Overview
Clifford A. Ball is a financial economist at the Owen Graduate School of Management, Vanderbilt University. His work focuses on derivatives pricing and fixed-income models.
Key Contributions / Features
- Ball and Torous (1983): Co-developed the Brownian bridge model of bond price dynamics and derived the first closed-form, preference-free European call/put option formula on default-free pure discount bonds.
- Ball and Roma (1994): Unified the Hull-White power series and Stein-Stein Fourier inversion approaches to stochastic volatility option pricing through the MGF of average variance; extended both methods to the CIR/Heston square-root model; formally derived the U-shaped volatility smile; corrected Stein-Stein's misdiagnosis of the upward SV pricing bias.
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