John Cox

Nomura Professor of Finance
Professor of Finance

Biography | Selected Publications

"The Constant Elasticity of Variance Option Pricing Model." John Cox. Journal of Portfolio Management Vol. 23, No. 5 (1996): 15-17. (1996)

"A Continuous Time Portfolio Turnpike Theorem." Cox, John C. and Chi-fu Huang. Journal of Economic Dynamics and Control Vol. 16, No. 3-4 (1992): 491-507. (1992)

"A Variational Problem Arising in Financial Economics." Cox, John C. and Chi-fu Huang. Journal of Mathematical Economics Vol. 20, No. 5 (1991): 465–487. (1991)

"Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process." Cox, John C. and Chi-fu Huang. Journal of Economic Theory Vol. 49, No. 1 (1989): 33-83.  (1989)

"Option Pricing Theory and Its Applications." Cox, John C. and Chi-fu Huang. In Theory of Valuation: Frontiers of Modern Financial Theory Volume I, edited by Sudipto Bhattacharya and George Constantinides, 272-288. Lanham, MD: Rowman and Littlefield, 1989.

"A Theory of the Term Structure of Interest Rates." Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Econometrica Vol. 53, No. 2 (1985): 385-407. (1985)

"An Intertemporal General Equilibrium Model of Asset Prices." John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Econometrica Vol. 53, No. 2 (1985): 363-384. (1985)

Options MarketsCox, John C. and Mark Rubinstein. Englewood Cliffs, NJ: Prentice Hall, 1985.

"On Dynamic Investment Strategies." John Cox and Hayne Leland. In Proceedings of the Seminar on the Analysis of Security Prices. Chicago, IL: November 1982.

"The Relation Between Forward and Future Prices." Cox, John C., Jonathan E. Ingersoll and Stephen A. Ross. Journal of Financial Economics Vol. 9, No. 4 (1981): 321-346. (1981)

"A Reexamination of Traditional Hypotheses About the Term Structure of Interest Rates." Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Journal of Finance Vol. 36, No. 4 (1981): 769-799. (1981)

"An Analysis of Variable Rate Loan Contracts." Cox, John C., John E. Ingersoll, Jr. and Stephen A. Ross. Journal of Finance Vol. 35, No. 2 (1980): 389-403. (1980)

"Option Pricing: A Simplified Approach." Cox, John C.,  Stephen A. Ross and Mark Rubinstein. Journal of Financial Economics Vol. 7, No. 3 (1979): 229-263. (1979)

"Duration and the Measurement of Basis Risk." Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Journal of Business Vol. 52, No. 1 (1979): 51-61. (1979)

"Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims." Cox, John C., Jonathan E. Ingersoll Jr. and Stephen A. Ross. Journal of Financial and Quantitative Analysis Vol. 12, No. 4 (1977): 661-661. (1977)

"A Survey of Some New Results in Financial Option Pricing Theory." Cox, John C. and Stephen A. Ross. Journal of Finance Vol. 31, No. 1 (1976): 383-402.  (1976)

"Valuing Corporate Securities: Some Effects of Bond Indenture Provisions." Black, Fischer and John C. Cox. Journal of Finance Vol. 31, No. 2 (1976): 351-367. (1976)

"The Valuation of Options for Alternative Stochastic Processes." Cox, John C. and Stephen A. Ross. Journal of Financial Economics Vol. 3, No. 1-2 (1976): 145-166. (1976)

 

Contact Information
Office: E62-622
Tel: (617) 253-3414
Fax: (617) 258-6855
E-mail: jcox@mit.edu
Support Staff
Name: Jayna Cummings
Tel: (617) 258-5727
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