Current Issue
Volume 22, No. 3, Third Quarter 2024
Special Issue
The Future of Derivatives Research: Modeling Risk and Return Dynamics
The JOIM is honored to present this special issue, commemorating the 50th anniversary of the pioneering Black-Merton-Scholes option pricing model. This issue, the first of two dedicated to the 2023 CISDM conference at UMass Amherst, brings together profound insights and contributions from some of the most distinguished figures in the field of finance, including Nobel Laureates Robert Merton and Myron Scholes. The CISDM conference, spearheaded by Professor Sanjay Nawalkha, alongside CISDM Director Hossein Kazemi and Associate Director Mila Getmansky, celebrated not just a half-century of the Black-Scholes Merton model but also the transformative impact this framework has had on global finance.
Introduction
Douglas Breeden, John Hull and Sanjay Nawalkha
Retirement Security Bonds
Robert C. Merton
About Fischer Black
Emanuel Derman
ARTICLES
Equivalent Expectation Measures for Risk and Return Analysis of Contingent Claims
Sanjay K. Nawalkha and Xiaoyang Zhuo
Stock Market Insurance Prices, BL Skew, Conditional Marginal Utilities and the Equity Risk Premium
Douglas T. Breeden
The Options-Inferred Equity Premium and the Slippery Slope of the Negative Correlation Condition
Gurdip Bakshi, John Crosby, Xiaohui Gao, Jinming Xue and Wei Zhou
Forecasting the Distribution of Option Returns
Leandro Gomes, Roni Israelov and Bryan Kelly
BOOK REVIEW
Book Review – The Puzzle of Sustainable Investment: What Smart Investors Should Know
by Mark Kritzman (Reviewed by Yaoyun Zhang)
Upcoming JOIM events:
AI in Finance II
April 21 – 23, 2025 / Santa Clara University
This conference will focus on the latest developments in AI in finance. More generally, talks will also cover important issues currently under debate in the AI ecosystem that are relevant for investment management. Topics such as the role of closed and open AI, responsible AI, and the future of the workplace will be discussed.
Call for Papers
The JOIM is currently accepting manuscript submissions in the area of investment management and related fields for a special issue series. Data Science including Artificial Intelligence Analysis, Asset allocation, Machine Learning / FinTech, Optimization, Behavioral Finance, Retirement Investing and Liquidity are of particular interest.
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