Simon Benninga Tel Aviv University
October 23, 2008
SIMON BENNINGA
Tel Aviv University
e-mail: benninga@post.tau.ac.il
web pages:
http://www.tau.ac.il/~benninga
http://finance.wharton.upenn.edu/~benninga
Office:
Home:
Faculty of Management
Rehov Shimon 9
Tel
Aviv
University Jerusalem,
Israel
Tel Aviv, Israel
(Mail: POB 10360, 91102 Jerusalem,
Israel)
Office phone: (+972)-3-640-8720
Home phone: (+972)-2-673-4675
Fax:
(+972)-3-640-9983
Cell: (+972)-523-384-690
Birthplace and date:
April 3, 1947--Eenrum, Holland
Personal
Status:
Married,
three
children
Citizenship:
Israel,
USA
Languages:
English,
Hebrew,
Dutch,
French
(reading)
EDUCATION
B.A., University of Michigan, 1969. Major fields: Economics/mathematics.
Junior year abroad, London School of Economics, 1967 -68.
M.Sc., Hebrew University, 1972. Major field: Mathematical economics.
Ph.D., Tel Aviv University, 1978. Major field: Finance.
POSITIONS HELD
October 2003- September 2007: Dean, Faculty of Management, Tel Aviv
University
April 1998 - present: Professor of Finance, Faculty of Management, Tel Aviv
University, Israel
Concurrently: Visiting Professor of Finance, Wharton School,
University of Pennsylvania
From October 1998: Professor of Finance, University of Groningen,
Netherlands (partial appoinment)
October 1996 - April 1998: Professor of Finance, School of Business, Hebrew
University, Jerusalem, Israel
October 1990-- 1996: Associate Professor, School of Business, Hebrew
University, Israel
Most summers of 1986-today: Visiting Professor of Finance, Wharton School
of the University of Pennsylvania
September 1992-June 1993: Visiting Professor of Finance, The Wharton
School, University of Pennsylvania
October 1985-September 1990: Senior Lecturer, School of Business, Hebrew
University of Jerusalem, Israel
Fall 1990: Bank Mees & Hope Visiting Professor of Finance, Erasmus
University, Rotterdam, Holland
September 1988-June 1989: Visiting Professor of Finance, Graduate School
of Management, University of California at Los Angeles
Summer 1985: Visiting Associate Professor of Finance, Wharton School of
the University of Pennsylvania
October 1984--October 1985: Lecturer, School of Business, Hebrew
University of Jerusalem, Israel
September l984: Consultant, Research Department of the Federal Reserve
Bank of Philadelphia
June-July, 1984: Visiting Professor of Finance, University of Otago,
Dunedin, New Zealand
Simon Benninga, page 2
February 1979-September, 84: Lecturer in Finance, Faculty of Management,
Tel Aviv University; Assistant Professor of Finance, Wharton School of
the University of Pennsylvania (joint position)
January 1977-December 1978: Lecturer and Visiting Assistant Professor of
Finance, Wharton School of the University of Pennsylvania
ACADEMIC HONORS AND ACTIVITIES
Phi Beta Kappa, University of Michigan, 1968.
Prudential Inflation Fellowship, University of Pennsylvania, Summer 1981.
Research Associate and grant recipient, Center for the Study of Futures
Markets, Columbia University, New York City, 1981.
William E. Simon Fellow, Israel Council for Higher Education, 1982.
Member of Executive Committee, European Finance Association, 1985--1989,
1992-present.
External Ph.D. examiner, Erasmus University of Rotterdam, 1986.
Grant recipient, Leonard Davis Institute for International Relations, Hebrew
University, 1987 and 1988.
Visiting Fellow at Hitotsubashi University, Japan Society for the Promotion
of Science, Fall 1994.
Israel Science Foundation grants, 1995-96 and again 2005-2008.
Kurt Lion Fellowship (with University of Konstanz, Germany): 2005-06.
