Foundations of Pricing Financial Derivatives

Foundations of Pricing Financial Derivatives

Foundations of Pricing Financial Derivatives is being written as a PhD-level book focusing on one of the most technical subjects in finance—derivative pricing theory. While the majority of finance faculty and PhD students will not specialize in derivatives, there is no doubt that a solid understanding of derivative pricing theory is an important element of doctoral level education in finance.

Derivative pricing theory, in particular the Black–Scholes–Merton (1973) model, has had a tremendous impact on finance. It has provided a framework for understanding not only standard derivatives, such as options, forwards, futures, and swaps, but it has also shown us that derivatives can explain many other topics and relationships in finance, such as callable bonds, convertible bonds, credit risk, and corporate capital structure. The impact of derivative pricing theory has been so great that Nobel Prizes were awarded in 1995 to Myron Scholes and Robert Merton with special recognition to the late Fischer Black for work on this subject. Yet, with the increasing need for students to take so many courses in econometrics and statistics, there is often little room in a doctoral program for such a course.

Foundations of Pricing Financial Derivatives will introduce the vast financial derivatives markets to PhD students in hopes that it will stimulate your interest in research related to financial derivatives as well as aid in your future research agenda, even if your agenda is not explicitly financial derivatives.

The expected publication date is in early 2021.

Robert E. Brooks
Robert E. Brooks
Wallace D. Malone, Jr. Professor of Financial Management

My research interests include financial derivatives, enterprise risk management, performance attribution, options, futures, swaps, and financial philosophy.

Related