Don M. Chance Web Vita

Academic and Business Experience & Visiting Positions

2009-, James C. Flores Endowed Chair for MBA Studies, Louisiana State University
2003-2009, William H. Wright, Jr. Endowed Chair for Financial Services, Louisiana State University
2015 (Fall), Hong Kong Polytechnic University
2014 (Fall), University of Macquarie, Sydney, Australia
2014 (Fall), Visiting Scholar, National University of Singapore
2013 (Fall), Visiting Scholar, University of Adelaide, Adelaide, Australia
2006 (Fall), Visiting Scholar, Korea Advanced Institute for Science and Technology, Seoul, Republic of Korea
1999 (Spring), Visiting Scholar, University of Srathclyde, Glasgow, Scotland
1996-2003, First Union Professor of Financial Risk Management, Virginia Tech
1994 (Fall), Visiting Scholar, University of North Carolina at Chapel Hill
1989-1996, Professor of Finance, Virginia Tech
1983-89, Associate Professor of Finance, Virginia Tech
1980-83, Assistant Professor of Finance, Virginia Tech
1978-80, Graduate Teaching Assistant, Louisiana State University
1975, Part-time Instructor, Jefferson State Junior College
1973-77, Assistant Cashier & Corporate Services Manager (1976-77), First National Bank of Birmingham

Research and Publications

Articles Forthcoming

"Does the Choice Between Listing on the NYSE versus Nasdaq Matter:  An Examination of Firms that Voluntarily Move from the NYSE to Nasdaq."  Journal of Accounting and Finance (forthcoming, Vol. 19, 2019)  With Y. Bui and C. Stephens.

"The 'Superior Performance' of Covered Calls on the S&P 500:  Rethinking an Anomaly."  The Journal of Derivatives (forthcoming).

"FI-nance or Fi-NANCE:  How 100 Experts Pronounce the Word"  Jouirnal of Financial Education (forthcoming)

Articles Published

"An Option Pricing Approach to Corporate Dividends and the Capital Investment Financing Decision."  Review of Financial Economics  37 (2019), 541-553.

"An Empirical Analysis of Corporate Currency Risk Manaement Policies and Practices," Pacific-Basin Finance Journal.  47 (February, 2018), 109-128.  With S. Kim.

"A Bias in the Volatility Smile."  Review of Derivatives Research 20 (2017).  With T. Hanson, W. Li, J. Muthuswamy.

"The Alphas of Asset Allocators." The Journal of Investing.  25 (2016), 34-50.

"Derivatives Exchanges."  The Professional Risk Managers' Handbook Series:  Financial Markets, edited Elizabeth Sheedy (2015).

"Poor Performance and the Value of Corporate Honesty."  The Journal of Corporate Finance.  33 (2015), 1-18.  With J. Cicon and S. Ferris.  Abstracted in The CFA Digest (January, 2016).

"Some Subtle Relationships and Results in Option Pricing."  Journal of Applied Finance.  With R. Brooks 24 (2014), 94-110.

"The Price-Taker Effect on the Valuation of Executive Stock Options," The Journal of Financial Research.  37 (Spring, 2014), 27-54.  With T.-H. Yang.

"Financial Analysis of the Decision to Purchase a Hybrid Vehicle."  Energy Finance and Economics:  Analysis and Valuation, Risk Management, and the Future of Energy, eds. B. Simkins and R. Simkins.  With P. Dhar and B. Simkins.  New York:  Wiley (2013).

"The Subprime Crisis," in Megacrises:  Understanding the Prospects, Nature, Characteristics and the Effects of Cataclysmic Events., ed. Ira Helsloot, Arjen Boin, Brian Jacobs, and Louise K. Comfort.  Springfield, Illinois:  Charles C. Thomas (2012), 224-236.

"Private Information and the Exercise of Executive Stock Options." Financial Management  41 (Autumn, 2012), 733-764.  With R. Brooks and B. Cline.

"The Tradeoff Between Compensation and Incentives in Executive Stock Options."  Quarterly Journal of Finance.  With T.-H. Yang 1(2011), 733-766.

"Fatal Flaws of the Sharpe Ratio or How to Make Yourself Look Good."  Journal of Performance Measurement 16 (Fall, 2011), 20-28.

"The Human Side of Risk Management:  Part II."  Risk Professional (October, 2011), 36-38.

"The Human Side of Risk Management:  Part I."  Risk Professional (August, 2011), 37-40.

"Experimental Evidence on Portfolio Size and Diversification:  Human Biases in Naive Security Selection and Portfolio Construction."  The Financial Review 46 (August, 2011), 427-457.  With A. Shynkevich and T.-H. Yang.

"Patterns in Asset Management Returns:  Evidence of Fraud in the Stanford Group Scandal?"  Journal of Alternative Investments 13 (Spring 2011), 73-79.  With A. Schexnaildre.

"The Subprime Crisis."  National Safety & Security and Crisis Management Magazine.  Special Issue:  Megacrises in the 21st Century (October 2009), 24-25.

"Liquidity and Employee Options:  An Empirical Analysis of the Microsoft Experience."  Journal of Corporate Finance 15 (2009), 469-487.

"What are the Odds?  Another Look at DiMaggio's Streak?"  Chance 22 (June 2009), 33-42.

"Pricing Options on Film Revenue."  Risk 22 (May 2009), 80-86.  With J. E. Hilliard and E. Hillebrand.

"A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets."  Journal of Applied Finance 18 (2008), 38-56.  Supporting Proofs.

"Competition and Innovation in U. S. Futures Markets."  Journal of Alternative Investments 11 (Summer, 2008), 97-109.

"Pricing an Option on Revenue from an Innovation:  An Application to Movie Revenue."  Management Science 54 (May, 2008), 1015-1028.  Co-authors:  J. E. Hilliard and E. Hillebrand.

"Six One Way, Half a Dozen the Other:  A Fresh Perspective on the Indexing Debate."  Journal of Indexes 11 (May-June, 2008), 11-15, 57.

