John C. Cox (1943–)

Leonid Kogan () and Jiang Wang ()
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Leonid Kogan: MIT Sloan School of Management
Jiang Wang: MIT Sloan School of Management

Chapter 25 in The Palgrave Companion to MIT Economics, 2025, pp 503-523 from Springer

Abstract: Abstract The chapter provides an overview of John C. Cox’s most significant contributions to financial economics. Cox’s groundbreaking work includes the development of the Cox-Ingersoll-Ross (CIR) term structure model, the binomial option pricing model, the risk-neutral approach to derivatives valuation and the martingale approach to dynamic portfolio choice. These fundamental contributions have significantly influenced both theoretical frameworks and practical applications in modern finance, offering indispensable tools for both academics and finance professionals. Cox’s exceptional ability to connect academic theory with real-world financial practice has cemented his legacy as a giant figure in the field. His work continues to serve as a cornerstone in financial economics.

Keywords: Binomial model; Term structure of interest rates; Dynamic consumption-portfolio choice; Risk-neutral valuation; Cox-Ingersoll-Ross model; Financial derivatives; Arbitrage pricing theory (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-77623-6_25

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DOI: 10.1007/978-3-031-77623-6_25

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