securities. Their paper, "Pricing Derivatives on Financial Securities Subject to Credit Risk," is cited repeatedly in credit modeling research and is the second most viewed abstract on defaultrisk.com. The Jarrow-Turnbull reduced form pricing methodology is the standard framework used for pricing credit derivatives and for credit risk management.

Most recently as Senior Vice President, Fixed Income Research, Lehman Brothers, New York, Dr. Turnbull worked on counterparty risk modeling, pricing CDS tranches, forward default premiums, and risk modeling. Prior to joining Lehman Brothers, he was Vice President, Risk Management Division, Canadian Imperial Bank of Commerce, Toronto, Ontario, where he worked on developing the next generation of credit and market risk management models.

He was the Bank of Montreal Chair of Banking and Finance and Professor of Economics at Queen's University and Professor of Economics at the University of Toronto.

Working Papers

  • Kumar, Praveen and Stuart Turnbull. "Optimal Patenting and Licensing of Financial Innovations." Management Science. [forthcoming]
  • Contact Info

    Phone:
    713-743-4767
    Email:
    sturnbull@uh.edu
    Room:
    230G
    Website:
    Visit Web Site

    Education

    Ph.D. Financial Economics
    University of British Columbia
    M.Sc. Statistics and Operational Research
    Imperial College of Science and Technology
    B.Sc. Physics
    Imperial College of Science and Technology