"Taxation without Replication:  A Look at a Problem in Synthetic Indexing." Journal of Portfolio Management 34 (Fall, 2007), 73-83.

"Black-Scholes-Merton, Liquidity, and the Valuation of Executive Stock Options."  Issues in Corporate Governance and Finance 12 (2007), 271-310.  Co-author:  T.-H. Yang.

"Reply to Comment on "A Hedging Deficiency in Eurodollar Futures."  Journal of Futures Markets 27 (2007), 195-201.

"A Hedging Deficiency in Eurodollar Futures." Journal of Futures Markets 26 (February, 2006), 189-207.

"The Utility-Based Valuation and Cost of Executive Stock Options in a Binomial Framework:  Issues and Methodologies."  Journal of Derivatives Accounting 2 (September, 2005), 165-188.  Co-author:  T.-H. Yang.

"Discretionary Trading and the Search for Alpha." The Journal of Asset Management 6 (August, 2005), pp. 117-135.

"Mathematical Probability Theory and Finance:  Connecting the Dots."  Journal of Financial Education 31 (Summer, 2005), pp. 1-14.

"Valuing Forward Contracts."  The Professional Risk Managers' Guide to Finance Theory and Application, ed. Carol Alexander and Elizabeth Sheedy.  New York:  McGraw-Hill (2008).  Originally published in The Professional Risk Manager's Handbook:  A Comprehensive Guide to Current Theory and Best Practices, ed. Carol Alexander and Elizabeth Sheedy.  Professional Risk Manager's International Association (PRMIA) Publications:  Wilmington, Delaware (2004).

"Two Extensions for Fitting Discrete Time Term Structure Models with Normally Distributed Factors," Applied Mathematical Finance 18 (September, 2004), pp. 187-205.  Co-author:  S. Agca.

"Equity Swaps and Equity Investing," The Journal of Alternative Investments 7 (Summer, 2004), 75-97.

"Speed and Accuracy Comparison of Bivariate Normal Distribution Approximations for Option Pricing." The Journal of Computational Finance 5 (2003), 67-90. Co-author: S. Agca.

"Swaptions and Options." The Journal of Risk 5 (Spring, 2003), 67-90.

"Rethinking Implied Volatility." Financial Engineering News (January/February, 2003), 7, 20.

"The (In)Stability of the Relationship Between Stocks, Bonds and Managed Futures."  Journal of Applied Business Research 19 (2003), 75-93.

"A Simple Proof of European Option Pricing with Discrete Stochastic Dividends." The Journal of Derivatives 9 (Spring, 2002), 39-45. Co-authors: R. Kumar and D. Rich.

"The Performance of Professional Market Timers:  Daily Evidence from Executed Strategies." Journal of Financial Economics 62 (November, 2001), 377-411.  Co-author:  M. L. Hemler. 

"The False Teachings of the Unbiased Expectations Hypothesis."  Journal of Portfolio Management 27 (Summer, 2001), 83-95.  Co-author:  D. Rich.

"Dividend Forecast Biases in Index Option Valuation."  Review of Derivatives Research 4 (2000), 285-303.  Co-authors:  R. Kumar and D. Rich.

"The 'Repricing' of Executive Stock Options."  Journal of Financial Economics 57 (July, 2000), 129-154.  Co-authors:  R. Kumar and R. B. Todd.  Abstracted in Economic Intuition (Fall, 2000), 2-3.

"Research Trends in Derivatives and Risk Management Since Black-Scholes." The Journal of Portfolio Management, Special 25th Anniversary Issue (May, 1999), 35-46.

"The New Science of Finance." American Scientist 87 (May-June, 1999), 256-263. Co-author: P. P. Peterson. Reprinted in Academic Communities/Disciplinary Conventions, Bonnie Beedles and Michael Petracca.  Upper Saddle River, New Jersey: Prentice-Hall (2001).

"Implied Standard Deviations and Put-Call Parity Relations Around Primary Security Offerings." Journal of Applied Business Research 15 (Winter, 1998-99), 1-12. Co-authors: J. B. Broughton and D. M. Smith.

"What are Derivatives? A Comparison of Instrument Structures and Their Risks for the Internal Audit Team." Chapter 2 in Derivatives and the Internal Auditor. London: Risk Publications, 1999.

"Some Computational Problems in the Pedagogy of the Black-Scholes Model." The Journal of Financial Education 24 (Fall, 1998), 61-70. Co-author: H. E. Fredericks.

"The Pricing of Equity Swaps and Swaptions." The Journal of Derivatives 5 (Summer, 1998), 19-31. Co-author: D. Rich.

"A Theory of the Value of Active Investment Management and Its Implications for Closed-End Funds and Investment Management Contracts." Advances in Financial Economics 3 (1997), 81-115.

"Guest Speaker: A Derivative Alternative as Executive Compensation." Financial Analysts Journal 53 (March-April, 1997), pp. 6-8. Abstraced in The CFA Digest 27 (Spring, 1997), 14-16.

"On Disclosing the Risk of Derivatives: Unfair, Inappropriate and Inconsistent." Derivatives Quarterly 3 (Winter, 1996), pp. 24-26.

"Price the Average." Energy and Power Risk Management 1 (December, 1996/January, 1997), pp. 22-25. Co-author: D. Rich.

"A Generalized Simple Formula to Compute the Implied Volatility." The Financial Review 31 (November, 1996), 859-867.

"Executive Equity Swaps and Corporate Insider Holdings." Financial Management 25 (Summer, 1996), 14-24. Co-authors: D. R. Rich and P. W. Bolster.  Summarized in The CFA Digest 27 (Spring, 1997), 69-70.

"Duration, Convexity and Time as Components of Bond Returns." Journal of Fixed Income 6 (September, 1996), 88-96. Co-author: J. V. Jordan.  Abstracted in The CFA Digest 27 (Spring, 1997), 14-16.

"The Benefits and Limits of Diversification Among Commodity Trading Advisors." Journal of Portfolio Management 23, (Fall, 1996), 65-80. Co-author: R. S. Billingsley.

"Asset Swaps with Asian-Style Payoffs." The Journal of Derivatives 3 (Summer, 1996), 64-77. Co-author: D. R. Rich.

