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Ehud I. Ronn

Professor

Department:     Finance

Additional Titles:     Co-Director, Energy Management and Innovation Center

Industry Areas:     Energy, Financial Risk Management

Research Areas:     Derivatives, Energy Finance

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(512) 471-5853

CBA 6.270

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.

ACADEMIC LEADERSHIP & AWARDS

2008

Annual Symposium of St. John's University Financial Services Institute Best Paper Award

 

2004

Selected by "Energy Risk Magazine" to "Energy Risk Hall of Fame"

 

1997

1997 Texas Finance Symposium Best Paper Award

 

1986

1986 American Association of Individual Investor Award for Best Paper in Investments

 

2006

European Business School Teaching Excellence Award, Summer

 

2002

European Business School Teaching Excellence Award, Gold, Summer

 

Robert S. Goldberg, and Ehud I. Ronn.
The Critical Role of the Magnitude and the Sign of the Interest Rate Term Premium in Optimal Asset Allocation.
Journal of Fixed Income. Forthcoming.

Ehud I. Ronn. 2022. Commodity Market Indicators of a 2023 Texas Winter Freeze. Journal of Commodity Markets 27: 100269

VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty. By: Ehud Ronn. Review of Pacific Basin Financial Markets and Policies (Special Issue).  Forthcoming.

Oil Futures Volatility Smiles in 2020: Why the Bachelier Smile is Flatter. By:  Roza Galeeva and Ehud Ronn. Review of Derivatives Research. Feb. 2022. Forthcoming.

Xiaron Liu and Ehud I. Ronn. Using the Binomial Model for the Valuation of Real Options in Computing Optimal Subsidies for Chinese Renewable Energy Investments. Energy Economics, forthcoming.

 

Ehud I. Ronn. Using Equity, Index and Commodity Options to Obtain Forward-Looking Measures of Equity and Commodity Betas, and Idiosyncratic Variance. Journal of Energy Markets, forthcoming.

 

Robert S. Goldberg, Ehud I. Ronn, and Liying Xu . Valuation of Callable/Putable Corporate Bonds in a One-Factor LogNormal Interest-Rate Model. Journal of Fixed Income, forthcoming.

 

James S. Doran and Ehud I. Ronn. 2021. Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities—Revisiting Metallgesellschaft. Journal of Risk and Financial Management 14(8), 379.

 

Ehud I. Ronn. 2021. The Oil Futures and Options Markets in 2020: The `Message from Markets'. Review of Pacific Basin Financial Markets & Policies. Dec 2021, Vol. 24(4): 1-23.

 

Raphael H. Boroumand, Stephane Goutte, and Ehud I. Ronn. 2020. Characterizing the Hedging Policies of Commodity Price-Sensitive Corporations. Journal of Futures Markets 40(8), 1264-1281.

 

Jedrzej Bialkowski and Ehud I. Ronn. 2019. The Global Equity Premium Revisited: What Human Rights Imply for Assets' Purchasing Power. International Review of Financial Analysis 61, 175-187.

 

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.