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Ehud I. Ronn

Ehud I. Ronn
eronn@mail.utexas.edu
CBA 6.270 (512-471-5853)

Biography

Ronn, Ehud I. Professor of Finance Ehud Ronn received his B.Sc. and M.Sc. from Technion, Israel Institute of Technology, and his Ph.D. from Stanford University. His research and teaching interests focus on the valuation of energy commodity-contingent securities.

Publications

Mathias Gerner and Ehud I. Ronn. 2013. Fine-Tuning a Corporate Hedging Portfolio: The Case of an Airline. Journal of Applied Corporate Finance 25(4), 74-86.
James S. Doran, Ehud I. Ronn, and Robert S. Goldberg. 2009. A Simple Model for Time-Varying Expected Returns on the S&P 500 Index. Journal of Investment Management 7, 47-72.
Ehud I. Ronn and J. Wimschulte. 2009. Intra-Day Risk Premia in European Electricity Forward Markets. Journal of Energy Markets.
Ehud I. Ronn, Akin Sayrak, and Stathis Tompaidis. 2009. The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets. Financial Review 44, 405-436.
James S. Doran and Ehud I. Ronn. 2008. Computing the market price of volatility risk in the energy commodity markets. Journal of Banking & Finance 32, 2541-2552.
Kolos, Sergey P. and Ehud I. Ronn. 2008. Estimating the Commodity Market Price of Risk for Energy Prices. Energy Economics 30, 621-641.
Ehud I. Ronn and M. Kjaer. 2008. Valuation of a Natural Gas Storage Facility. Journal of Energy Markets.
Ehud I. Ronn and J. Doran. 2006. The Bias in Black-Scholes/Black Implied Volatility Risk in the Energy Commodity Markets. Review of Derivatives Research 8, 3, 2005.
Patrick Jaillet, Ehud I. Ronn, and Stathis Tompaidis. 2004. Valuation of Commodity-Based Swing Options. Management Science 50, 909-911.
Ehud I. Ronn. 2004. Valuation of Oil Fields as Optimal Exercise of the Extraction Option, in Managing Energy Price Risk, Vincent J. Kaminski, ed. London: Risk Books.
Ehud I. Ronn. 2004. Was Enron's Business Model Fundamentally Flawed?, in Risk Management: Challenge and Opportunity, Michael Frenkel, Ulrich Hommel and Markus Rudolf, eds.
Ehud I. Ronn, ed. 2002. Real Options and Energy Management: Using Options Methodology to Enhance Capital Budgeting Decisions. London, England: Risk Books.
Cantekin Dincerler, John D. Martin, and Ehud I. Ronn. 2001. Analyzing the Risks Inherent in the Proctor & Gamble-Bankers Trust Levered Swap Contract. Advances in Financial Planning and Forecasting 10, 243-256.
Robert R. Bliss and Ehud I. Ronn. 1998. Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities. Journal of Business 71, 211-252.
Ehud I. Ronn and Pavan Wadhwa. 1998. On the Relationship Between Expected Returns and Implied Volatility of Interest Rate-Dependent Securities. Journal of Portfolio Management 24, 93-109.
Soren S. Nielsen and Ehud I. Ronn. 1997. A Two-Factor Model for the Valuation of the T-Bond Futures Contract's Embedded Options, in Advances in Fixed-Income Valuation Modeling and Risk Management, Frank J. Fabozzi, ed. New Hope, PA: Frank J. Fabozzi Associates.
Ehud I. Ronn and Yongjai Shin. 1997. Tax Effects in U.S. Government Bond Markets, in Advances in Fixed Income Valuation Modeling and Risk Management, Frank J. Fabozzi, ed. New Hope, PA: Frank J. Fabozzi Associates.
Soren S. Nielsen and Ehud I. Ronn. 1997. The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps. Advances in Futures and Options Research 9, 175-196.
Ehud I. Ronn. 1996. A Model for the Valuation of Callable Bonds, in Handbook of Fixed Income Options: Strategies, Pricing and Applications, Frank J. Fabozzi, ed. Chicago, IL: Irwin, 245-259.
Ehud I. Ronn and Klaus Toft. 1996. Options on Treasury Bond Futures Contracts, in Handbook of Fixed Income Options: Strategies, Pricing, and Applications, Frank J. Fabozzi, ed. Chicago, IL: Irwin.
