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I am an Assistant Professor of Finance at the Strome College of Business at Old Dominion University. I was formerly on the finance faculty at the Smith School of Business at the University of Maryland. I am interested in international finance, macro-finance, asset pricing, risk and risk premia, derivatives, currency markets and the measurement of portfolio performance.

My email address (in anti-spam format) is: acrosby xx odu yyy edu or johnc2205 xx yahoo yyy com where there are no spaces and where xx = “at” and yyy = “dot”.

Background:

John gained a first class honours degree (BA and MA) in Mathematics at Girton College, Cambridge University before going on to study Electrical Engineering (MSc) at University College, Oxford University and gaining a PhD in finance at Imperial College London. He previously worked at several investment banks (Barclays Capital, Lloyds, UBS) researching models for options and other derivatives, before first joining the faculty at the Robert H. Smith School of Business of the University of Maryland and then later joining the Strome College of Business at Old Dominion University, Norfolk, VA.

Publications in Finance / Financial Economics:

“Implications of Incomplete Markets for International Economies” Implications of Incomplete Markets for International Economies.
Published in the REVIEW OF FINANCIAL STUDIES (2018) Vol. 31, No. 8, p4017-4062.
This is joint work with Gurdip Bakshi (Fox School of Business, Temple University) and Mario Cerrato (Glasgow University Adam Smith Business School).
This paper was previously circulated under the title "Risk sharing in international economies and market incompleteness" and was presented at the AMERICAN FINANCE ASSOCIATION meeting in San Francisco, USA, January 2016 under this title.

“Dark Matter in (Volatility and) Equity Option Index Premiums” Dark Matter in (Volatility and) Equity Option Index Premiums.
Published in OPERATIONS RESEARCH (2022) Vol. 70, No. 6, p3108-3124.
This is joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University). Was presented at the MID-WEST FINANCE ASSOCIATION meeting, at the Eastern Finance Association meeting and at the Econometrics Society meeting (Melbourne, Australia) in 2021.

“Treasury Option Returns and Models with Unspanned Risks” Treasury Option Returns and Models with Unspanned Risks.
Accepted for publication and forthcoming at the JOURNAL OF FINANCIAL ECONOMICS (2023).
This is joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University) and with Jorge Hansen (Department of Economics and Business Economics, Aarhus University). This paper uses bond options data in a novel fashion and links term structure models to macro-finance models. We introduce the concept of a "LOCAL TIME RISK PREMIUM", which is related to but distinct from variance risk premium, and we introduce a new class of models which captures several new dimensions of data on the yield curve and on Treasury bond options that previous models were unable to capture. Was presented at the Mid-West Finance Association meeting in Chicago in March 2019. Was presented at the AMERICAN FINANCE ASSOCIATION meeting in San Diego in January 2020.

“Jumps in commodity prices: New approaches for pricing plain vanilla options” Jumps in commodity prices: New approaches for pricing plain vanilla options.
Published in ENERGY ECONOMICS (2022) Vol 114 (October 2022), 106302. Joint work with Carme Frau at UIB.

Working papers:

“Blowups, Ambiguity Aversion, and Performance Measurement” Blowups, Ambiguity Aversion, and Performance Measurement” (2023). Submitted. Joint with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University). This paper introduces a new framework for modelling homothetic ambiguity averse preferences.

“Factor Glut in Asset Pricing through a Modern Optimization Lens” Factor Glut in Asset Pricing through a Modern Optimization Lens” (2023). Joint work with Tim Christensen (New York University (NYU) - Department of Economics, and UCL) and with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University).
Was presented as a KEYNOTE speech at the SOFIE meeting conference in Seoul, South Korea in 2023. Will be presented at the INFORMS conference 2023 (Phoenix, Arizona).
This new paper shows how factor models in asset pricing can OPTIMALLY be estimated. We addresses questions regarding the dimensionality of the stochastic discount factor (SDF) and the selection of the best factors that enter it. We empirically illustrate how our approach eliminates worthless factors. Further, we rigorously justify our approach with formal statistical guarantees. Our new methodology provides a way to navigate the "factor zoo" (or "glut of factors") and answer questions such as: Is the Fama-French five factor model the BEST five factor model that can be constructed from the hundreds of factors that have been proposed in the finance literature and, if not, what is? Our new methodology identifies the best five factors as (i) market (MKT), (ii) conservative minus aggressive (CMA), (iii) betting against beta (BAB), (iv) long-term reversal (LTRev), and (v) leverage (LEV). We also identify the best six factor model, the best seven factor model, ..... etc, ....., and the best ten factor model. Our methodology has a clear economic interpretation and offers a number of benefits and innovations relative to, for example, using the Hansen-Jagannathan distance.

