Name Stuart Turnbull | Role Economist | |
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Books Pricing and Hedging Capped Options, Option Valuation | ||
Stuart McLean Turnbull (born 1947) is a finance academic and practitioner, best known for the Jarrow–Turnbull model for pricing credit derivatives. His research has focused on credit- and market risk models, counterparty risk modeling, pricing CDS tranches, and forward default premiums. He has authored over fifty academic papers and has published two books on derivatives.
He is a professor of the C.T. Bauer College of Business at the University of Houston. He is an Associate Editor of the Journal of Mathematical Finance, International Journal of Theoretical and Applied Finance, and the Journal of Derivatives. Previously, he was a Professor at Queen's University and at the University of Toronto. He was Senior Vice President, Fixed Income Research, Lehman Brothers, New York, and Vice President, Risk Management Division, Canadian Imperial Bank of Commerce.
He holds a Ph.D. in Financial Economics (University of British Columbia, 1974), an M.Sc. in Statistics and Operational Research and a B.Sc. Physics (both Imperial College).