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Robert E. Whaley

From Wikipedia, the free encyclopedia

Robert E. Whaley is an American financial economist and academic whose research focuses on derivative securities[1], financial market volatility[2], and options markets.[3] He is the Valere Blair Potter Professor of Finance Emeritus and Professor Emeritus of Management at Vanderbilt University's Owen Graduate School of Management.[4] Whaley developed the Chicago Board Options Exchange (CBOE) Market Volatility Index (VIX) in 1993, the Nasdaq Market Volatility Index (VXN) in 2000, and the BuyWrite Monthly Index (BXM) in 2001.[5][6]

Education

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He graduated with a Bachelor of Commerce degree from the University of Alberta in 1975, and an MBA (1976) and PhD (1978) from the University of Toronto.[7] He previously taught at Duke University, the University of Chicago, and the University of Alberta.[8]

References

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  1. ↑ Stoll, Hans R.; Whaley, Robert E. (1990). "The Dynamics of Stock Index and Stock Index Futures Returns". The Journal of Financial and Quantitative Analysis. 25 (4): 441. doi:10.2307/2331010.
  2. ↑ "Where Volatility Goes to Die". Barron's. Retrieved 21 December 2018.
  3. ↑ Kuttler, Jeffrey. "'Father of the Fear Index' Wins Financial Engineering Honor". www.garp.org. Retrieved 2026-10-28.
  4. ↑ Brown, Dudley. "Vanderbilt University honors emeritus and emerita faculty at 2025 Commencement". Vanderbilt University. Retrieved 2026-10-28.
  5. ↑ Rapier, Graham. "The creator of Wall Street's 'fear gauge' says people don't understand it as well as they should". Business Insider. Retrieved 21 December 2018.
  6. ↑ Pisani, Bob (2020-03-29). "Father of Wall Street's 'fear gauge' sees wild volatility continuing until coronavirus cases peak". CNBC. Retrieved 2026-10-28.
  7. ↑ "Robert E. Whaley". Vanderbilt University. Retrieved 21 December 2018.
  8. ↑ Whaley, Robert E. (2 January 2012). Derivatives: Markets, Valuation, and Risk Management. Wiley. p. 960. ISBN 978-0471786320. Retrieved 14 January 2026.
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