PARTICIPATION IN ACADEMIC CONFERENCES
Speaker, European Conference of the Econometric Society, Helsinki, 1976.
Speaker and paper discussant, American Finance Association meetings,
Chicago, 1978.
Speaker, Financial Management Association meetings, New Orleans, 1980.
Speaker and paper discussant, European Finance Association, Jerusalem,
1982.
Simon Benninga, page 3
Speaker, Conference on “Industrial Organization of Futures Markets,”
Columbia University, November, 1982.
Speaker and paper discussant, European Finance Association, Manchester,
September 1984.
Speaker, Options Colloquium V, American Stock Exchange, March 1985.
Speaker and paper discussant, European Finance Association, Bern, August
1985.
Invited paper, American Finance Association, New York, December 1985.
Speaker, Conference on International Finance, Jouy-en-Josas, France, June
1986.
Invited paper, Pinhas Sapir Conference on “The Economic Effects of the
Government Budget,” Tel Aviv, December 1986.
Speaker, Western Finance Association, San Diego, June 1987.
Speaker, European Finance Association, Madrid, September 1987.
Invited paper, Workshop on International Finance, European Finance
Association Brussels, November 1987.
Invited paper, Workshop on Investments, European Finance Association,
Brussels, December 1988.
Invited paper, Israel Economics Association, Jerusalem, December 1989.
Speaker, French Finance Association, Paris, June 1990.
Speaker, European Finance Association, Athens, September 1990.
Speaker, American Finance Association, January 1998.
Invited lecturer, European Finance Association Workshop in Finance,
Brussels, Winter 1990.
Program committee, European Finance Association annual meeting, 1991,
1992, 1993, 1994, 1995, 1997.
Speaker, American Finance Association, 1999.
European Finance Association, almost every year.
more ...
Simon Benninga, page 4
Seminar Speaker: University of California at Los Angeles, University of
Utah, University of Groningen (Holland), University of Pennsylvania,
New York University, University of Rochester, Johns Hopkins
University, University of Quebec, Dartmouth College, Columbia
University, Bar Ilan University, Hebrew University, Tel Aviv
University, Haifa University, Ben Gurion University, Northwestern
University, University of Wisconsin, Federal Reserve Bank of
Philadelphia, Claremont Graduate School, University of Otago (New
Zealand), University of Canterbury (New Zealand), Erasmus
University (Holland), Catholic University of Leuven (Belgium),
University of Gothenburg (Sweden), University of Konstanz
(Germany), Catholic University of Tilburg (Holland), University of
Southern California, Cornell University, Vanderbilt University, Keio
University, Hitotsubashi University, Kobe University.
REFEREEING and EDITORIAL
Editorial board, Journal of Financial Stability, 2004 - present
Associate editor, Finance Letters, 2002 – present.
Founding Editor-in-Chief, European Finance Review, Journal of the
European Finance Association, 1995. I founded the journal and was
editor for 7 volumes (through 2003). From 2004-08 I was on the
Advisory Board of the journal. The journal is now called Review of
Finance.
Associate editor, Journal of Banking and Finance, 1985-1993.
Associate editor, Journal of International Financial Markets, Institutions,
and Money, 1992 - present.
Associate editor, Mathematica in Education and Research (Springer Verlag),
1993 - 1999. Since the refounding of the journal in 2004, I am again an
associate editor.
Editor, Special Issue on European financial markets, Journal of
International Financial Markets, Institutions, and Money, 1993.
Beta Tester for computer programs: Wolfram Research, Inc. (Mathematica).
Research proposal referee for National Science Foundation (U.S.A.) and Bi-
National (U.S.A./Israel) Science Foundation.
Simon Benninga, page 5
OTHER PROFESSIONAL AND PUBLIC ACTIVITIES
Board member of the Tel Aviv Stock Exchange, 2006 – 2008.
Board member of the Tel Aviv Options Clearing House, 2004 – 2008.
