Robert C. Merton
From Wikipedia, the free encyclopedia
- This article is about the economist. For the sociologist, see Robert K. Merton.
| Robert C. Merton | |
 Robert C. Merton
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| Born | July 31, 1944 New York |
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| Residence |  U.S. |
| Nationality | American |
| Fields | Finance, Economics |
| Institutions | Harvard University 1988- MIT 1970-87 |
| Alma mater | Columbia University (B.S. - Engineering Mathematics), 1966 Caltech (M.S. - Applied Mathematics), 1967 MIT (Ph.D. - Economics), 1970 |
| Doctoral advisor | Paul Samuelson |
| Known for | Black–Scholes model ICAPM Merton's portfolio problem Jarrow-Turnbull model Long-Term Capital Management |
| Notable awards | Nobel Prize in Economics (1997) Lifetime Achievement in Mathematical Finance (1999) |
Robert Cox Merton (born 31 July 1944 in New York City, New York), is an American economist.
Merton, the son of Robert K. Merton, 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] [2]. 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 Prize in Economic Sciences with Myron Scholes for their work on stock options. In 1998, LTCM, a hedge fund of which Merton was a partner, was at the center of a liquidity crisis after losing $4.6 billion in less than four months. The Federal Reserve facilitated a group of 19 firms whom provided sufficient liquidity for the banking system to survive, yet Merton's firm folded. In 1999, Merton was awarded a lifetime achievement award in mathematical finance [3].
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. In 2006, Merton developed SmartNest, a pension management solution that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans. SmartNest Case Study
In 2007, Merton was hired as Chief Science Officer of Trinsum Group, a financial advisory firm.
[edit] See also
[edit] External links
- Page at the Harvard Business School
- PBS, Nova - Trillion Dollar Bet (2000)
- Press Release: The Sveriges Riksbank (Bank of Sweden) Prize in Economic Sciences in Memory of Alfred Nobel for 1997
- Doctoral Dissertation
- Trinsum Group profile
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| Persondata | |
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| 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 | |
