203.432.5924

Adrian C. Israel Professor of International Trade and Finance

Professor Ingersoll specializes in multiperiod models of asset valuation, including the pricing of options and futures, and the term structure of interest rates. A member of the founding committee of the Society for Financial Studies, he has served as the editor of its Review of Financial Studies as well as associate editor of the Journal of Financial Economics and the Journal of Finance. He is currently an associate editor of the Review of Derivatives Research. Prior to coming to Yale, Professor Ingersoll was at the Graduate School of Business of the University of Chicago.

Achievements and Awards
Member of founding committee for the Society for Financial Studies
Alfred P. Sloan Foundation Research Fellowship in Economics, 1981-1983
Batterymarch Financial Management Fellowship in Investments and Finance, 1981-1982

Editorships
Associate Editor:
Review of Derivatives Research

Selected Books
Theory of Financial Decision Making, Rowman & Littlefield Publishing, Inc., 1987

Selected Book Chapters
"Optimal Bond Trading with Personal Tax" (with G. Constantinides), in S.A. Ross, ed., The Debt Market, Edward Elgar Publishing, 1998

"A Contingent-Claims Valuation of Convertible Securities," in S.A. Ross, ed., The Debt Market, Edward Elgar Publishing, 1998

"A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent Claims Analysis," in C. Gardner, ed., Classic Options Models, Risk Publications, 1998

"A Theory of the Term Structure of Interest Rates" (with J. Cox and S.A. Ross), in Vasicek and Beyond, Risk Publications, 1996

Selected Articles
"Portfolio Performance Manipulation and Manipulation-Proof Performance Measures" (with W. Goetz­mann, M. Spiegel, and I. Welch), Review of Financial Studies, Vol. 20, No. 5, September 2007

"Valuing Reload Options" Review of Derivatives Research,  Vol. 9, 67-105, 2006 

"The Subjective and Objective Evaluation of Incentive Stock Options," Journal of Business, Vol. 79, No. 2, March 2006

"High-Water Marks" (with S. Ross and W. Goetzmann), Journal of Finance, Vol. 58, No.4, 2003

"Monthly Measurement of Daily Timers" (with W. Goetzmann and Z. Ivkovich), Journal of Financial and Quantitative Analysis, Vol. 35, 257-290, 2000

"Digital Contracts: Simple Tools for Pricing Complex Derivatives," Journal of Business, Vol. 73, No. 1, January, 2000

"Approximating American Options and Other Financial Contracts Using Barrier Derivatives," Journal of Computational Finance, Vol. 2, No. 1, Fall 1998

"Valuing Foreign Exchange Options with a Bounded Exchange Rate Process," Review of Derivatives Research, Vol. 1, No. 2, 1996

"Long Forward Rates Can Never Fall" (with P. Dybvig and S.A. Ross), Journal of Business, January 1996

Working Papers
“Theoretical Prospects for Prospect Theory”

“Modeling a Presidential Prediction Market” (with K. Chen and E. Kaplan)

Education
PhD Massachusetts Institute of Technology, 1976
SM Massachusetts Institute of Technology, 1973
SB Massachusetts Institute of Technology, 1971