Robert C. Merton

Article on other languages:

del.icio.us del.icio.us
Digg Digg
Furl Furl
Reddit Reddit
Rojo Rojo
Add to OnlyWire
This article is about the economist. For the sociologist, see Robert K. Merton.
Robert C. Merton

Born July 31, 1944 (1944-07-31) (age 64)
New York City, New York, U.S.
Nationality United States
Fields Finance, Economics
Alma mater Columbia University
Caltech
MIT
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)
Lifetime Achievement in Mathematical Finance (1999)

Robert Cox Merton (born 31 July 1944) is an American economist and Nobel laureate in economics.

Contents

Biography

Merton was born in New York City to Robert K. Merton. 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. He then joined the faculty of the MIT Sloan School of Management.[1] He is currently a professor at the Harvard Business School.

In 1969, Merton published Merton's portfolio problem, which proposed a formula to enable people to decide how much of their income they can consume at present and how much of the remainder should be allocated toward investments. In 1970, he introduced the Merton Model, which treated equity as an option on a firm's assets, and introduced the use of continuous-time default probabilities to model options on the common stock of a company. This was extended by Stuart Turnbull and Merton's student Robert A. Jarrow and is known as the Jarrow-Turnbull model. In 1973, Merton introduced the Intertemporal Capital Asset Pricing Model, which incorporates explicit hedges that investors make to protect themselves from savings shortfalls.

In 1997, Merton was awarded the Nobel Memorial Prize in Economic Sciences with Myron Scholes for their work on stock options. [2]

Together with Myron Scholes, Merton was among the board of directors of Long-Term Capital Management (LTCM), a hedge fund that failed spectacularly in 1998 after losing $4.6 billion in less than four months.[3]. The Federal Reserve was so concerned about the potential impact of LTCM's failure on the financial system that it arranged for a group of 19 banks and other firms to provide sufficient liquidity for the banking system to survive.

In 1999, Merton was awarded a lifetime achievement award in mathematical finance.[4]

In 2002 Merton entered the debate over how corporations ought to account for the stock options they award as part of a compensation package. Merton was among those advocating expensing stock options. Shortly afterwards, the Financial Accounting Standards Board changed their rules and began to require expensing options.

In 2005 the Baker Library at Harvard University opened The Merton Exhibit in his honor.[5] In 2006, Merton developed SmartNest, a pension management solution that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans.[6]

In 2007, Merton was hired as Chief Science Officer of Trinsum Group, a financial advisory firm.

See also

References

  1. ^ Faculty research Department (2008). "Biography - Robert C. Merton". Harvard Business School. Retrieved on 2008-08-30.
  2. ^ Merton, Robert C. (1973). "Theory of Rational Option Pricing". Bell Journal of Economics and Management Science 4 (1): 141–183. doi:10.2307/3003143.  [1]
  3. ^ Greenspan, Alan (2007). The Age of Turbulence: Adventures in a New World, The Penguin Press. p.193-195. ISBN 978-1-59420-131-8. 
  4. ^ http://www.bu.edu/mfd/mfdmerton.pdf
  5. ^ Baker Library: About the Merton Exhibit
  6. ^ SmartNest Case Study

External links

Nobel Laureates in Economics

Milton Friedman (1976) · Bertil Ohlin / James Meade (1977) · Herbert Simon (1978) · Theodore Schultz / Arthur Lewis (1979) · Lawrence Klein (1980) · James Tobin (1981) · George Stigler (1982) · Gérard Debreu (1983) · Richard Stone (1984) · Franco Modigliani (1985) · James M. Buchanan (1986) · Robert Solow (1987) · Maurice Allais (1988) · Trygve Haavelmo (1989) · Harry Markowitz / Merton Miller / William Forsyth Sharpe (1990) · Ronald Coase (1991) · Gary Becker (1992) · Robert Fogel / Douglass North (1993) · John Harsanyi / John Forbes Nash, Jr. / Reinhard Selten (1994) · Robert Lucas, Jr. (1995) · James Mirrlees / William Vickrey (1996) · Robert C. Merton / Myron Scholes (1997) · Amartya Sen (1998) · Robert Mundell (1999) · James Heckman / Daniel McFadden (2000)

Complete roster · 1969–1975 · 1976–2000 · 2001–present
Persondata
NAME Merton, Robert Cox
ALTERNATIVE NAMES
SHORT DESCRIPTION American economist
DATE OF BIRTH 31 July 1944
PLACE OF BIRTH New York
DATE OF DEATH
PLACE OF DEATH
Retrieved from "http://en.wikipedia.org/wiki/Robert_C._Merton"

This article is from Wikipedia. All text is available under the terms of the GNU Free Documentation License.