“An Impossibility Theorem for the Stationarity of Exchange Rates” An Impossibility Theorem for the Stationarity of Exchange Rates (2023). Submitted. Joint with Gurdip Bakshi (Fox School of Business, Temple University). Was presented at the SOFIE meeting in Switzerland in 2018, at the EUROPEAN FINANCE ASSOCIATION meeting in 2019, at the Paris December Finance meeting in December 2019 and at the India Finance Conference in December 2019.

“The geography of exchange rate disconnect” (2022) Joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University). Presented at the Northern Finance Association conference.

“The expected excess return of the market” The expected excess return of the market (2022). Joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University) and Wei Zhou (Smith School of Business at the University of Maryland). Was presented at the Stern School of Business, New York University in November 2019, at the Paris December Finance meeting, at the India Finance Conference in December 2019 and at the MID-WEST FINANCE ASSOCIATION meeting in Chicago in 2020.

“Fund performance measurement respecting an industry benchmark” Fund performance measurement respecting an industry benchmark” (2021). This is joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University). Presented at the EUROPEAN FINANCE ASSOCIATION meeting 2018.

“Volatility uncertainty and VIX Futures Contango” Volatility uncertainty and VIX Futures Contango (2022). Joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University) and Jinming Xue (Cox School of Business at Southern Methodist University, Texas).

Other publications:

“The Joint Credit Risk of UK Global-Systemically Important Banks” (2017). This is joint work with Mario Cerrato, Minjoo Kim and Yang Zhao (Glasgow University Adam Smith Business School). Journal of Futures Markets 2017 Vol. 37, Issue 10, p964-988.

“Relation between higher order co-moments and dependence structure of equity portfolios” Journal of Empirical Finance 2017 Vol. 40 No. 1 p101-120. This is joint work with Mario Cerrato, Minjoo Kim and Yang Zhao (Glasgow University Adam Smith Business School).

Exact Pricing of Discretely-Sampled Variance Derivatives (2013). Journal of Business Management and Applied Economics. This is a slightly shortened version of Variance derivatives: Pricing and convergence (see below).

“Optimal hedging of variance derivatives” Optimal hedging of variance derivatives; The European Journal of Finance 2014 Vol. 20 No. 2 p150-180. A link to the published version can be found here: http://www.tandfonline.com/toc/rejf20/20/2

“Approximating Levy processes with a view to option pricing” INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE Feb 2010 Vol. 13 No. 1 p63-91. A link to the published version can be found here: www.worldscinet.com/ijtaf/13/1301/S02190249101301.html. This is joint work with Nolwenn Le Saux and Aleksander Mijatovic of Imperial College, London. There is also a “spreadsheet” which contains in tabular format some of the results contained in sections 4 and 5 of the last paper. This is joint work with Nolwenn Le Saux and Aleksander Mijatovic.

“A class of Levy process models with almost exact calibration to both barrier and vanilla fx options” QUANTITATIVE FINANCE 2010 Vol. 10 No. 10 p1115-1136. Quantitative Finance is available online at informaworldTM; A link to the published version can be found here: http://www.informaworld.com/smpp/title~db=all~content=g928681098~tab=toc This is joint work with Peter Carr of New York University.

There is also an on-line supplement to the last paper which contains some addition information about the implementation of the model.“An on-line supplement to "A class of Levy process models with almost exact calibration to both barrier and vanilla fx options"” This is joint work with Alan Ambrose and Peter Carr.

“Convexity adjustments in inflation-linked derivatives” published in Risk magazine September 2008 p124-129. Was also reprinted in Asia Risk magazine in Nov 2008. This is joint work with Dorje Brody and Hongyun Li of Imperial College, London. The preprint version of this paper, which contains more explicit formulae for zero-coupon inflation swaps with delayed payment and period-on-period inflation swaps with delayed payments, can be found “here”.

“Valuing inflation futures contracts” published in Risk magazine March 2007 p88-90.

“Pricing a class of exotic commodity options in a multi-factor jump-diffusion model” QUANTITATIVE FINANCE August 2008 Vol. 8 No. 5 p471-483. Quantitative Finance is available online at informaworldTM; A link to the published version can be found here: www.informaworld.com/smpp/title~content=g901732526~db=all

“Commodity options optimised” published in Risk magazine May 2006 p72-77. Was also reprinted in Energy Risk magazine in May 2007.

“A multi-factor jump-diffusion model for commodities” published in QUANTITATIVE FINANCE March 2008 Vol. 8 No. 2 p181-200. Quantitative Finance is available online at informaworldTM; A link to the published version can be found here: www.informaworld.com/smpp/title~content=g790757349~db=all

Conference presentations:

I have been an invited speaker at a number of seminars and conferences. A list of recent (and soon-to-be-given) talks can be found “here”.