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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.
Published in JOURNAL OF FINANCIAL ECONOMICS (2023) Vol. 150, No. 3,.

” 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.


Do investors gain by selling the tails of return distributions?” Do investors gain by selling the tails of return distributions?
Accepted and forthcoming in MATHEMATICAL FINANCE (2025). 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. Previous versions of the paper were circulated under the titles: Blowups, Ambiguity Aversion, and Performance Measurement; and; Fund performance measurement respecting an industry benchmark.


The Options-Inferred Equity Premium and the slippery slope of the Negative Correlation Condition” The Options-Inferred Equity Premium and the slippery slope of the Negative Correlation Condition.
This was an invited article and is published in a special issue of Journal of Investment Management in honor of the 50th anniversary of the Black and Scholes option pricing model. Published in JOURNAL OF INVESTMENT MANAGEMENT (2024) Vol 22 (No. 2), p 1-25. Joint with Gurdip Bakshi (Fox School of Business, Temple University), Xiaohui Gao (Fox School of Business, Temple University), Jinming Xue (Cox School of Business at Southern Methodist University, Texas) and Wei Zhou (Freeman School of Business, Tulane University).
Abstract: The negative correlation condition (NCC) of Martin (2017) is that covPt(MT RT, RT) leq 0 for all MT, where MT is the SDF and RT is the gross market return. He employs this assumption to derive a lower bound of the equity premium. This paper exploits theoretical and empirical constructions to refute the hypothesis of the NCC. Using options on the S&P 500 index and STOXX 50 equity index, our tests favor rejection. Our empirical counterexamples of MT contradict the universality of the NCC, exhibit variance-dependence and incorporate an increasing region to the return upside.


Working papers:

Culling the Factor Zoo” (2025). Joint work with Tim Christensen (Yale University, Department of Economics), with Gurdip Bakshi (Fox School of Business, Temple University), and with 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. Was 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? We also identify the best six factor model, the best seven factor model, ..... etc. Our methodology has a clear economic interpretation and offers a number of benefits and innovations relative to, for example, using the Hansen-Jagannathan distance.



Safe Haven Status of the U.S. Dollar, Dollar Index Options, and Quantitative Implications for Dynamic Currency Models” (2025).

Revise-and-resubmit at the REVIEW OF FINANCIAL STUDIES. This is joint work with Gurdip Bakshi, Xiaohui Gao and Yuan Hu of Fox School of Business, Temple University.


An Impossibility Theorem for the Stationarity of Exchange Rates” An Impossibility Theorem for the Stationarity of Exchange Rates (2025). Revise-and-resubmit. Joint with Gurdip Bakshi (Fox School of Business, Temple University). This paper supercedes a paper circulated under the title: Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies, and presented at the European Finance Association conference and the Paris December Finance conference.


Be on Your Guard: 7DTE Options Markets and Safety Related Small Maturity Phenomena in Bond and Stock Markets” (2025) 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).


A Theory of Small Maturity Effects and Data Realities of 7DTE Treasury Options across Tenors” (2025) 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).


The geography of exchange rate disconnect” (2025) Joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University).


A New Formula for the Expected Excess Return of the Market” (2025) Joint work with Gurdip Bakshi and Xiaohui Gao (Fox School of Business, Temple University) and with Wei Zhou (Freeman School of Business, Tulane University). Summary: We propose an exact formula for the conditional expected excess return of the market. In our formula, each risk-neutral return central moment contributes to the expected excess return and is representable in terms of known option prices.


Volatility uncertainty and VIX Futures Contango” Volatility uncertainty and VIX Futures Contango (2025). 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 pricingINTERNATIONAL 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 optionsQUANTITATIVE 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 modelQUANTITATIVE 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”.