"Comparison of Two Low Cost S&P 500 Index Funds." Derivatives Quarterly 2 (Spring, 1996), 32-38. Co-authors: J. J. Angel, J. C. Francis, and G. L. Gastineau.

"A Chronology of Derivatives." Derivatives Quarterly 2 (Winter, 1995), 1-8.

"The Impact of Equity Option Expirations on the Prices of Non-Expiring Options." Review of Financial Economics 4 (May, 1995), 109-123. Co-authors: J. B. Broughton and D. M. Smith.

"The ABCs of Geometric Brownian Motion." Derivatives Quarterly 1 (Winter, 1994), 41-47.

"Translating the Greek: The Real Meaning of Call Option Derivatives." Financial Analysts Journal 50 (July-August, 1994), 43-49. Abstracted in The CFA Digest 25 (Winter, 1995), 57-59.

"Futures Pricing and the Cost of Carry Under Price Limits." The Journal of Futures Markets 14 (October, 1994), 813-836.

"The Pricing and Hedging of Limited Exercise Caps and Spreads." The Journal of Financial Research 17 (Winter, 1994), 561-584.

"An Alternative Approach to the Pricing of Options on Multiple Assets." The Journal of Financial Engineering 2 (September, 1993), 271-285. Co-author: D. R. Rich.

"The Value Line Enigma Extended: An Examination of the Performance of Option Recommendations." The Journal of Business 66 (October, 1993), 541-569. Co-author: J. B. Broughton.

"Quick Valuation of the 'Bermuda' Capped Option." The Journal of Portfolio Management 20 (Fall, 1993), 93-99. Co-author: R. R. Trippi.

"Leap Into the Unknown." Risk 6 (May, 1993), 60-62, 64, 66. Reprinted in Over the Rainbow: New Developments in Exotic Options and Complex Swaps, ed. R. A. Jarrow. London: Risk (1996), Ch. 37, pp. 251-256.

"Is Federal Regulation of Stock Index Futures Margins Necessary?" The Journal of Financial Engineering 2 (March, 1993), 1-13.

"The Impact of Delivery Options on Futures Prices: A Survey." The Journal of Futures Markets 13 (April, 1993), 127-155. Co-author: M. L. Hemler.

"Options Analysts' Recommendations and Market Efficiency." International Review of Financial Analysis 1 (1992), 131-148. Co-author: R. Kumar.

"Index Futures." The New Palgrave Dictionary of Money and Finance, ed. J. Eatwell, M. Milgate and P. Newman, London: Stockton House (1992).

"The Impact on Shareholders of Mutual Fund Distribution Expenses." The Journal of Law and Commerce 11 (Fall, 1991), 15-38. Co-authors: D. J. Haskell and S. P. Ferris.

"The Differential Impact of Federal Reserve Margin Requirements on Stock Market Volatility." The Financial Review 3 (August, 1991), 343-366. Co-authors: S. P. Ferris and R. Kumar.

"Mutual Fund Distribution Fees: An Empirical Analysis of the Impact of Deregulation." Journal of Financial Services Research 5 (March, 1991), 25-42. Co-author: S. P. Ferris

"A Transaction Data Study of Stock Returns and Trading Activity During Option Expiration Periods." Advances in Futures and Options Research (5, 1991), 149-174. Co-authors: S. P. Ferris and G. A. Wolfe.

"Option Volume and Stock Market Performance." The Journal of Portfolio Management 16 (Summer, 1990), 42-51. Abstracted in The CFA Digest 21 (Winter, 1991), 44-45.

"Default Risk and the Duration of Zero Coupon Bonds." The Journal of Finance 45 (March, 1990) 265-274. Abstracted in Journal of Economic Literature 28 (September, 1990), 1541.

"Market Index Depository Liabilities: Analysis, Interpretation and Performance." Journal of Financial Services Research 1 (1988), 335-352. Co-author: J. B. Broughton.

"Margin Requirements and Stock Market Volatility." Economics Letters 28 (1988), 251-254. Co-author: S. P. Ferris.

"Put-Call Ratios and Market Timing Effectiveness." The Journal of Portfolio Management 15 (Fall, 1988), 25-28. Co-author: R. S. Billingsley.

"The Pricing and Performance of Stock Index Futures Spreads." The Journal of Futures Markets 8 (June, 1988), 303-318. Co-author: R. S. Billingsley.

"The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note." The Journal of Finance 42 (September, 1987), 1077-1082. Co-author: S. P. Ferris.

"Boundary Condition Tests of Bid and Ask Prices of Index Call Options." The Journal of Financial Research 11 (Spring, 1988), 21-31.

"The Effect of Aviation Disasters on the Air Transport Industry: A Financial Market Perspective." Journal of Transport Economics and Policy 21 (May, 1987), 151-165. Co-author: S. P. Ferris. Abstracted in Journal of Economic Literature 26 (March, 1988), 512.

"Trading Time Effects in Financial and Commodity Futures Markets." The Financial Review 22 (May, 1987), 281-294. Co-author: S. P. Ferris.

"A Guide to Index Arbitrage." Wall Street Micro Investor 5 (May, 1987), 2-4.

"Parity Tests of Index Options." Advances in Futures and Options Research 2 (1987), 47-64.

"Risk-Return Characteristics of Stock Index Futures and Options." The Handbook of Stock Index Futures and Options, ed. F. Fabozzi. Homewood, Illinois: Irwin (1989).

"A Spreadsheet Approach to Analyzing Options." Wall Street Micro Investor 4 (December, 1986), 2-6.

"Should Investors Bet on Summer Rally?" Media General Financial Weekly 16 (August 18, 1986). Co-author: S. P. Ferris.

"Futures Contracts and Immunization." Review of Research in Futures Markets 5 (1986), 124-140.

"Empirical Tests of the Pricing of Index Call Options." Advances in Futures and Options Research 1, Part A (1986), 141-166.

"Hedging Shelf Registrations." The Journal of Futures Markets 6 (Spring, 1986), 11-27. Co-authors: M. W. Marr and G. R. Thompson.

