Stephen F. Gray is Assistant Professor of Finance at the Fuqua School of Business, Duke University. He teaches Financial Management and Advanced Derivatives.
Professor Gray obtained his Ph.D. in finance from the Graduate School of Business, Stanford University. He has Honours degrees in Commerce and Law from the University of Queensland, Australia. He has previously taught at the University of Queensland and Queensland University of Technology.
Professor Gray's research interests lie in the areas of empirical finance and asset pricing with particular emphasis on modeling interest rates and pricing interest rate-sensitive securities. In particular, Professor Gray has developed a model which allows economic time-series, such as interest rates and exchange rates, to move between different regimes. One of his innovations is to allow the probability of switching regimes to be a function of information which is widely available to investors. He has implemented his technique to model exchange rates and U.S. and foreign short-term interest rates. His paper, "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process" is forthcoming in the Journal of Financial Economics.
Professor Gray has received the Touche Ross award for excellence in teaching at the University of Queensland and the Jaedicke Award and Fellowship from Stanford University.