Derivatives, market microstructure, financial engineering, corporate finance, financial markets, options, futures, market volatility
Finance
A frequent contributor to Wall Street Journal, New York Times, Marketplace and other news organizations on topics of market volatility, Bob Whaley is renowned as the “father of the fear index”-- the VIX, created for the CBOE in 1993.
Professor Whaley has received a number of grants and award including the 1989 Richard and Hinda Rosenthal Foundation Award for innovation in finance research, the 1993 Earl M. Combs, Jr. Award for contributions to the futures industry, a Chicago Board Options Exchange 40th Anniversary Award for contributions to listed options markets in 2013, the 2015 Joseph W. Sullivan Options Industry Achievement Award, and the 2015 William F. Sharpe Lifetime Achievement Award.
Many of his research papers have received awards, including Graham and Dodd Scrolls for Excellence in Financial Writing from the Financial Analysts Journal in 1986 and 1987, the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in Journal of Portfolio Management during the volume year 1999-2000, the E. Yetton Award for Best Paper in Australian Journal of Management, 1997 for his work on program trading and futures option valuation, the CBOT Award for Best Paper on Futures at the Western Finance Association meetings in 1993 for his work on dual trading, the Canadian Securities Institute Award for Best Paper in Investments at the Northern Finance Association meetings in 1989 for his work on market volatility prediction, and an EOE Prize from the Institute for Quantitative Investment Research—Europe in 1995 for his work on deterministic volatility functions, and the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in Journal of Portfolio Management during the volume year 2008-2009.
Professor Whaley is an
established expert in derivative contract valuation and risk management, and
market operation. He has been a consultant for many major investment houses,
security (futures, option and stock) exchanges, governmental agencies, and
accounting and law firms. Whaley developed the CBOE Market Volatility Index
(i.e., the “VIX”) for the Chicago Board Options Exchange in 1993, the
NASDAQ Market Volatility Index (i.e., the “VXN”) in 2000, and the BuyWrite
Monthly Index (i.e., the “BXM”)
in 2001. He also co-developed the NASDAQ OMX Alpha Indexes.
As
an established expert in derivative contract valuation and risk management, and
market operation, Professor Whaley has served as a consultant for many major
investment houses and has published seven books, including the recent Derivatives: Markets, Valuation, and
Risk Management by
John Wiley & Sons, Inc.
During a 1998 visit, Professor Whaley and his wife fell in love with the people and culture of Ireland — so much so that he transformed the lower level of his Nashville home into “Whaley’s Tavern”, a 1,500-square-foot Irish pub.
Professor
Whaley’s research focuses on volatility products,
high-frequency trading and market volatility, market microstructure and
relative performance options. His research has been published in the top
academic and practitioner journals, and he is a frequent presenter at major
conferences and seminars.
Ph.D., Toronto, 1978
MBA, Toronto, 1976
BComm, Alberta, 1975
615-343-7747
308
Whaley, R.E. (2006) Derivatives: Markets, Valuation, and Risk Management. John Wiley & Sons, Inc.: Hoboken, NJ.
Trading Volatility: At What Cost? Forthcoming in Journal of Portfolio Management.