"Summer Rallies." Financial Analysts Journal 42 (January-February, 1986), 6-9. Co-author: S. P. Ferris.

"Reevaluating Mortgage Refinancing 'Rules of Thumb'." Journal of the Institute of Certified Financial Planners 7 (Spring, 1986), 37-45. Co-author: R. S. Billingsley.

"Listed Stock Options and Managerial Strategy." Strategy and Executive Action (Fall, 1986), 17-20, 28. Co-author: R. S. Billingsley.

"Immunization of Floating Rate Notes." Floating Rate Instruments: Characteristics, Valuation and Strategies, ed. F. Fabozzi. Chicago: Probus (1986), 295-306. Co-author: G. E. Morgan.

"Options Market Efficiency and the Box Spread Strategy." The Financial Review 20 (November, 1985), 287-301. Co-author: R. S. Billingsley. Reprinted in CFA Readings in Derivative Securities ed. M. A. Berry and K. F. Sherrerd. Charlottesville, Virginia: The Institute of Chartered Financial Analysts (1988), 217-230.

"A Semi-Strong Form Test of the Efficiency of the Treasury Bond Futures Markets." The Journal of Futures Markets 5 (Fall, 1985), 385-405.

"Managing Your Portfolios with Index Options." Futures 9 (September, 1985), 70-73. Co-author: R. S. Billingsley.

"The CBOE Call Option Index: A Historical Record." The Journal of Portfolio Management 12 (Fall, 1985), 75-83. Co-author: S. P. Ferris.

"The Reaction of the Chicago Board of Trade GNMA Futures Contract to the Announcement of Inflation Rates: A Study of Market Efficiency." Review of Research in Futures Markets 4 (1985), 132-154.

"Indexed Bonds: A Comparative Analysis." Journal of Economics and Business 36 (May, 1984), 207-216. Co-author: P. J. Bolster.

"Floating Rate Notes and Immunization." Journal of Financial and Quantitative Analysis 18 (September, 1983), 365-380.

"An Immunized-Hedge Procedure for Bond Futures." The Journal of Futures Markets 2 (Fall, 1982), 231-242. Reprinted in Readings in Futures Markets, Book V: Selected Writings on Futures Markets: Explorations in Financial Futures Markets, ed. A. E. Peck. Chicago: Board of Trade of the City of Chicago (1985), 119-131.

"New Tax Rule on Zero Coupon Bonds Will Favor Investors." Bond Week 11 (July 5, 1982), 8.

"Evidence on a Simplified Model of Systematic Risk." Financial Management 11 (Autumn, 1982), 53-63.

"Interest Sensitivity and Dividend Yields." The Journal of Portfolio Management 8 (Winter, 1982), 69-75.

"Empirical Estimates of Equivalent Risk Classes and the Effect of Financial Leverage on Systematic Risk." The Financial Review 16 (Fall, 1981), 12-29.

"Progress in Modeling Utility Stock Holding Period Returns." Public Utilities Fortnightly 107 (May 7, 1981), 34-36.

"Leverage and the Valuation of Risk Assets: A Comment." The Quarterly Review of Economics and Business 21 (Spring, 1981), 125-127.

"A Re-Examination of Interest Rate Sensitivity in the Common Stocks of Financial Institutions." The Journal of Financial Research 2 (Spring, 1980), 49-56. Co-author: W. R. Lane.

"Comment: A Test of Stone's Two-Index Model of Returns." Journal of Financial and Quantitative Analysis 14 (September, 1979), 641-644.

Working Papers

Feel free to download when links are available.  Those that are not available for download are probably undergoing revision and will be available later.

"Brag, Brag, Brag:  Corporate Crowing and Shareholder Wealth" (with S. Ferris and P. Kothari)

"Dividends on Unearned Shares and Corporate Payout Policy:  An Analysis of Dividend Equivalent Rights."  (with Z. Jia)

"Conditional Probability and the Length of a Championship Series in Baseball, Basketball, and Hockey."

"The Cross-Section of Individual Equity Option Returns."  (with M. Shafaati and R. Brooks)

Research in Progress

These are projects currently in progress and which I hope will eventually be available in working paper format. I'll be glad to discuss any of these with you but please don't steal my ideas, because the risk is really yours.  They may be really lousy.

"The Illusion of Talent in Security Selection:  How Many Superstars Should We Expect? (with R. Kumar & T. Hanson)

"Is Option Value Increasing with Volatillity?  (with M. Shafaati and R. Brooks)

"Valuing Dividend Equivalents Using a Utility-Based Executive Stock Option Pricing Models in a Binomial Framework" (with Z. Jia)

"Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options."  (with M. Shafaati and R. Brooks)

Books and Monographs

Some of these items can be ordered. Feel free to do so since (or in spite of the fact that) I make a little money off of some of them. Links are provided to the publishers' home pages.

Foundations of the Pricing of Financial Derivatives:  A Primer for Graduate Students in Finance (completed e-book) in editing stage  With Robert Brooks.

Financial Risk Management:  An  End User Perspective.  Singapore:  World Scientific Publishing.  Forthcoming (2019)

The Assignment (fiction).  Seattle:  Amazon Kindle Direct Publishing (2019).

Essays in Derivatives:  Risk-Transfer Tools and Topics Made Easy.  New York:  John Wiley (2008), 414 pp. First edition published as Essays in Derivatives, New York:  John Wiley (1998), 323 pp.  From the first edition, Chapter 5, "A Brief History of Derivatives," reprinted in Financial Engineering News, January/February 2005, pp. 21-22; Chapter 19, "A Nontechnical Introduction to Brownian Motion," reprinted in Financial Engineering News, March/April 2005, pp. 21-22; Chapter 54, "No-Arbitrage Models of the Term Structure:  Ho-Lee and Heath-Jarrow-Morton," reprinted in Financial Engineering News, May/June 2005, pp. 21-22.

