約翰·考克斯

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約翰·考克斯(John Carrington Cox)

　　John Carrington Cox is the Nomura Professor of Finance at the MIT Sloan School of Management. He is one of the world's leading experts on options theory and one of the inventors of the Cox-Ross-Rubinstein model for option pricing, as well as of the Cox-Ingersoll-Ross model for interest rate dynamics.

　　A leading authority on corporate finance and finance theory, John Cox has developed an intertemporal 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 has also 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 has also examined how the length of the planning horizon affects optimal behavior.

　　CIR模型（Cox–Ingersoll–Ross model，CIR Model）

　　在20世紀80年代中期，考克斯（Cox）, 英格索爾（Ingersoll）和斯蒂芬·羅斯（Stephen A. Ross）連續發表了兩篇論文，這兩篇論文代表了金融學中廣義均衡理論方法的里程碑。首先，Cox, Ingersoll和Ross（1985a）對一個簡單而又完備的經濟體提出了一個時間連續的廣義均衡模型，並且用它來檢驗資產價格的行為。其次，Cox, Ingersoll和Ross（1985b）則是用在Cox, Ingersoll和Ross（1985a）中提出的模型來對利率期限結構進行研究，建立了CIR模型（Cox-Ingersoll-Ross Model）。

　　二項期權定價模型（binomal option price model，SCRR Model，BOPM）

　　二項期權定價模型由考克斯（Cox）、斯蒂芬·羅斯（Stephen A. Ross）、馬克·魯賓斯坦（Mark Rubinstein）和威廉·夏普(William F. Sharpe)等人提出的一種期權定價模型，主要用於計算美式期權的價值。

　　二項期權定價模型假設股價波動只有向上和向下兩個方向，且假設在整個考察期內，股價每次向上(或向下)波動的概率和幅度不變。模型將考察的存續期分為若幹階段，根據股價的歷史波動率模擬出正股在整個存續期內所有可能的發展路徑，並對每一路徑上的每一節點計算權證行權收益和用貼現法計算出的權證價格。對於美式權證，由於可以提前行權，每一節點上權證的理論價格應為權證行權收益和貼現計算出的權證價格兩者較大者。