The Financial Options Research Centre was founded at the University of Warwick in 1989. Prior to that an ESRC project had provided initial funding for applied research in the options area.

This ESRC project (which ran for 2 years from November 1987) employed two researchers to investigate the application of continuous time models to the valuation of financial options. The first of our annual conferences was held in July 1988 and featured a distinguished array of international experts in the field of options. By this time we had also attracted sufficient interest from city institutions to propose a permanent centre. Twelve months later the Financial Options Research Centre was in existence.

With its founding in April 1989, FORC's full-time research staff increased to three providing us with excellent skills in statistics, stochastic methods and numerical methods to enhance our finance expertise. By 1990 our work covered a wide range of topics, including numerical techniques for complex options and settings (e.g., Asian options, stochastic volatility models), empirical work on the behaviour of the implied volatility in short sterling options, and an examination of the effect of derivatives on the volatility of the underlying asset. In 1991 we obtained an additional research position with a two and a half year ESRC award to study "Term structure dynamics and hedging of contingent claims". A further 2 year ESRC funded project to study security price processes will run through 1996 to 1997.

Teaching programmes in the Warwick Business School have developed in parallel with the activities of the research centre to their mutual benefit. Innovations include a course on financial derivatives on our MBA programme, and a new MSc degree programme in Economics and Finance which also provides a valuable taught component for our PhD students.

In the short time since its foundation, the Financial Options Research Centre has secured an enviable reputation for its first rate output, and as an international centre of options expertise. The commitment of FORC's current Members to afford it a reasonable planning horizon is as greatly appreciated as it is vital to FORC's continuing development.