An Introduction to Derivatives and Risk Management, 10th edition, Mason, Ohio:  Cengage (2016), 583 pp., co-authored with Robert Brooks; 9th edition, Mason, Ohio:  Cengage (2013), 667 pp., co-authored with Robert Brooks; 8th ed., Mason, Ohio:  Cengage (2010), 652 pp., co-authored with Robert Brooks; 7th ed., Mason, Ohio:  Thomson South-Western (2007), 653 pp., co-authored with Robert Brooks;  6th ed. Mason, Ohio:  Thomson South-Western (2004), 675 pp.; 5th ed., Fort Worth:  Harcourt, Inc. (2001), 822 pp.; 4th ed. (1998), 784 pp.; 3rd. ed., (1995), 625 pp.; Previously published as An Introduction to Options and Futures, Hinsdale, Illinois: The Dryden Press (1989), 560 pp., and 2nd. edition (1992), 605 pp.; Solutions Manual:  An Introduction to Derivatives and Risk Management, 8th ed., Mason, Ohio:  Cengage (2010), 235 pp., co-authored with Robert Brooks; Test Bank:  An Introduction to Derivatives and Risk Management, 8th ed., Mason, Ohio:  Cengage (2010), 126 pp., co-authored with Robert Brooks; Solutions Review Manual:  An Introduction to Derivatives and Risk Management, 7th ed. Mason, Ohio:  Thomson South-Western (2007), 126 pp., co-authored with Robert Brooks; Test Bank:  An Introduction to Derivatives and Risk Management, 7th ed. Mason, Ohio:  Thomson South-Western (2007), 94 pp., co-authored with Robert Brooks; Instructor's Manual:  An Introduction to Derivatives and Risk Management, 6th ed. Mason, Ohio:  Thomson South-Western (2004), 229 pp.; Instructor's Manual:  An Introduction to Derivatives and Risk Management, 5th ed. Fort Worth:  Harcourt, Inc. (2001), 242 pp.; Instructor's Manual: An Introduction to Derivatives, 4th ed. Fort Worth: The Dryden Press (1998), 210 pp.; 3rd ed. (1995), 208 pp.  Previously published as Instructor's Manual: An Introduction to Options and Futures, Hinsdale, Illinois: The Dryden Press (1989), 200 pp, and 2nd. edition (1992), 259 pp.

Analysis of Derivatives for the CFA Program.  Charlottesville, Virginia:  Association for Investment Management and Research (2003). 

Real Options and Investment Valuation.  Charlottesville:  Association for Investment Management and Research (2002), 114 pp. Co-author:  P. Peterson.  Reprinted in Valuation Techniques:  Discounted Cash Flow, Earnings Quality, Measures of Value Added, and Real Options.  CFA Institute.  New York:  John Wiley.  David T. Larrabee and Jason A. Voss, eds. (2013).

Expensing Executive Stock Options:  Sorting Out the Issues.  Special Report.  CFA Centre for Financial Market Integrity (2007).  Co-authored with R. T. McEnally.

Managed Futures and Their Role in Investment Portfolios. Charlottesville: Research Foundation of the Institute of Chartered Financial Analysts (1994), 78 pp. Monograph selected for distribution to all 23,000 AIMR members.  You can order this at AIMR publications.

Contributing author to Managing Investment Portfolios:  A Dynamic Process, J.  Maginn, D. L. Tuttle, J. E. Pinto, and D. W. McLeavey, 3rd. ed., John Wiley (2007).  Co-authored Chapter 9 (Risk Management) with K. Grant and J. R. Marsland.

Contributing author to Investment Analysis and Portfolio Management, 4th edition, F. Reilly, Fort Worth: The Dryden Press (1994). Wrote Chapter 9 (An Introduction to Derivative Markets and Securities), Chapter 20 (Stock Options), Chapter 21 (Warrants and Convertible Securities), Chapter 22 (Futures), Chapter 23 (Advanced Topics on Options and Futures).

"The Effect of Margins on the Volatility of Stock and Derivative Markets: A Review of the Evidence." Salomon Brothers Center for the Study of Financial Institutions, New York University, Monograph Series in Finance and Economics (No. 1990-2). Reprinted in Intermarket Coordination Report to Congress Required by the Market Reform Act of 1990, Commodity Futures Trading Commission, May 31, 1991.

Advances in Futures and Options Research, Vol. 6 (1993). Co-edited (with R. R. Trippi), collection of 22 research papers, 422 pp.

Advances in Futures and Options Research, Vol. 7 (1994). Co-edited (with R. R. Trippi), collection of 17 research papers, 335 pp.

Other Writings

"Derivative Markets and Instruments," Level I CFA Examination Readings, forthcoming, 2013.

"Credit Default Swaps," (with Bryan Rose) Level II CFA Examination Readings, forthcoming, 2013.

"The Idiocy of Promotion-and-Tenure Letters," The Chronicle of Higher Education (online), November 14, 2012.

Regular columnist for "Teaching Notes" in Financial Engineering News.  This column title was subsequently changed to "Technical Notes."

"The Pricing and Interest Rate Sensitivity of Floating-Rate Securities."  September/October, 2006, pp. 17, 35-36.
"A Generalization of the Cost of Carry Forward/Futures Pricing Model.  Part Two."  May/June, 2006, pp. 23-24, 26.
"A Generalization of the Cost of Carry Forward/Futures Pricing Model.  Part One."  March/April, 2006, pp. 33-34.
"Risk Neutral Pricing of Derivatives," September/October, 2005, pp. 25-26.
"The Strange Relationship Between Academic and Practitioners in Derivatives and Risk Management," July/August, 2005, pp. 19, 22.
"No-Arbitrage Models of the Term Structure:  Ho-Lee and Heath-Jarrow-Morton."  May/June, 2005, pp. 21-22.
"A Nontechnical Introduction to Brownian Motion," March/April, 2005, pp. 21-22.
"The Volatility Smile," May/June, 2004, pp. 13, 16-17, 19.
"The Local Expectations Hypothesis," March/April, 2004, pp. 13, 17.
"Default Risk as an Option," January/February, 2004, pp. 15, 22.
"Concepts of Discrete and Continuous Time Models."  November/December, 2003, pp. 15-16, 22.
"Linear Homogeneity, Euler's Rule, the Black-Scholes Model, and an Application to Forward Start Options," September/October 2003, pp. 10-11.
"Convergence of the Black-Scholes to the Binomial Model." May/June 2003, pp. 8-9, 12.
"Option Prices and State Prices," March/April 2003, pp 8-10.

