Valere Blair Potter Professor of Management (Finance)
Co-Director, Financial Markets Research Center
Subject Area(s): Finance
Robert E. Whaley is a renowned expert in the field of derivative securities, including contract valuation and risk management, market microstructure and market volatility. His distinguished teaching career, numerous articles, and many books have brought him national and international recognition in both the business and academic worlds. Among his many industry innovations are the development of the Market Volatility Index (VIX), the NASDAQ Market Volatility Index (VXN) and the BuyWrite Monthly Index (BXM) for the Chicago Board Options Exchange.
Whaley recently returned to Owen – having begun his academic career there 28 years ago – from the Fuqua School of Business at Duke University, where he was the T. Austin Finch Foundation Professor of Business Administration. He has also held faculty positions at the University of Chicago Graduate School of Business and the University of Alberta School of Business, and served as a consultant to investment houses, accounting firms, governmental agencies, law firms, and futures and options exchanges worldwide.
Much of Whaley’s work has been focused on the effects of program trading on stock prices, expiration day effects of index futures and options, and the valuation of option and futures options contracts and the efficiency of the markets in which they trade. He is the co-author of eight books including the recently-published Derivatives: Markets, Valuation, and Risk Management by John Wiley & Sons, Inc. He has also published more than 60 articles in leading academic journals such as the Journal of Financial Economics, Journal of Finance, Journal of Futures Markets and Journal of Empirical Finance. He is currently associate editor for Advances in Futures and Options Research, and has been on the editorial boards of China Accounting and Finance Review, Journal of Risk and Pacific-Basin Finance Journal. In addition, he has refereed for more than 50 journals and granting agencies.
Whaley’s research has been recognized with numerous grants, awards and distinctions throughout his career, including the Richard and Hinda Rosenthal Foundation Award for innovation in finance research, the Earl M. Combs Award for contributions to the futures industry and an EOE prize from the Institute for Quantitative Investment Research-Europe. In addition, his research has been presented at scores of seminars and conferences held by academic institutions, professional associations and governmental commissions in the U.S. and abroad. Whaley currently serves as on the international advisory board of the University Centre for Financial Engineering at the National University of Singapore, and has served on the board of directors of the American Finance Association and the Western Finance Association.
BComm, Alberta, 1975
M.B.A., Toronto, 1976
Ph.D., Toronto, 1978
Area(s) of Expertise:
Derivatives, market microstructure, financial engineering, corporate finance, financial markets, options, futures, market volatility
Video: Bob Whaley on Mad Money (April 10, 2014)
Office #: 308