Robert Brooks

Specialty Areas:

Financial Engineering.

Education:

Florida State University (B.S.), University of Florida (Ph.D.).

Honors, Achievements and Affiliations:

Dr. Brooks has authored more than 45 articles which have appeared in journals such as Journal of Financial and Quantitative Analysis, Financial Analysts Journal, Journal of Banking and Finance, Derivatives Quarterly, Journal of Derivatives, Journal of Futures Markets, Advances in Futures and Options Research, and Journal of Financial Engineering. He has also authored the book Building Financial Derivatives Applications with C++ (ranked #5 on Amazon.com's "Derivative Securities" best selling list). A Chartered Financial Analyst, he is an active member of the Association of Investment Management and Research, Academy of Financial Services, the International Association of Financial Engineering and the Financial Management Association. He also consults with investment banking firms, auditing firms, corporations and others regarding derivative valuation, software development and derivatives litigation.

Publications

• An Introduction to Derivatives and Risk Management. 7th edition. (With D. Chance.) Fort Worth, Texas. Thomson South-Western. 2007.

• Real-time Assessment of Value-at Risk and Volatility Accuracy." Nonlinear Analysis: Real World Application. (Series B) (With joe Sullivan and Zachary Stoumbos.) August 2005.

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• "An Analysis of Single-Stock Futures Trading in the U.S." Financial Services Review. (With Travis Jones.) December 2004.

• "Surplus Optimization Approach to Managing Municipal Debt." Public Finance Review. October 2004.

• "History of the Forecasters: An Assessment of the Semi-Annual U.S. Treasury Bond Yield Forecast Survey as reported in The Wall Street Journal." Journal of Portfolio Management. (With Brian Gray.) Fall 2004.

• "The Cost of Tax Policiy Uncertainty: Evidence From the Municipal Swap Market." Journal of Fixed Income. Fall 2002.

• Building Financial Derivatives Applications with C++. Quorum Books, Westport, CT. 2000.

• "London Inter-bank Offer Rate (LIBOR) versus Treasury Rate: Evidence from the Parsimonious Term Structure Model." Journal of Fixed Income. June 1999.

• "Municipal Bonds: A Contingent Claims Perspective." Financial Services Review. Spring 1999.

• "Optimal Currency Composition of External Debt Via Surplus Optimization: Case for Less Developed Countries." Emerging Markets Quarterly. (With Pradeep Kumar.) Winter 1998.

• "A Life-Cycle View of the Electricity Market." Journal of Energy, Finance, and Development. (With A. El-Keib.) Spring 1998.

• "Approaches to Valuation Illustrated with Interest Rate Swaps." Derivatives Quarterly. Spring 1998.

• "A Lattice Approach to Interest Rate Spread Options." Journal of Financial Engineering. September 1995.

• "Are Jumps in Stock Returns Diversifiable: Evidence and Implications for Option Pricing." Journal of Financial and Quantitative Analysis. (With M. J. Kim and Y. H. Oh.) December 1994.

• Interest Rate Risk management: A Banker's Guide for Using Futures, Options, and Other Securities. (With B. Gup.) Chicago: Probus Publishing Company. 1993

• "A Note on the Variance of Spot Interest Rates." Journal of Banking and Finance. (With M. Livingston.) March 1990.