Centers & Initiatives
John Cox is a Professor of Finance, Emeritus at the MIT Sloan School of Management.
A leading authority on corporate finance and finance theory, Cox has developed an inter-temporal financial model broad enough to include the fundamental underlying forces affecting financial markets. Using this framework, he has devised a theory of the term structure of interest rates. His bond-pricing model is widely used on Wall Street. In the field of contingent claims, Cox has examined the foundations of option valuation. His principle of risk-neutral valuation has become an essential feature of subsequent work on derivatives. Cox also has developed a simple numerical scheme for valuing American options that is used by most firms dealing in equity derivatives. For many years, his book, Options Markets, has been a leading text in the field. In the area of dynamic investment strategies, Cox has studied how best to manage a portfolio over time to meet specific objectives. His work also has examined how the length of the planning horizon affects optimal behavior.
Cox holds a BA in economics from Louisiana State University and a PhD in business and applied economics from the University of Pennsylvania.
Current Research Focus: Cox is currently studying the way that heterogeneity in individual preferences affects equilibrium asset prices. He is also continuing his research on the optimal investment policies for individuals and institutions.
Cox, John C. Journal of Portfolio Management Vol. 23, No. 5 (1996): 15-17.
Cox, John C. and Chi-fu Huang. Journal of Economic Dynamics and Control Vol. 16, No. 3-4 (1992): 491-507.
Cox, John C. and Chi-fu Huang. Journal of Mathematical Economics Vol. 20, No. 5 (1991): 465–487.
Cox, John C. and Chi-fu Huang. Journal of Economic Theory Vol. 49, No. 1 (1989): 33-893.
Cox, John C. and Chi-fu Huang. In Theory of Valuation: Frontiers of Modern Financial Theory Volume I, edited by George Constantinides and Sudipto Bhattacharya, 272-288. Lanham, MD: Rowman and Littlefield Publishers, 1989.
Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Econometrica Vol. 53, No. 2 (1985): 385-407.