Robert C. Merton
|Born||July 31, 1944|
New York City, New York, U.S.
|Alma mater|| Columbia University |
California Institute of Technology
Massachusetts Institute of Technology
|Known for|| Black–Scholes–Merton model |
Merton's portfolio problem
Long-Term Capital Management
|Awards||Nobel Memorial Prize in Economic Sciences (1997)|
|Institutions|| Massachusetts Institute of Technology Harvard University |
|Doctoral advisor||Paul Samuelson|
|Doctoral students|| Jonathan E. Ingersoll |
Robert Cox Merton (born July 31, 1944) is an American economist, Nobel Memorial Prize in Economic Sciences laureate, 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–Merton model. In 1993 Merton co-founded hedge fund Long-Term Capital Management.
In 1997 Merton Together with Myron Scholes were awarded the Nobel Memorial Prize in Economic Sciences for a method to determine the value of derivatives.
Merton's current research focus is on the topics of: lifecycle investing and retirement funding, measuring and monitoring systemic risks in macrofinance, and financial innovation coupled with changing dynamics in financial institutions.
Merton was born in New York City to a Jewish fathersociologist Robert K. Merton and mother Suzanne Carhart who was from a "multigenerational southern New Jersey Methodist/Quaker family." He grew up in Hastings-on-Hudson, NY. He earned a Bachelor of Science in Engineering Mathematics from the School of Engineering and Applied Science of Columbia University, a Masters of Science from the California Institute of Technology, and his doctorate in economics from the Massachusetts Institute of Technology in 1970 under the guidance of Paul Anthony Samuelson. He then joined the faculty of the MIT Sloan School of Management, where he taught until 1988. Subsequently, Merton moved to Harvard University, where he was George Fisher Baker Professor of Business Administration from 1988 to 1998. He was the John and Natty McArthur University Professor from 1998-2010. He rejoined the MIT Sloan School of Management in 2010 when he went Emeritus.
This section needs additional citations for verification .(January 2021)
Robert C. Merton is the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management. He is Resident Scientist at Dimensional Fund Advisors, where he developed a next-generation integrated pension-management solution system that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans. Merton is University Professor Emeritus at Harvard University. He was the George Fisher Baker Professor of Business Administration (1988–98) and John and Natty McArthur University Professor (1998–2010) at the Harvard Business School. He previously served on the finance faculty of the Sloan School from 1970 until 1988. Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new methodology to value derivatives. 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. He holds honorary degrees from eighteen universities.
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 and The Global Financial System: A Functional Perspective; Finance; and Financial Economics. Merton is a founding co-editor of the Annual Review of Financial Economics .
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.
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.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 married June Rose in 1966. They separated in 1996. They have three children: two sons and one daughter.[ citation needed ]
An economist is a practitioner in the social science discipline of economics.
Franco Modigliani was an Italian-American economist and the recipient of the 1985 Nobel Memorial Prize in Economics. He was a professor at University of Illinois at Urbana–Champaign, Carnegie Mellon University, and MIT Sloan School of Management.
Fischer Sheffey Black was an American economist, best known as one of the authors of the famous Black–Scholes equation.
Myron Samuel Scholes is a Canadian-American financial economist. Scholes is the Frank E. Buck Professor of Finance, Emeritus, at the Stanford Graduate School of Business, Nobel Laureate in Economic Sciences, and co-originator of the Black–Scholes options pricing model. Scholes is currently the chairman of the Board of Economic Advisers of Stamos Capital Partners. Previously he served as the chairman of Platinum Grove Asset Management and on the Dimensional Fund Advisors board of directors, American Century Mutual Fund board of directors and the Cutwater Advisory Board. He was a principal and limited partner at Long-Term Capital Management and a managing director at Salomon Brothers. Other positions Scholes held include the Edward Eagle Brown Professor of Finance at the University of Chicago, senior research fellow at the Hoover Institution, director of the Center for Research in Security Prices, and professor of finance at MIT's Sloan School of Management. Scholes earned his PhD at the University of Chicago.
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts, United States. MIT Sloan offers bachelor's, master's, and doctoral degree programs, as well as executive education. Its degree programs are among the most selective in the world. MIT Sloan emphasizes innovation in practice and research. Many influential ideas in management and finance originated at the school, including the Black–Scholes model, the Solow–Swan model, the random walk hypothesis, the binomial options pricing model, and the field of system dynamics. The faculty has included numerous Nobel laureates in economics and John Bates Clark Medal winners.
