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Robert E. Whaley

Valere Blair Potter Professor of Management (Finance)
Director, Financial Markets Research Center


Subject Area(s): Finance

Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. He received his bachelors of commerce degree from the University of Alberta, and his masters of business administration and doctorate degrees from the University of Toronto. His past teaching positions include Duke University, the University of Chicago, and the University of Alberta.

Professor Whaley’s current research interests are in the areas of volatility products, high frequency trading and market volatility, market microstructure, and relative performance options. Much of his past work focused on investigations of the construction of stock indexes, the effects of program trading on stock prices, the stock splits on trading costs, the valuation of nonstandard derivatives contracts, the expiration day effects of index futures and options, and the valuation of option and futures option contracts and the efficiency of the markets in which they trade. His research has been published in the top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He has also published seven books including the recent Derivatives: Markets, Valuation, and Risk Management by John Wiley  & Sons, Inc.

Professor Whaley holds a number of editorial positions including Associate Editor of Journal of Futures Markets, Journal of Derivatives, Pacific-Basin Journal of Finance, and Advances in Futures and Options Research His past editorial positions included Review of Futures Markets, Journal of Finance, Journal of Financial Economics, Journal of Risk, Management Science, China Accounting and Finance Review,  and  Canadian Journal of Administrative Science. He also has served as a referee for more than fifty journals and granting agencies and is a former member of the Board of Directors of the Western Finance Association and the American Finance Association. He is currently a member of the International Advisory Board of the University Centre for Financial Engineering at the National University of Singapore.

Professor Whaley is an established expert in derivative contract valuation and risk management, and market operation. He has been a consultant for many major investment houses, security (futures, option and stock) exchanges, governmental agencies, and accounting and law firms. Whaley developed the CBOE Market Volatility Index (i.e., the “VIX”) for the Chicago Board Options Exchange in 1993, the NASDAQ Market Volatility Index (i.e., the “VXN”) in 2000, and the BuyWrite Monthly Index (i.e., the “BXM”) in 2001. He also co-developed the NASDAQ OMX Alpha Indexes.

During his career, Professor Whaley received a number of grants and award including the 1989 Richard and Hinda Rosenthal Foundation Award for innovation in finance research, the 1991 NCNB Faculty Award for contributions in research, teaching and service at the Fuqua School of Business, the 1993 Earl M. Combs, Jr. Award for contributions to the futures industry and a Chicago Board Options Exchange 40th Anniversary Award for contributions to listed options markets in 2013. Many of his research papers have received awards, including Graham and Dodd Scrolls for Excellence in Financial Writing from the Financial Analysts Journal  in 1986 and 1987, the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in  Journal of Portfolio Management  during the volume year 1999-2000, the E. Yetton Award for Best Paper in  Australian Journal of Management, 1997 for his work on program trading and futures option valuation, the CBOT Award for Best Paper on Futures at the Western Finance Association meetings in 1993 for his work on dual trading, the Canadian Securities Institute Award for Best Paper in Investments at the Northern Finance Association meetings in 1989 for his work on market volatility prediction, and an EOE Prize from the Institute for Quantitative Investment Research—Europe in 1995 for his work on deterministic volatility functions, and the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in  Journal of Portfolio Management  during the volume year 2008-2009.

Education:
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

Article(s):

Whaley, R.E. (2006) Derivatives: Markets, Valuation, and Risk Management. John Wiley & Sons, Inc.: Hoboken, NJ.
 Trading Volatility: At What Cost? Forthcoming in Journal of Portfolio Management.

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Fax: 615-376-8879
Office #: 308
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