Menachem Brenner

Menachem Brenner

Joined Stern 1990

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street, 9-52
New York, NY 10012

Personal website

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Menachem Brenner is Professor of Finance (Emeritus) at the Leonard N. Stern School of Business at New York University. Dr. Brenner holds M.A. and Ph.D. degrees in finance and economics from Cornell University and a B.A. degree in economics from the Hebrew University.

He has written more than 60 scholarly articles in diverse areas in finance and economics. His articles appeared in leading journal. His most recent work deals with ambiguity, volatility, inside information and derivative markets. Prof. Brenner has served as an associate editor and referee to finance and economic journals. He was a founding Editor of the Review of Derivatives Research.

In 1986, he co-invented (with Prof. Dan Galai) the volatility index based on the prices of traded index options (the predecessor to VIX) and introduced the idea of volatility derivatives, an idea implemented 20 years later. Professor Brenner served as a consultant to leading Exchanges and Financial institutions; the NYSE, American Stock Exchange, Athens Derivatives Exchange, SOFFEX, Bombay Stock Exchange, ADB, Tel-Aviv Stock exchange, Bank of Israel, Israel Securities Authority and Others.

He was also a floor trader in futures and options on the NYFE and the NYSE. He has taught in many executive programs for major financial institutions (e.g., JP Morgan, Deutsche Bank, Smith Barney, Yamaichi Securities, Garantia, Swiss Bank Corp., Credit Swiss).

Prof. Brenner was a member of the board of directors of the Tel-Aviv Stock Exchange and the chairman of the New Products committee. He was a member of the advisory panel on Emerging Markets Investable Indices at the International Finance Corporation.

His other passion is endurance races like; The NY marathon, The Zurich Ironman, Israman (1/2), the SOS endurance race, the Mt. Mitchell bike ride, and the Empire State Run up.

Research Interests

  • Financial Markets: Derivative Markets; Structure, Pricing, Hedging, Regulation, Ambiguity

Courses Taught

  • Advanced Derivatives Applications
  • Options and Futures

Academic Background

Ph.D., 1974
Cornell University

M.A, Finance, Economics, 1971
Cornell University

B.S., Economics, 1969
Hebrew University, Jerusalem

Awards & Appointments

Glucksman award for best paper (Repricing of ESO) 1999
Graham and Dodd Award for excellence in financial writing (on Japanese Index Futures) 1990

Selected Publications

A. Patrick, M. Brenner and M. Subrahmanyam (2019)
Informed Trading prior to Merger and Take-Over Announcements
Management Science, pp. 5449-5956

M. Brenner and Y. Izhakian (2018)
Asset pricing and Ambiguity: Empirical Evidence
Journal of Financial Economics, pp. 502-531

M. Brenner, R. Eldor, and S. Hauser (2001)
The Price of Options Illiquidity
Journal of Finance, April 2001, pp. 789-805.

M. Brenner and D. Galai (1993)
Hedging Volatility in Foreign Currencies
The Journal of Derivatives, Fall 1993, pp. 53-59.

M. Brenner and D. Galai (1989)
New Financial Instruments to Hedge Changes in Volatility
Financial Analysts Journal, July-August 1989, pp. 61-65

Areas of Expertise


  • Regulation


  • Volatility


  • Bonds/Inflation Linked
  • Derivatives
  • Financial Exchanges and Clearing Houses
  • Financial Regulation
  • Indexes and Exchange Trades Funds (ETFs)
  • Securities Markets
  • Short Selling
  • Stock Market
  • Valuation
  • Volatility Index (VIX)
  • Volatility Market


  • Executive Compensation/Incentives


  • Product Design & Strategy


  • Israel