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, December 1996.

"A Continuous Time Portfolio Turnpike Theorem," John Cox, with Chi-fu Huang. Journal of Economic Dynamics and Control, Vol. 16, October 1992.

"A Variational Problem Arising in Financial Economics," John Cox, with Chi-fu Huang. Journal of Mathematical Economics, Vol. 20, No. 5, 1991. Reprinted in The Foundations of Continuous Time Finance, edited by Stephen Schaefer.

"Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process," John Cox, with Chi-fu Huang. Journal of Economic Theory, Vol. 49, No. 1, October 1989. Reprinted in The Foundations of Continuous Time Finance, edited by Stephen Schaefer.

"Option Pricing Theory and Its Applications," John Cox, with Chi-fu Huang, in Frontiers of Financial Theory, edited by Sudipto Bhattacharya and George Constantinides, Rowman and Littlefield, 1989.

"A Theory of the Term Structure of Interest Rates," John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Econometrica 53, No. 2, March 1985, 385-407, reprinted in Theory of Valuation, Rowman & Littlefield Publishers, Inc., 1989, 129-151, and Continuous Time Finance, ed. S. Schaefer, and The International Library of Critical Writings in Economics, ed., L. Gallagher and M. Taylor, Edward Elgar Publishers, 2001.

"An Intertemporal General Equilibrium Model of Asset Prices," John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Econometrica 53, No. 2, March 1985, 363-384, reprinted in The Foundations of Continuous Time Finance, ed. S. Schaefer, and in Options Markets, edited by George Constantinites and A.G. Malliaris.

Options Markets, John Cox. Englewood Cliffs, N.J.: Prentice Hall, 1985.

"On Dynamic Investment Strategies," John Cox, with Hayne Leland. Proceedings of the Seminar on the Analysis of Security Prices, Vol. 27, No. 2, November 1982, Reprinted in Journal of Economic Dynamics and Control, October 2000.

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

"A Reexamination of Traditional Hypotheses About the Term Structure of Interest Rates," John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross. Journal of Finance 36, No. 4, September 1981, 769-799. Reprinted in Speculation and Financial Markets edited by Dr Liam A. Gallagher and Mark P. Taylor, The International Library of Critical Writings in Economics – Series Editor: Mark Blaug, Edward Elgar Publishing Ltd.

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

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

"Option Pricing: A Simplified Approach," John C. Cox, Stephen Ross and Mark Rubinstein, Journal of Financial Economics 7, 1979, 229-263, reprinted in The Handbook of Financial Engineering, Harper Business Publishers, 1990.

"Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims," Ross, Stephen, with John C. Cox and Jonathan E. Ingersoll, Jr., Journal of Financial and Quantitative Analysis, 12(4) November 1977: 661-661.

"A Survey of Some New Results in Financial Option Pricing Theory," John C. Cox and Stephen A. Ross. Journal of Finance 31, No. 1, May 1976, 383-402; reprinted in Options Markets, ed. Constantinedes, Edward Elgar Publishing 2000.

"Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," John Cox, with Fischer Black. Journal of Finance, Vol. 31, No. 2, May 1976. Reprinted in Credit Risk: Models and Management, edited by David Shimko.

"The Valuation of Options for Alternative Stochastic Processes," John Cox and Stephen Ross. Journal of Financial Economics, 3, 1976, 145-166, reprinted in Options: Classic Approaches to Pricing and Modelling, ed. Lane Hughston, RISK Books, London, 1999; Options Markets, ed. G. Constantinedes and A. G. Malliaris, Edward Elgar Publishing 2000.

 

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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