John C. Cox
Encyclopedia
John Carrington Cox is the Nomura Professor of Finance at the MIT Sloan School of Management
. He is one of the world's leading experts on options theory
and one of the inventors of the Cox–Ross–Rubinstein model
for option pricing, as well as of the Cox–Ingersoll–Ross model for interest rate dynamics. He was named Financial Engineer of the Year by the International Association of Financial Engineers
in 1998.
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
. He is one of the world's leading experts on options theory
Option (finance)
In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
and one of the inventors of the Cox–Ross–Rubinstein model
Binomial options pricing model
In finance, the binomial options pricing model provides a generalizable numerical method for the valuation of options. The binomial model was first proposed by Cox, Ross and Rubinstein in 1979. Essentially, the model uses a “discrete-time” model of the varying price over time of the underlying...
for option pricing, as well as of the Cox–Ingersoll–Ross model for interest rate dynamics. He was named Financial Engineer of the Year by the International Association of Financial Engineers
International Association of Financial Engineers
The International Association of Financial Engineers is a non-profit professional society dedicated to fostering the field of financial engineering. The IAFE hosts several panel discussions throughout the year to discuss the issues that affect the industry from both academic and professional angles...
in 1998.