Executive teaching: Bear Stearns, Pepsi Bottling Group, Alpha Bank
(Greece), BA Financial Consultants (Argentina), Arthur Andersen,
Amsterdam Institute of Finance, New York Institute of Finance, and
others.
Member, PWC Valuation & Strategy Global Competence Centre's Advisory
Board, 2002 – present. Other members: Michael Brennan and Julian
Franks.
Head of finance group, Tel Aviv University, 2000 – 2003.
Head of doctoral program, Tel Aviv University, 2001-2003.
Organized and led professional seminars on “The Financial Analysis of
Leasing,” 1980s.
Organized and led seminars on Futures Markets in Tel Aviv, Jerusalem, and
Wellington, New Zealand, 1980s.
Academic coordinator, Business Studies Program of the Rothberg School for
Overseas Students, Hebrew University of Jerusalem, 1985-1987.
Coordinator of finance faculty at School of Business Administration of
Hebrew University, 1986-1988, 1993-present.
Department Chairman, School of Business Administration of Hebrew
University, 1989-1992.
Board member and chairman of investments committee, Kahal Investment
Fund (assets of $550 million), 1991-1992.
Co-organizer of the Jerusalem Finance Symposium (international
conference), Spring 1992.
Professor, Wharton Executive MBA Program, 1991-present.
Board member and chairman of investments committee, Ofek Investments
Ltd. (approximately $1.2 billion under management), 1993-1999.
Member, Steering Committee of Shatil--a public service organization.
Simon Benninga, page 6
Board member and Treasurer (1996-1999) of New Israel Fund, a charitable
organization (annual budget--approximately $20 million), 1994 - 2002.
Board member, Elco Industries, 2001 – 2003.
PUBLISHED PAPERS
“Competitive Equilibrium with Bankruptcy in a Sequence of Markets,”
International Economic Review, October 1979, pp. 557-575.
“General Equilibrium with Financial Markets,” Journal of Finance, May
1979, pp. 325-339.
“Discussion” of G. O. Bierwag and Chulsoon Khang, “An Immunization
Strategy is a Minimax Strategy,” Journal of Finance, May 1979, pp.
413-414.
“Majority Choice and the Objective Function of the Firm under Uncertainty,”
(with Eitan Muller). Bell Journal of Economics, Fall 1979, pp. 670-682.
“Majority Choice and the Objective Function of the Firm: A Reply,” (with
Eitan Muller). Bell Journal of Economics, Spring 1981, pp. 338-39.
“Non-Linear Pricing Systems in Finance,” Research in Finance, Vol. 4, 1983,
pp. 21-42.
“Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem
and the Term Structure,” (with Aris Protopapadakis). Journal of
Political Economy, Vol. 91, October 1983, pp. 856-867.
“Futures Markets when Agents are Myopic,” in Industrial Organization of
Futures Markets, Ronald Anderson (ed.), Lexington, MA: Heath, 1984,
pp. 113-33.
“Optimal Hedging in Futures Markets under Price Uncertainty,” (with Rafael
Eldor and Itzhak Zilcha). Economics Letters, Vol. 13, October 1983, pp.
141-145.
“The Optimal Hedge Ratio in Unbiased Futures Markets,” (with Rafael
Eldor and Itzhak Zilcha). Journal of Futures Markets, Vol. 3, Summer
1984, pp. 155-159.
Simon Benninga, page 7
“The Neutrality of the Real Equilibrium under Alternative Financing of
Government Expenditures,” (with Aris Protopapadakis). Journal of
Monetary Economics, Vol. 14, September 1984, pp. 183-208.
“An Empirical Analysis of the Delivery Option, Marking to Market, and the
Pricing of Treasury Bond Futures,” (with Michael Smirlock). Journal
of Futures Markets, Vol. 5, Fall 1985, pp. 361-74.