Merton Howard Miller was an American economist, and the co-author of the Modigliani–Miller theorem (1958), which proposed the irrelevance of debt-equity structure. He shared the Nobel Memorial Prize in Economic Sciences in 1990, along with Harry Markowitz and William F. Sharpe. Miller spent most of his academic career at the University of Chicago's Booth School of Business.
Oliver Simon D'Arcy Hart is a British-born American economist, currently the Lewis P. and Linda L. Geyser University Professor at Harvard University. Together with Bengt R. Holmström, he received the Nobel Memorial Prize in Economic Sciences in 2016.
Jean Tirole is a French professor of economics at Toulouse 1 Capitole University. He focuses on industrial organization, game theory, banking and finance, and economics and psychology. In 2014 he was awarded the Nobel Memorial Prize in Economic Sciences for his analysis of market power and regulation.
The MIT Department of Economics is a department of the Massachusetts Institute of Technology in Cambridge, Massachusetts.
Bendheim Center for Finance (BCF) is an interdisciplinary center at Princeton University. It was established in 1997 at the initiative of Ben Bernanke and is dedicated to research and education in the area of money and finance, in lieu of there not being a full professional business school at Princeton.
Bengt Robert Holmström is a Finnish economist who is currently Paul A. Samuelson Professor of Economics at the Massachusetts Institute of Technology. Together with Oliver Hart, he received the Central Bank of Sweden Nobel Memorial Prize in Economic Sciences in 2016.
Robert James Shiller is an American economist, academic, and best-selling author. As of 2019, he serves as a Sterling Professor of Economics at Yale University and is a fellow at the Yale School of Management's International Center for Finance. Shiller has been a research associate of the National Bureau of Economic Research (NBER) since 1980, was vice president of the American Economic Association in 2005, its president-elect for 2016, and president of the Eastern Economic Association for 2006–2007. He is also the co‑founder and chief economist of the investment management firm MacroMarkets LLC.
Robert Butler Wilson, Jr. is an American economist and the Adams Distinguished Professor of Management, Emeritus at Stanford University. He was jointly awarded the 2020 Nobel Memorial Prize in Economic Sciences, together with his Stanford colleague and former student Paul R. Milgrom, "for improvements to auction theory and inventions of new auction formats". Two more of his students, Alvin E. Roth and Bengt Holmström, are also Nobel Laureates in their own right.
The Deutsche Bank Prize in Financial Economics honors renowned researchers who have made influential contributions to the fields of finance and money and macroeconomics, and whose work has led to practical and policy-relevant results. It is awarded biannually, since 2005, by the Center for Financial Studies (CFS), in partnership with Goethe University Frankfurt, and is sponsored by Deutsche Bank Donation Fund. The award carries an endowment of €50,000, which is donated by the Stiftungsfonds Deutsche Bank im Stifterverband für die Deutsche Wissenschaft.
Abhijit Vinayak Banerjee (pronounced [obʱidʒit banɔrdʒi] born 21 February 1961; is an India-born naturalized American economist who is currently the Ford Foundation International Professor of Economics at Massachusetts Institute of Technology. Banerjee shared the 2019 Nobel Memorial Prize in Economic Sciences with Esther Duflo and Michael Kremer "for their experimental approach to alleviating global poverty". He and Esther Duflo, who are married, are the sixth married couple to jointly win a Nobel Prize.
David Wiley Mullins Jr. was an American economist and former vice-chairman of the Federal Reserve. He also served as an assistant Secretary of the Treasury for domestic finance in the administration of United States President George H. W. Bush. Mullins left the Federal Reserve in 1994 to join the hedge fund Long Term Capital Management and remained in private finance following its collapse in 1998.
Andrew Wen-Chuan Lo is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in finance and financial economics. He founded AlphaSimplex Group in 1999 and served as chairman and chief investment strategist until 2018 when he transitioned to his current role as chairman emeritus and senior advisor.
Douglas Warren Diamond is the Merton H. Miller Distinguished Service Professor of Finance at the University of Chicago Booth School of Business. He specializes in the study of financial intermediaries, financial crises, and liquidity. He is a former president of the American Finance Association and the Western Finance Association, a fellow of the Econometric Society, the American Academy of Arts and Sciences, and the American Finance Association.
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. See Quantitative analyst.
Past recipients of the Financial Engineer of the Year award include Robert Merton (Harvard), Fischer Black, Mark Rubinstein (Berkeley) and Stephen Ross (Yale).
|Wikiquote has quotations related to: Robert C. Merton|