Articles Accepted for Publication in Which the Publisher Terminated the Project

OK, I know this looks weird.  If you're curious, go to the following link

"Forward Rate Agreements." Encyclopedia of Financial Engineering and Risk Management. London: Fitzroy Dearborn (Not forthcoming.  Check the link to read why.)

"Forward Start Options." Encyclopedia of Financial Engineering and Risk Management. London: Fitzroy Dearborn (Not forthcoming.  Check the link to read why.)


State of Wisconsin Investment Board. International Thomson Publishing CaseNet, 1998.

Second City Options (co-authored with Michael Hemler), 2009.  Published and available to adopters of An Introduction to Derivatives and Risk Management.  Instructors can receive a review copy.  Please contact me.

Honors, Awards, and Recognitions

C. Stewart Shepard Award, CFA Institute, 2015

LSU Distinguished Faculty Award, 2014

CFA Institute Recognition 15 Year Certificate of Achievement, 2014.

CFA Institute Recognition for 10 Years of Participation in the CFA Continuing Education Program (Financial Analysts Journal, Volume 65, November/December, 2009), 12-13.

Risk Who's Who., 2008. (Site terminated but may be revived.)

Eric and Lea Sternberg Foundation Excellence in Teaching Award, E. J. Ourso College of Business, Louisiana State University, 2007-2008.

Aquila/University of Missouri at Kansas City Visiting Lecturer, 2002.

Distinguished Alumnus of the Year, University of Montevallo, 1999.

University Certificate of Teaching Excellence, 1999

Pamplin College of Business Teaching Excellence Award, Spring, 1995.

Outstanding Paper in Investments, Financial Management Association Meeting, 1990, for "Evidence on the Performance of Value Line Options: The Enigma Extended."

Award of Merit, 1989 International Technical Publications Competition of the Society for Technical Communication for An Introduction to Options and Futures, 1st edition.

Best of Show, 1988 Literature and Art Competition of the Chicago Chapter of the Society for Technical Communication for An Introduction to Options and Futures, 1st edition.

Conference Presentations and Public Speaking

Extensive experience in presentations and speeches at academic and practitioner conferences.  I am also a frequent speaker for the CFA Institute Society Speaker Series.  Contact me for details.


Contact me for rates and terms. References available.

Expert witness and miscellaneous consulting work in the following areas:  derivatives, options, futures, swaps, market timing, valuation of lost earnings, general finance, valuation of options and other derivatives, executive stock options, employee stock option valuation, collars, prepaid forwards, indexing, exchange-traded funds (ETFs).  Considerable experience in defending derivatives dealers.

Executive, Professional Development and Training Programs, Courses, and Miscellanea

Please contact me for for cost estimates for executive and professional programs. Here are ones I have previously done. References available.

Goldman Sachs.  Credit Markets 101 and 102.  2007

World Bank and PRMIA, FRM exam preparation.  2006

EATEL, Training program in interest rate risk management.  2004

Association for Investment Management and Research, "Valuing Executive Stock Options," webcast presentation with CD-ROM.  Consultant to overall project entitled "Derivatives Analysis:  Executive Stock Options and Short Sales Alternatives." 2004

Association Luxembourgeoise des Gestionnaires de Portefeuilles et Analystes Financiers (Luxembourg Association of Portfolio Managers and Financial Analysts), 1999-.  Futures, Options, Swaps and Other Financial Instruments. Luxembourg.

Frank J. Fabozzi Associates, 1999, 2000, 2001.  Swaps:  Applications and Pricing.  Washington, D.C., New York, New York.

Thomson Financial Corporation, 2000.  Swaps:  Applications and Pricing.  Boston

Frank J. Fabozzi Associates, 1998. Introduction to Swaps, New York.

ICM Conferences, 1998. Equity Derivatives I, New York, New York.

German Society of Financial Analysts, 1998-1999. CFA review course in derivatives, Vienna, Austria.

Association for Investment Management and Research, 1997. Presentation of "Using Derivatives in Fixed-Income Portfolios", Chicago. Published in Derivatives in Portfolio Management, ICFA Continuing Education Proceedings, 1998, no. 3, pp. 28-37.

Association for Investment Management and Research, 1995. Organizer of "Basics of Derivatives" workshop; presentation of "Introduction to Derivative Markets and Instruments" and "Basic Principles of Option Valuation," Chicago.

Association for Investment Management and Research, 1995. Presentation of "Derivative Strategies and Their Widespread Applications," Orlando.

Association for Investment Management and Research, 1994. CFA Refresher course taught in Charlottesville and Los Angeles. Instruction in applications of derivative contracts in portfolio management.

Financial Analysts Review of the United States, 1989-2000. CFA review course taught in Raleigh, Salt Lake City, Denver, Albuquerque, Bangkok, Thailand and Zurich and Basel, Switzerland (for Union Bank of Switzerland). Instruction in fixed-income securities, derivative securities and quantitative techniques.

Potomac Foundation, Falls Church, Virginia, 1991. Lectures on basic investment principles, portfolio performance evaluation and efficient market theory.

"Contemporary Investment Opportunities." Virginia Tech Reynolds Homestead Continuing Education Center, Critz, Virginia, 1989.

"Managing Interest Rate Risk with Financial Futures." Virginia Tech Continuing Education Program, Roanoke and Williamsburg, Virginia, 1984.

Professional Service

CFA Institute Speaker Retainer Program, 2009-.

University of Oklahoma Finance Division External Reviewer, 2009.

Academic Advisory Council:  Publications Subcommittee, PRMIA (Professional Risk Managers International Association), 2009-2010; Publications Subcommittee, 2010-2012.

Academic Advisory Board, Index Business Association, 2007-2008.

