Stephen A. Ross receives the 2014 Morgan Stanley-American Finance Association Award for Excellence in Finance
Date Posted: January 05, 2014
Stephen A. Ross is the Franco Modigliani Professor of Financial Economics and a Professor of Finance at the MIT Sloan School of Management.
He was previously the Sterling Professor of Economics and Finance at Yale University and, before that, a professor of economics and finance at the Wharton School of the University of Pennsylvania. Professor Ross is also the chairman of Compensation Valuation, Inc. (CVI), as well as the principal and chief investment officer of Ross Institutional Investors, LLC (RII).
Professor Ross is the author of more than 100 articles in economics and finance and is the coauthor of an introductory textbook in finance. He is probably best known for having invented the Arbitrage Pricing Theory and the Theory of Agency, and as the co-discoverer of risk neutral pricing and of the binomial model for pricing derivatives. Models developed by Ross and his co-workers, including term structure models and option pricing models, are now standards for pricing in major securities trading firms.
Professor Ross holds a BS in physics from CalTech and a PhD in economics from Harvard University.
Professor Ross’s research is currently focused on extending and applying the Recovery Theorem. The Recovery Theorem enables us to extract or ‘recover’ from the prices of options the distribution of future returns that the market is currently acting on. In this respect it is similar to the term structure of interest rates but unlike the term structure, recovery allows us to determine the entire future market subjective probability distribution. Ross is now extending this from the equity markets to the fixed income markets and exploring the mathematical foundations of recovery.