Robert E. Whaley, the Valere Blair Potter Professor of Finance and director of the Financial Markets Research Center at Vanderbilt University, is the IAQF/Northfield Financial Engineer of the Year (FEOY) for 2024, the International Association for Quantitative Finance has announced.
A widely published and acclaimed expert in such areas as market microstructure, volatility, and derivatives valuation and risk management, Whaley joins the long line of quantitative finance luminaries – including Nobel laureates Robert Engle of New York University and Robert Merton of Massachusetts Institute of Technology – selected as FEOY.
The IAQF, then the International Association of Financial Engineers, established the award in 1993, with Merton as the first recipient. That same year, Whaley developed the Cboe Volatility Index (VIX), earning him the nickname “father of the fear index.”
Professor Robert Whaley
He was also responsible for the Nasdaq Market Volatility Index (VXN) in 2000 and the BuyWrite Monthly Index (BXM) in 2001, and co-developed the Nasdaq OMX Alpha Indexes, launched in 2010.
The choice “could not be more fitting,” said Dan diBartolomeo, president of Northfield Information Services, the award sponsor. “His extraordinary contributions to our understanding of diverse areas such as derivative pricing and market microstructure are the foundations of practice in these areas of finance. By virtue of this FEOY award, Professor Whaley joins the cohort of prior winners whose contributions have made modern financial markets possible.”
“I am honored,” Whaley stated. “Past recipients have made seminal contributions to the practice of finance. To be included in their number is a remarkable achievement.”
A committee of approximately 60 people from IAQF governing boards submits nominations for the FEOY. These are reviewed in a two-step process by a selection committee of 25 members who include IAQF board members and senior fellows.
Helyette Geman of Johns Hopkins University and Birkbeck, University of London, IAQF senior fellow and 2022 FEOY, chaired the selection committee for 2024. The award will be presented to Whaley at a May 22 dinner in New York.
Designated a year ago as the 2023 winner was Leif Andersen of Bank of America; the selection committee was chaired by Dilip Madan of the University of Maryland, FEOY for 2021.
Whaley has occupied his chair at Vanderbilt’s Owen Graduate School of Management since 2006. He had been at Duke University’s Fuqua School of Business since 1986, the last seven years as T. Austin Finch Foundation Professor of Business Administration. He earned an undergraduate degree at the University of Alberta, and an MBA and PhD from the University of Toronto, all in the 1970s.
He appends the FEOY to a long list of prizes, among them the Richard and Hinda Rosenthal Foundation Award for innovation in finance research (1989), the Earl M. Combs Jr. Award for contributions to the futures industry (1993), a Chicago Board Options Exchange 40th Anniversary Award for contributions to listed options markets (2013), Joseph W. Sullivan Options Industry Achievement Award (2015) and William F. Sharpe Lifetime Achievement Award (2015).
Whaley also received the 2019 Southeastern Conference Faculty Achievement Award.
The Owen Graduate School professor has been a consultant for major investment houses, exchanges, governmental agencies, and accounting and law firms, while also contributing articles to the Wall Street Journal, New York Times and other news organizations.
He is credited with seven books including Derivatives: Markets, Valuation, and Risk Management (John Wiley & Sons, 2006).
Accolades for research papers include Graham and Dodd Scrolls for Excellence in Financial Writing from the Financial Analysts Journal in 1986 and 1987; the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in the Journal of Portfolio Management during the volume year 1999-2000 and again for 2008-2009; the E. Yetton Award for Best Paper in Australian Journal of Management, 1997; the CBOT Award for Best Paper on Futures at the Western Finance Association meetings in 1993; and the Canadian Securities Institute Award for Best Paper in Investments at the Northern Finance Association meetings in 1989.