Steering Committee, Charlotte Chapter, PRMIA (Professional Risk Managers International Association), 2002.

Georgia State University, Department of Finance External Review Committee 2002 (chair), 2011.

New York Mercantile Exchange Institutional Money Management Advisory Committee, 1996-1998.

Associate Editor/Editorial Advisory Board, The Journal of Alternative Investments, 1998-2002, 2005-; The Journal of Undergraduate Research in Finance, 2010- ; International Review of Applied Financial Economics and Issues, 2011-; The Journal of Derivatives, 1993-; The Journal of Futures Markets, 1991-1994; The Financial Review, 1998-; Journal of Derivatives Accounting, 2004-2006; The Journal of Financial Engineering, 1991-1999; Review of Futures Markets, 1986-1994; Advisory Board, Chicago Board of Trade Research Seminar Series 1994-; Editorial Advisory Board, Journal of Applied Business Research, 1990-.

Referee for Journal of Business, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Financial Research, Review of Derivatives Research, Management Science, Journal of Corporate Finance, Journal of Financial Education, Journal of Derivatives, Financial Analysts Journal, Financial Review, The Engineering Economist, Journal of Financial Engineering, Journal of Economics and Business, Journal of Futures Markets, Review of Futures Markets, Financial Management, Pacific-Basin Finance Journal, Journal of Business Research, Journal of Applied Business Research, Journal of Portfolio Management, Finnish Journal of Business Economics, Quarterly Journal of Business and Economics, Journal of Financial Services Research, Journal of Applied Business Research, Advances in Pacific Basin Business, Economics and Finance, Journal of Risk and Insurance, Quantitative Finance, International Journal of Sport Management and Marketing, Chance

Grant reviewer, Social Sciences and Humanities Research Council, Canada, 1996; West Virginia University, 1997.

Financial Management Association; Southeast Regional Director, Board of Directors, 1993-1995. Nominating committee, 1994-1995; Ad Hoc Committee to Study the Investment Strategy of the FMA, 1985-1986; Program Committee, 1986, 1989; Competitive Paper Judge, 1989, 1990, 1993.

Southern Finance Association, Program Committee, 1990.

Eastern Finance Association, Program Committee, 2009; Competitive Paper Judge, 1991.

European Finance Association, Program Committee, 2005.

Super Bowl of Indexing, William F. Sharpe Indexing Achievement Awards Judge, 2005-2009.


Most of these items are media-related and include where I have been cited or quoted in the financial and popular press.

Note:  This section is dedicated to my late friend, Kathleen Wilson, who was formerly director of public information for the Pamplin College of Business at Virginia Tech.  Kathy taught me the importance of working with the media, and from her I learned many skills that have resulted in these opportunities to get my name in print.  If I have ever said anything worthwhile in these items, it is due to her.

Former publisher of a semi-monthly derivatives essay on the Internet (now published as Essays in Derivatives, above)

Newspaper and other periodicals opinion/editorial articles (things I have written)

"Without Flood Insurance, the Risk is All Yours."  The Advocate, September 1, 2016.

"Warren Buffett Can Stop Taking Federal Tax Deductions."  Washington Examiner, October 11, 2011.

"Even the Mere Threat of Drilling will Bring Down the Price of Oil."  Investors Business Daily, August 25, 2008.

"Research and Teaching Go Hand in Hand," The Roanoke Times and World-News, June 8, 2003, p. Horizon 3.

"Lessons from the Corporate Confidence Crisis," The Virginian Pilot, August 20, 2002.

"No Need to Question, Industry Already Open," Pensions and Investments, September 18, 1995, p. 14.

"A Big Word to Describe a Contract," Roanoke Times and World News, February 12, 1995.

"A Free Market Look at the Baseball Strike," Roanoke Times and World News, February 5, 1995.

"Preliminary Study Indicates Optimal Number of Advisors May be 40+," Managed Account Reports, July, 1994, p. 13 (with R. Billingsley).

"The Flip Side of the Deficit Dollar," Roanoke Times and World News, August 29, 1993.

"Should Government Subsidize the Arts?" Roanoke Times and World News, December 22, 1991.

"Some Straight Talk About VRS and Futures," Roanoke Times and World News., July 10, 1991; Ledger-Star, July 11, 1991; Virginian Pilot, July 11, 1991; The Fauquier Democrat, July 11, 1991; York Town Crier, July 17, 1991.


WBRZ Television, September 25, 2008.
WSLS Television, March 22, 2003.
WFNR Radio, March 20, 2003.
"At Issue," WBRA Public Television, November 24, 2002.
WPSK/WFNR Radio, September 9-13, 2002.
"At Issue," WBRA Public Television, July 28, 2002.
Metro Radio Networks, June 29, 2002.
"The Money Club," CNBC, September 18, 1997.
"Standpoint," WSET Television, Lynchburg, Virginia, November 29, 1987.
"Twin County Business Beat," WBOB Radio, Galax, Virginia, October 28, 1987.
WVTF Public Radio, May 28, 1991.

Miscellaneous Commentaries, Interviews, Presentations, Speeches and References (this is where I have been quoted)

WalletHub, October 16, 2019
Sputnik International
August 12, 2019
Sputnik International, August 7, 2019, November 15, 2018
March 13, 2018
February 1, 2018, November 20, 2017
The Financial News
, Seoul (August 25, 2016)
The Financial News, Seoul (June 6, 2016)
CFA Magazine (July-August, 2015)
(January 7, 2015)
FinancialObserver, Australia (November 17, 2014)
The Daily Telegraph, Australia (November 11, 2014)
NT News, Northern Territory, Australia (November 11, 2014)
The Australian (November 11, 2014)
The Herald Sun, Australia (November 11, 2014), Australia (November 11, 2014)
The West Australian, Australia (November 11, 2014)
InvestorDaily, Australia (November 10, 2014)
FinancialObserver, Australia (November 7, 2014), August 31, 2011