“Optimal International Hedging in Commodity and Currency Forward
Markets,” (with Rafael Eldor and Itzhak Zilcha). Journal of
International Money and Finance, Vol. 4, December 1985, pp. 537-552.
“On the Optimality of Portfolio Insurance,” (with Marshall Blume). Journal
of Finance, Vol. 40, December 1985, pp. 1341-52.
“General Equilibrium Properties of the Term Structure of Interest Rates,”
(with Aris Protopapadakis). Journal of Financial Economics, Vol. 16,
July 1986, pp. 389-410.
“Decision Intervals and Portfolio Strategy,” (with Marshall Blume). Studies
in Banking and Finance 5, 1988, pp. 277-90.
“Revenue-Neutral Changes in Corporate and Personal Income Taxes and
Government Debt,” (with Eli Talmor). in Economic Effects of the
Government Budget, Cambridge, MA: MIT Press, 1988, pp. 50-64.
“The Equilibrium Pricing of Exchange Rates and Assets when Trade Takes
Time,” (with Aris Protopapadakis). Journal of International Money
and Finance 7, June 1988, pp. 129-149.
“The Duration of Partially Indexed Bonds,” Issues in Banking 7, March 1988,
pp. 39-45 (Hebrew).
“The Interaction of Corporate and Government Financing in General
Equilibrium,” (with Eli Talmor). Journal of Business, Vol. 61, April
1988, pp. 233-258.
“Fiscal Policy and the Term Structure of Interest Rates,” (with Uri Possen).
Journal of Public Economics, December 1988, Vol. 37, pp. 331-344.
“Leverage, Time Preference and the Equity Premium Puzzle,” (with Aris
Protopapadakis). Journal of Monetary Economics 25, January 1990,
pp. 49-58.
“Comparing Portfolio Insurance Strategies.” Finanzmarkt und Portfolio
Management, 4, 1990, pp.20-30.
Simon Benninga, page 8
“The Stock Market Premium, Production, and Relative Risk Aversion,” (with
Aris Protopapadakis). American Economic Review, June 1991, pp. 591-
599.
“Non-Walrasian Equilibria with Speculation.” Journal of Economic Behavior
and Organization 17, December 1991, pp. 241-256.
“The Economics of Crowding Out,” (with Uri Possen). Finnish Economic
Papers 4, Spring 1991, pp. 10-23.
“Equity Premium,” (with Aris Protopapadakis).entry in New Palgrave
Dictionary of Money and Finance, 1992, pp. 768-770.
“Market Expectations of Risk-Free Rates and Volatilities Before and After
October 1987,” (with Uri Loewenstein and Oded Sarig). Journal of
Banking and Finance 17 (February 1993), pp. 105-116.
“Doing Cost of Capital Calculations with Mathematica,” Mathematica in
Education 2 (Spring 1993), pp. 11-13 .
“Implementing Numerical Option Pricing Models,” Co-authored with Raz
Steinmetz and John Stroughair, Mathematica Journal 3 (Issue 4,
1993), pp. 66-73. Reprinted in Artificial Intelligence in Finance,
Summer 1994. Reprinted in Economic and Financial Modeling with
Mathematica, Volume II (Telos-Springer, 1996, edited by Hal R.
Varian), pp. 250-267.
“Forward and Futures Prices with Markovian Interest Rate Processes,” Co-
authored with Aris Protopapadakis, Journal of Business 67 (July
1994), pp. 401-421.
The Heterogeneous Tax Treatment of Assets' Incomes,” Co-authored with
Joram Mayshar and Eli Talmor. Public Finance 50, (1996), pp. 19-35.
Simon Benninga, page 9
A series of articles on numerical aspects of option pricing in Mathematica in
Education and Research (MiER) (co-authored with Zvi Wiener):
“The Binomial Option Pricing Model,” MiER (1997), Vol. 6, no. 3, pp.
“Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and
Exotic Options,” MiER (1997), Vol. 6, no. 4., pp. 11-14.
