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Robert C. Merton

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Subject: Long-Term Capital Management, MIT Department of Economics, Myron Scholes, Columbia School of Engineering and Applied Science, Deutsche Bank Prize in Financial Economics
Collection: 1944 Births, American Economists, American Nobel Laureates, American People of Russian-Jewish Descent, California Institute of Technology Alumni, Columbia School of Engineering and Applied Science Alumni, Columbia University Alumni, Financial Economists, Harvard University Faculty, Jewish American Social Scientists, Living People, Long-Term Capital Management, Massachusetts Institute of Technology Alumni, Massachusetts Institute of Technology Faculty, Members of the United States National Academy of Sciences, Mit Sloan School of Management Faculty, Nobel Laureates in Economics, People from Hastings-on-Hudson, New York
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Robert C. Merton

Robert C. Merton
Born Robert C. Merton
(1944-07-31) July 31, 1944
New York City, New York, USA
Nationality American
Fields Finance, Economics
Institutions Harvard University
Massachusetts Institute of Technology
Alma mater Columbia University
California Institute of Technology
Massachusetts Institute of Technology
Doctoral advisor Paul Samuelson
Known for Black–Scholes model
ICAPM
Merton's portfolio problem
Merton model
Jarrow–Turnbull model
Long-Term Capital Management
Notable awards Nobel Memorial Prize in Economic Sciences (1997)

Robert Cox Merton (born July 31, 1944) is an American economist, Nobel laureate in Economics, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especially the first continuous-time option pricing model, the Black–Scholes formula.

Contents

  • Biography 1
  • Career 2
  • Personal life 3
  • Honours and awards 4
  • See also 5
  • References 6
  • Publications 7
  • External links 8

Biography

Merton was born to a

  • Official Website
  • Page at the Harvard Business School
  •  – Trillion Dollar Bet (2000)NovaPBS,
  • The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1997
  • Press Release: The Sveriges Riksbank (Bank of Sweden) Prize in Economic Sciences in Memory of Alfred Nobel for 1997
  • Doctoral Dissertation
  • IDEAS/RePEc
  • Permanent exhibition of Nobel Medal and Diploma. Harvard Business School
  • Resident Scientist, Dimensional Fund Advisors
  • Pension solution Dimensional Managed DC
  • Robert A. Jarrow Speech in Honor of Robert C. Merton 1999 Mathematical Finance Day Lifetime Achievement Award. April 25, 1999
  • Baker Library: About the Merton Exhibit at the Wayback Machine (archived June 7, 2008)
  • The Kolmogorov Lecture and Medal. November 13, 2009
  • Hamilton Medal
  • CME Group Fred Arditti Innovation Award
  • Robert Muh Award
  • Robert C. Merton at the Mathematics Genealogy Project

External links

  • Merton: Theory of rational option pricing (1973)[1]

Publications

  1. ^ Florida Atlantic University Libraries: "American Jewish Recipients of the Nobel Prize" retrieved March 29, 2015
  2. ^
  3. ^ Nobelist Merton Rejoins MIT Sloan School From Harvard (Update2). Businessweek. Retrieved on January 29, 2012.
  4. ^ Goodkin, Michael. The Wrong Answer Faster: The Inside Story of Making the Machine that Trades Trillions. John Wiley & Sons, 2012
  5. ^
  6. ^ Robert A. Jarrow Speech in Honor of Robert C. Merton 1999 Mathematical Finance Day Lifetime Achievement Award. bu.edu. April 25, 1999
  7. ^
  8. ^ The Kolmogorov Lecture and Medal. Kolmogorov.clrc.rhul.ac.uk (November 13, 2009). Retrieved on January 29, 2012.

References

See also

Honours and awards

Merton married June Rose in 1966. They separated in 1996. They have three children; two sons and one daughter.

Personal life

His first professional association with a hedge fund came in 1968. His advisor at the time, Paul Samuelson, brought him on board Arbitrage Management Company (AMC), to join founder Michael Goodkin and chief executive Harry Markowitz. AMC is the first known attempt at computerized arbitrage trading. After a successful run as a private hedge fund, AMC was sold to Stuart & Co. in 1971.[4] In 1993, Merton co-founded a hedge fund, Long-Term Capital Management, which earned high returns for four years but later lost $4.6 billion in 1998 and was bailed out by a consortium of banks and closed out in early 2000.

Merton has also been recognized for translating finance science into practice. He received the inaugural Financial Engineer of the Year Award from the International Association of Financial Engineers in 1993, which also elected him a Senior Fellow. Derivatives Strategy magazine named him to its Derivatives Hall of Fame as did Risk magazine to its Risk Hall of Fame. He also received Risk’s Lifetime Achievement Award for contributions to the field of risk management. A Distinguished Fellow of the Institute for Quantitative Research in Finance ('Q Group') and a Fellow of the Financial Management Association, Merton received the Nicholas Molodovsky Award from the CFA Institute.

Merton’s research focuses on finance theory including lifecycle finance, optimal intertemporal portfolio selection, capital asset pricing, pricing of options, risky corporate debt, loan guarantees, and other complex derivative securities. He has also written on the operation and regulation of financial institutions. Merton’s current academic interests include financial innovation and dynamics of institutional change, controlling the propagation of macro financial risk, and improving methods of measuring and managing sovereign risk. He is the author of, Continuous-Time Finance, and a co-author of Cases in Financial Engineering: Applied Studies of Financial Innovation; The Global Financial System: A Functional Perspective; Finance; and Financial Economics.

Robert C. Merton is the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management. He is resident scientist at Black-Scholes formula. He is past President of the American Finance Association, a member of the National Academy of Sciences and a fellow of the American Academy of Arts and Sciences.

Career

Strategic Advisory Board. QFINANCE. Merton also sits on the MIT Sloan School of Management that Merton would retire from Harvard and rejoin the [3]

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