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.

Selected Publications

• An Introduction to Derivatives and Risk Management, 8^th edition.  (With D. Chance.)  Fort Worth, Texas.  Thomson South-Western.  2010.

   

  “The Naked Truth:  Examining Prevailing Practices in Short-Sales and the Resultant Voter Disenfranchisement.” Journal of Trading. Summer 2008.

   

  “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.

   

  “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 Policy 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:  Evidences from the Parsimonious Term Structure Model.”  Journal of Fixed Income.  June 1999. 

   

              “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.