什么是约翰·考克斯

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.

Work

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.

约翰·考克斯的理论

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

在20世纪80年代中期，考克斯（Cox）, 英格索尔（Ingersoll）和斯蒂芬·罗斯（Stephen A. Ross）连续发表了两篇论文，这两篇论文代表了金融学中广义均衡理论方法的里程碑。首先，Cox, Ingersoll和Ross（1985a）对一个简单而又完备的经济体提出了一个时间连续的广义均衡模型，并且用它来检验资产价格的行为。其次，Cox, Ingersoll和Ross（1985b）则是用在Cox, Ingersoll和Ross（1985a）中提出的模型来对利率期限结构进行研究，建立了CIR模型（Cox-Ingersoll-Ross Model）。

二项期权定价模型（binomal option price model，SCRR Model，BOPM）

二项期权定价模型由考克斯（Cox）、斯蒂芬·罗斯（Stephen A. Ross）、马克·鲁宾斯坦（Mark Rubinstein）和威廉·夏普(William F. Sharpe)等人提出的一种期权定价模型，主要用于计算美式期权的价值。

二项期权定价模型假设股价波动只有向上和向下两个方向，且假设在整个考察期内，股价每次向上(或向下)波动的概率和幅度不变。模型将考察的存续期分为若干阶段，根据股价的历史波动率模拟出正股在整个存续期内所有可能的发展路径，并对每一路径上的每一节点计算权证行权收益和用贴现法计算出的权证价格。对于美式权证，由于可以提前行权，每一节点上权证的理论价格应为权证行权收益和贴现计算出的权证价格两者较大者。