Brenner’s primary areas of research include derivative markets, hedging, option pricing, and the stock market. He developed the VIX volatility index based on the prices of traded index options. He has also served as an associate editor and referee to several finance journals, and was an editor of the Review of Derivatives Research, an academic journal specializing in derivatives markets. He is a recipient of the Lady Davis Fellowship and of grants from Ford Foundation and the Italian National Research Council. Before joining NYU Stern, he served as an associate Professor of Finance at the Hebrew University of Jerusalem. He was also a visiting professor at the University of California at Berkeley, the University of Bergamo, and Tel-Aviv University. He also served on the board of directors of the Tel Aviv Stock Exchange and was chairman of the New Products Committee and the Index Maintenance Committee. He was a member of the New York Futures Exchange and of the advisory panel on Emerging Markets Investable Indices at the International Finance Corporation. Brenner has served as a consultant to leading stock exchanges, banks, and other financial institutions, including American Stock Exchange, Athens Derivatives Exchange, SOFFEX, Bombay Stock Exchange, Tel-Aviv Stock Exchange, Bank of Israel, Israel Securities Authority, and Quick Corp. He was also a floor trader in futures and options on the New York Futures Exchange and the NYSE. He has taught in many executive programs for major financial institutions. He also served as a consultant to major law firms on a variety of issues involving the securities markets, in particular derivatives securities and especially executive stock options. He was an organizer and speaker at the annual and International American Stock Exchange Options Colloquium.
Professional activities
Member of the Board of Directors of the Tel-Aviv Stock Exchange, Chairman of the new Products Committee and Chairman of the Stock Indices Committee
Consultant on the design and implementation of stock indices and stock index options for the TASE
Consultant/Lecturer on Derivatives to major exchanges: TASE, AMSE, NYSE, Bombay Stock Exchange, Athens Derivatives Exchange
Consultant to the Israeli Securities Authority on various aspects of the capital markets and derivative products
Consultant to the central bank in Israel
Designer of a volatility index used by the French commodities exchange
Designer of volatility indices for the leading vendor of financial data services in Japan
Designer of investable indices of emerging markets for the International Finance Corporation
Consultant to a large Israeli bank in the area of new financial products
Designer of volatility derivative products for The American Stock Exchange
Consultant in arbitration cases involving derivatives
Consultant to an Israeli securities firm on the design and management of a derivatives department
Consultant for various projects in the area of derivatives, including valuation of Executive Options
Consultant on a risk management system for a major bank in Israel
Executive teacher of futures and options to major American and European banks, to a Japanese securities firm, and to a Brazilian investment bank
Publications
Brenner's articles have appeared in the Journal of Finance, the Journal of Financial Economics, the Journal of Business, and the Journal of Financial and Quantitative Analysis. He has also edited a book on option pricing.
