Rotman School Professor Honoured with Harry M. Markowitz Award.
January 9, 2020
Toronto – For the second time, a professor at the University of Toronto’s Rotman School of Management has won an award for the best paper in the Journal of Investment Management.
John Hull, University Professor and the Maple Financial Group Chair in Derivatives and Risk Management, won the Harry M. Markowitz Award for the paper, Funding Long Shots, which was published last year.
Co-authored with Prof. Andrew Lo of MIT Sloan School of Management and Prof. Roger Stein of NYU Stern School of Business, the paper documents the difficulty in funding large projects which have a low probability of success but attempt to deal with society’s biggest challenges such as cancer, Alzheimer’s disease, global warming, and fossil-fuel depletion. It proposes a securitization structure to attract investors and analyzes the circumstances under which the structure is viable.
The award is presented annually to honour the work of Nobel Prize winner Harry Markowitz as a financial economist and mathematician on both theoretical finance and the practice of asset management. The award also supports future research and innovation in practical asset management.
Prof. Hull previously won the award in 2013 with his Rotman School colleague, Prof. Alan White, for their paper “LIBOR vs. OIS: The Derivative Discounting Dilemma.” Profs. Hull and White also received a Special Distinction award, which is the runner-up prize, for “An Improved Implied Copula Model and its Application to the Valuation of Bespoke Tranches” in 2010.
An internationally recognized authority on derivatives and risk management, Prof. Hull serves as Academic Director of Rotman FinHub: The Financial Innovation Lab, which carries out research and develops educational material in all aspects of financial innovation. His areas of research have included the impact of stochastic volatility on the pricing and hedging of options, the valuation of interest rate derivatives and credit derivatives, the calculation of value at risk, the evaluation of model risk, the regulation of financial institutions, and machine learning. He has written four books: “Risk Management and Financial Institutions” (now in its 5th edition); "Options, Futures, and Other Derivatives" (now in its 10th edition); "Fundamentals of Futures and Options Markets" (now in its 9th edition); and “Machine Learning in Business: An Introduction to the World of Data Science.” The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. He has acted as consultant to many North American, Japanese, and European companies. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye Award.
The Rotman School of Management is part of the University of Toronto, a global centre of research and teaching excellence at the heart of Canada’s commercial capital. Rotman is a catalyst for transformative learning, insights and public engagement, bringing together diverse views and initiatives around a defining purpose: to create value for business and society. For more information, visit www.rotman.utoronto.ca.
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