CredentialsB.Sc., M.Sc. (Tel Aviv), M.B.A. (Hebrew Univ., Israel), Ph.D. (California,Berkeley)
Dr. Avi Bick is an Associate Professor of Finance. He has an M.Sc. in Mathematics from Tel Aviv University and an M.B.A. from the Hebrew University of Jerusalem. He earned his Ph.D. in Finance from U.C. Berkeley. Prior to joining SFU, he taught at U.C. Berkeley, New York University and at the University of British Columbia. At SFU, Avi served several times as the Finance area coordinator. Avi's teaching experience in Finance is mostly in the general areas of Investments and Financial Theory, at different levels (Undergraduate, Masters, PhD). In the last few years, Avi specializes in teaching the topic of Derivative Securities, including courses in the Master of Science in Finance program and a graduate course in the Economics department. Avi is a recipient of the 2006 and the 2016 TD-Canada Trust Distinguished Teaching Award, and in addition he was included several times in the Faculty of Businessí Teaching Honour Roll. Avi's publications have appeared in leading academic journals. His main areas of interest are Derivative Securities and Mathematical Finance.
Research InterestsOptions and Futures Markets, Investments, Mathematical Finance .
articles and reports
Bick, A. (2012). The relationship between reciprocal currency futures prices. Finance Research Letters, 9(4), 194-201. http://doi.org/10.1016/j.frl.2012.03.001
Bick, A. (2004). The mathematics of the portfolio frontier: A geometry-based approach. Quarterly Review of Economics and Finance, 44(2), 337-361. http://doi.org/10.1016/j.qref.2003.04.001
Bick, A. (1997). Two closed-form formulas for the futures price in the presence of a quality option. Review of Finance, 1(1), 81-104. http://rof.oxfordjournals.org/content/1/1/81.full.pdf
Bick, A. (1995). Quadratic-variation-based dynamic strategies. Management Science, 41(4), 722-732. http://doi.org/10.1287/mnsc.41.4.722
Bick, A., & Willinger, W. (1994). Dynamic spanning without probabilities. Stochastic Processes and their Applications, 50(2), 349-374. http://doi.org/10.1016/0304-4149(94)90128-7
BICK, A. (1990). On Viable Diffusion Price Processes of the Market Portfolio. The Journal of Finance, 45(2), 673-689. http://doi.org/10.1111/j.1540-6261.1990.tb03711.x
Bick, A. (1988). Producing Derivative Assets with Forward Contracts. Journal of Financial and Quantitative Analysis, 23(2), 153-160. http://doi.org/10.2307/2330878
Bick, A. (1987). On the consistency of the black-scholes model with a general equilibrium framework. Journal of Financial and Quantitative Analysis, 22(3), 259-275. http://doi.org/10.2307/2330962
Bick, A. (1982). Comments on the valuation of derivative assets. Journal of Financial Economics, 10(3), 331-345. http://doi.org/10.1016/0304-405X(82)90006-X
books chapters and monographs
Bick, A. (2022). Futures Replication and the Law of One Futures Price. http://doi.org/10.2139/ssrn.2722337