John Carrington Cox is the Nomura Professor of Finance at the

MIT Sloan School of Management The MIT Sloan School of Management (MIT Sloan or Sloan) is the business school of the Massachusetts Institute of Technology, a private university in Cambridge, Massachusetts. MIT Sloan offers bachelor's, master's, and doctoral degree programs, as ...

. He is one of the world's leading experts on options theory and one of the inventors of the

Cox–Ross–Rubinstein model In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. Essentially, the model uses a "discrete-time" ( lattice based) model of the varying price over time of the underlying fin ...

for option pricing, as well as of the

Cox–Ingersoll–Ross model In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market ...

for interest rate dynamics. He was named Financial Engineer of the Year by the

International Association of Financial Engineers The International Association for Quantitative Finance (IAQF), formerly the International Association of Financial Engineers (IAFE), is a non-profit professional society dedicated to fostering the fields of quantitative finance and financial engin ...

in 1998.

References

External links

Webpage at MIT
1943 births Living people Academics from Houston Financial economists MIT Sloan School of Management faculty Fellows of the Econometric Society Economists from Texas 21st-century American economists {{US-economist-stub