Ehud I. Ronn, Peter D. Rubinstein, and Fung-Shine Pan. 1995. An Empirical Estimate of the Prepayment Option Value in Fixed-Rate GNMA Mortgage-Backed Securities. Journal of the American Real Estate and Urban Economics Association 23, 1-20.
Ehud I. Ronn and Lemma W. Senbet. 1995. Debt and Market Incompleteness. Journal of Banking and Finance 19, 1379-1400.
Aamir M. Sheikh and Ehud I. Ronn. 1994. A Characterization of the Daily and Intra-Day Behavior of Returns on Options. Journal of Finance 49, 557-580.
Ehud I. Ronn and Robert R. Bliss. 1994. A Non-Stationary Trinomial Model for the Valuation of Options on Treasury Bond Futures Contracts. Journal of Futures Markets 14, 597-617.
Bjorn Flesaker and Ehud I. Ronn. 1993. The Pricing of FIREARMs ('Falling Interest Rate Adjustable Rate Mortgage'). Journal of Real Estate Finance and Economics 6, 251-275.
Ehud I. Ronn and Richard W. Sias. 1991. A Simple Time-Varying Binomial Model for the Valuation of Interest Rate-Contingent Claims. Advances in Futures and Options Research 5, 89-111.
H. George Han and Ehud I. Ronn. 1991. The Valuation of Options on Eurodollar Futures Contracts Using Non-Stationary Arbitrage-Free Models. Journal of Fixed Income 1, 60-73.
Robert R. Bliss and Ehud I. Ronn. 1989. Arbitrage-Based Estimation of Non-Stationary Shifts in the Term Structure of Interest Rates. Journal of Finance 44, 591-610.
Ehud I. Ronn and Avinash K. Verma. 1989. Capital Adequacy Standards for a Sample of 43 Major Banks. Journal of Banking and Finance 13, 21-29.
A. Gerbarg and Ehud I. Ronn. 1989. The Box Spread Arbitrage Condition: Theory, Tests and Investment Strategies. Review of Financial Studies 2, 91-108.
Bjorn Flesaker and Ehud I. Ronn. 1988. Inflation Futures and a Riskless Real Interest Rate. Review of Futures Markets 7, 36-67.
Ehud I. Ronn. 1988. Non-Additive Preferences and the Marginal Propensity to Consume. American Economic Review 78, 216-223.
Ehud I. Ronn and A. Verma. 1987. A Multi-Attribute Comparative Evaluation of Relative Risk for a Sample of Banks. Journal of Banking and Finance 11, 499-523.
Ehud I. Ronn. 1987. A New Linear Programming Approach to Bond Portfolio Management. Journal of Financial and Quantitative Analysis 22, 439-466.
Robert H. Litzenberger and Ehud I. Ronn. 1986. A Utility-Based Model of Common Stock Price Movements. Journal of Finance 41, 67-92.
Ehud I. Ronn. 1986. On the Rationality of the Common Stock Return Volatility. Financial Review 21, 355-381.
Ehud I. Ronn and Avinash K. Verma. 1986. Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model. Journal of Finance 41, 871-895.
Uri Ben-Zion, Ehud I. Ronn, and Dina Rotem. 1983. Changes of Asset Composition and the Performance of Mutual Funds, in Studies in the Israel Economy 1981, Zvi Zussman and Moshe Felber, eds. Jerusalem, Israel.
Ehud I. Ronn and Arie Melnick. 1981. The Substitution of Capital, Labor and Energy in the Israeli Economy. Resources and Energy 3, 247-258.
Uri Ben-Zion and Ehud I. Ronn. 1977. Testing the Causality of Policy Variables in Israel, in Studies in the Israel Economy, Nadav Halevy and Jacob Kop, eds. Jerusalem, Israel: Maurice Falk Institute for Economic Research in Israel.
Ehud I. Ronn and J. Doran. The Bias in Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets. Review of Derivatives Research.

Professional Awards

Annual Symposium of St. John's University Financial Services Institute Best Paper Award2008
Selected by "Energy Risk Magazine" to "Energy Risk Hall of Fame"2004
1997 Texas Finance Symposium Best Paper Award1997
1986 American Association of Individual Investor Award for Best Paper in Investments1986

Teaching Awards

European Business School Teaching Excellence Award, Summer2006
European Business School Teaching Excellence Award, Gold, Summer2002
European Business School Teaching Excellence Award, Silver, Winter Term2002
Earl F. Cheit Excellence in Teaching Award, UC Berkeley1986

Page last updated: 7/29/2014