Northern Trust Wealth:  Financial Lifestyle Perspective from Northern Trust
, Winter, 2011.
, June 28, 2010.
, June 24, 2010
SNL Kagan Media & Communications Report, May 25, 2010
Financial Post
, April 10, 2010
EFinancialCareers, March 11, 2010
New York Times
, March 11, 2010
Los Angeles Times, March 11, 2010
United Press International, March 11, 2010
The Advocate, February 20, 2010
Financial News (Seoul, South Korea), August 29, 2008
Greater Baton Rouge Business Report, August 26-September 8, 2008
Greater Baton Rouge Business Report
, June 19-July 2, 2007
The Advocate
, June 16, 2007.
Accredited Investor
,, May 24, 2007
ChicagoBusiness, December 14, 2006
, December 4, 2006.
Greater Baton Rouge Business Report
, November 21-December 4, 2006.
The 2006 Indexing Almanac & Directory, December 2006.
Bloomberg News
.  October 17, 2006.
Greater Baton Rouge Business Report
, September 26-October 9, 2006.
Bloomberg News.
  July 31, 2006.
The Daily Reveille
, January 30, 2006.
, November 2005.
Bloomberg News
.  August 30, 2005.
, October 11, 2004.
Financial News
(Seoul, South Korea), August 24-25, 2004.
, May 31, 2004.
Financial Engineering News
, March/April 2004.
CFA Magazine
, March/April, 2004.
The Greater Baton Rouge Business Report
, January 22, 2004.
Clearing Quarterly & Directory
, Fall, 2003.
Roanoke Times
, May 25, 2003.
Treasury and Risk Management Express, November 4, 2002
Kiplinger's Personal Finance, November, 2002.
The Virginian Pilot, September 1, 2002.
Fredericksburg Free Lance-Star, August 8, 2002.
The Daily Record, February 22, 2002.
CBS Radio, February 7, 2002., February 7, 2002., September 18, 2001.
Best's Insurance News, May 25, 2001.
Scrap Magazine, March/April, 2001.
San Francisco Chronicle, February 23, 2001., February 2, 2001.
Pensions and Investments, November 13, 2000.
CBS, September 18, 2000., March 16, 2000., March 10, 2000., February 14, 2000.
Virginia Tech Arts & Sciences, Fall, 1999.
Bloomberg News Wire, September 1, 2, 1999., July 7, 1999., June 8, 1999.
Montreal Gazette, April 3, 1999.
Virginian Pilot, March 17, 1999., February 3, 1999., January 20, 1999.
SmartMoney Interactice, October 5, 1998.
CBS, July 16, 1998.
New York Times, July 15, 1998.
Richmond Times-Dispatch, June 29, 1998.
Bloomberg News Wire, March 11, 1998.
Andrews Derivatives Litigation Reporter, February 5, 1998.
Dow Jones News Wire, December 11, 1997.
ABCNews Online, October 14, 1997.
Virginia Business, October, 1997.
Institutional Investor, June, 1997.
Barron's, May 26, 1997.
Asia Times, April 17, 1997.
Roanoke Times and World News, November 29, 1996.
Virginian Pilot and Ledger-Star, November 28, 1996.
Roanoke Times and World News, September 1, 1996.
Virginian Pilot and Ledger-Star, August 22, 1996.
Knight-Ridder Financial News Wire, June 3, 1996 .
Roanoke Times and World News, May 3, 1996.
Derivatives Strategies, December/January, 1996.
St. Louis Post-Dispatch, December 17, 1995.
Virginian Pilot and Ledger-Star, November 9, 1995; February 24, 1995; February 28, 1995.
Roanoke Times and World News, November 10, 1995; February 12, 1995; January 6, 1995.
Futures Industry, August/September, 1995.
Bloomberg News Wire, June 14, 1995.
Knight-Ridder Financial News Wire, April 25, 1995.
Dow Jones Capital Markets Wire, February 17, 1995.
Richmond Times-Dispatch, Richmond, Virginia, June 20, 1994.
The Daily Progress, Charlottesville, Virginia, November 26, 1991.
News Messenger, Blacksburg, Virginia, January 13, 1991.
Kingsport Times-News, Kingsport, Virginia, December 11, 1988.
Collegiate Times, Blacksburg, Virginia, November 3, 1987.
Business Weekly, Hampton Roads, Virginia, October 26, 1987.
Daily News Record, Harrisonburg, Virginia, October 20, 1987.

Citations in the Media and other publications (This is where people have said good things about me and my research; I'm not telling you where they have said bad things, not that they have.)

The Financial News, Seoul, June 7, 2016
Baton Rouge Business Report, May 21, 2015
Hot Hands:  The Statistics Behind Sports' Greatest Streaks
(A. Reifman, Potomac Books), p. 55.
56:  Joe DiMaggio and the Last Magic Number in Sports
, (K. Kennedy, Sports Illustrated Books), p. 339-340.
, November 24, 2009
The Wall Street Journal
, November 21, 2009, p. C1.
, May 2002, p. 36.
Dow Jones Asset Management, May/June, 1997, p. 52
Minerva, May, 1997, p. 2 USA Today , April 29, 1997, p. 12A
Managed Account Reports, February, 1997, p. 6.
Pensions & Investments, January 6, 1997, p. 29
Derivatives Strategy, August, 1996, p. 1.
Derivatives Strategy, March, 1996, p. 40.
Futures Industry, October/November, 1995, p. 72.
Pensions & Investments, June 12, 1995, p. 34.
Futures 1995 Guide to Computerized Trading, p. 7
Futures, June, 1995, p. 52
Pensions & Investments, September 19, 1994, p. 55.
Pensions & Investments, August 22, 1994, p. 9.
Yedioth Ahronoth (Israel), April 15, 1994; reply, May 25, 1994.
Financial Times Business Reports, July 1, 1992, p. 16.
Barron's, August 14, 1989, p. 58.
The Wall Street Journal, January 17, 1989, p. C1.
Forbes, October 3, 1988, p. 150.
Wiesenberger's Mutual Funds Investment Report, July, 1988, p. 6.
USA Today, January 5, 1988, p. 3B.
Regulation, 1987, No. 3/4, p. 5.

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Last updated:   October 16, 2019