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, ...
. 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 fina ...
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 mark ...
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
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