“Dynamic Hedging Strategies,” MiER (1998), Vol. 7, no. 1, pp. 12-16.
“Term Structure of Interest Rate,” MiER (1998), Vol. 7, no. 2, pp. 13-22.
“Binomial Term Structure Models,” MiER (1998), Vol. 7, no. 3, pp. 11-19.
“Value-at-Risk (VaR),” MiER (1998), Vol. 7, no. 4, pp. 39 – 45.
“An Investigation of Cheapest to Deliver on Treasury Bond Futures
Contracts,” co-authored with Zvi Wiener. Journal of Computational
Finance, vol. 2, number 3, Spring 1999, pp. 35-55.
“Limiting Differences Between Forward and Futures Prices in a Lucas
Consumption Model,” co-authored with Zvi Wiener and Aris
Protopapadakis. Journal of International Financial Markets,
Institutions and Money, Vol. 10, number 2, June 2000, pp. 151 - 161.
“Heterogeneity and Option Pricing,” co-authored with Joram Mayshar,
Review of Derivatives Research, vol. 4, 2000, pp. 7-27.
“Real Options—An Introduction And An Application To R&D Valuation,” co-
authored with Efrat Tolkowsky. Engineering Economist, May 2002,
Vol 47, No. 2, pp. 151-168.
“On the Use of Numeraire Methods in Option Pricing,” co-authored with
Tomas Björk and Zvi Wiener. Journal of Derivatives, Winter 2002,
Vol. 10, No. 2, pp. 1-15 (lead paper).
“Risk, Returns and Values in the Presence of Differential Taxation,” co-
authored with Oded Sarig. Journal of Banking and Finance, Vol. 27,
number 6, 2003, pp. 1123-38.
“Hedging With Forwards And Puts In Complete And Incomplete Markets,”
co-authored with Casper Oosterhof, Journal of Banking and Finance,
2004, Vol. 28, No. 1, pp. 1 – 17 (lead paper).
“The Timing of Initial Public Offerings,” joint paper with Mark Helmantel
and Oded Sarig, Journal of Financial Economics, 2005, Vol. 75, No. 1,
115-132.
Simon Benninga, page 10
“Shrinking the Covariance Matrix—Simpler is Better,” co-authored with
David J. Disatnik. Journal of Portfolio Management, Summer 2007, Vol
33, No. 4, pp. 56-63.
BOOKS
Numerical Methods in Finance. Cambridge: MIT Press, 1989, 241 pages.
Japanese translation--Tokyo: Toyo Keizai Shinposha, 1991.
Corporate Finance: A Valuation Approach (with Oded Sarig), 1997, McGraw-
Hill, 440 pages.
Translations:
Polish translation: Finanse przedsiebiorstwa: Metody
wyceny, published by WIG-Press, 2000.
Japanese translation—Tokyo: Chup Keizai Sha, 2002.
Financial Modeling. MIT Press.
First edition, 1997, 405 pages.
Second edition (622 pages), August 2000. Named best
financial engineering textbook by Financial Engineering
News, 2003.
Third edition (1134 pages), December 2007.
Translations of second edition:
Italian translation, Modelli Finanziari, published by
McGraw-Hill Libri of Milan, November 2001.
Chinese edition, Shanghai University of Finance and
Economics Publishing House, January 2003.
Japanese edition published by Seibunsha, 2005.
Russian edition published by Williams Publishing, 2007
(http://www.williamspublishing.com/ ).
Principles of Finance with Excel. Oxford University Press, December 2005,
908 pages. (see http://pfe.wharton.upenn.edu )
Simon Benninga, page 11
CURRENT RESEARCH
A Markov Model of Expected Bond Returns, with Zvika Afik, July 2006.
Optimal Managerial Compensation Contracts and Optimal Production Hedging, with Sagi Akron,
August 2007
The Uncertainty Premium in an Ambiguous Economy, with Yehuda Izhakian, August 2007
Simon Benninga, page 12
