John C. Cox

John Cox is the Nomura 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.