MSQF Course Spotlight: Futures and Options

February 25, 2021

Across a career that has spanned decades, Professor Menachem Brenner has distinguished himself as an expert in the field of futures and options. In 1986, he co-invented the volatility index based on the prices of traded index options and introduced the concept of volatility derivatives. In 1996, he was a Founding Editor of the Review of Derivatives Research, and from 2006-12, he served as a regular member of the Deutsche Bank Prize in Financial Economics nominating committee. 

Menachem Brenner Professor of Futures and Options

Brenner draws from these experiences and others, as a professor, researcher, and trader of futures and options on the floors of the New York Stock Exchange (NYSE) and New York Future Exchanges, when he teaches in the MS in Quantitative Finance (MSQF) program. 

Throughout Brenner’s Futures & Options course, most recently taught in January 2021, his background is weaved in through contextual evidence, specific case studies, and personal anecdotes. In Brenner’s words, his course “combines theory, empirical evidence based on research, including [his] own, and practical knowledge and application” to cover topics such as market institutions and trading practices, valuation models, and hedging and risk management techniques. Knowledge by doing” as he calls it, is a hallmark of the course. Students are required to follow the markets on a daily basis, exams often include market-specific questions, and he starts off many class sessions by asking students to analyze and reflect on a recent article from the Wall Street Journal or Financial Times. 

Reid Gobieski, MSQF ‘21, found this approach to be impactful: “Futures & Options provided me with a fundamental understanding of derivatives, framing its importance within the context of examples and case studies. As the class evolved, I found Professor Brenner’s lectures to be more like stories, where he would recount many of his past experiences within the field.” 

These “stories” have also inspired much of Brenner’s research. Brenner has authored dozens of articles exploring several topics within finance and economics, including ambiguity, volatility, inside information, and derivative markets. In addition to teaching in various undergraduate and graduate programs at NYU Stern, he has served as a consultant to leading exchanges and financial institutions, including the NYSE, American Stock Exchange, and the Bombay Stock Exchange. Brenner also once chaired the committee of the Tel Aviv Stock Exchange that recommended the establishment of an options market in Israel.

Brenner’s inclusion of his own background is intentional, as he finds that students relate more to the course material and comprehend its application in different contexts through engaging case studies and personal experience. Moving beyond the basic formula, Brenner tries to teach “economic intuition,” explaining that “the students have to understand why we use this specific formula and why it works.” Gobieski agreed that learning the “why” reshaped his understanding of the field: “Not only did these stories make learning more enjoyable, but they inspired me to seek more out of my career - that is, a career motivated by learning and self-discovery.” 

Dai Weiduo, MSQF ‘20, who now works at Orient Securities since graduating last May, was also impacted by Brenner’s course.  In addition to the cutting-edge theories and tools he learned to master in the course, he remains inspired by Brenner’s wisdom: “Professor Brenner is a doyen of the finance industry and is extremely passionate about his lifelong research field,” Dai says. “He shared with us how he got novel ideas from his practice in the industry which were later proved to be big findings and were used to invent new indexes. These stories really encouraged me to work harder and think out of the box.” 

Such an approach to learning is core to the MSQF curriculum, and key to training students to be dynamic and successful in their future business careers. Considering that many MSQF students already have a solid quantitative foundation from their undergraduate studies, the year-long MSQF curriculum, including Futures & Options, seeks to build on this knowledge, yet also teach students how to apply and translate it to current and future business contexts through critical thinking, communication, and analysis.

Get access to the selected publications of Professor Brenner:

The New Market for Volatility Trading 

Hedging volatility risk   

The Price of Options Illiquidity     

Hedging Volatility in Foreign Currencies 

New Financial Instruments for Hedging Changes in Volatility