Robert C. Merton
Robert C. Merton | |
|---|---|
Merton in 2010 | |
| Born | Robert Cox Merton 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 ICAPM Merton's portfolio problem Merton model Fractional Finance Long-Term Capital Management |
| Father | Robert K. Merton |
| Awards | Nobel Memorial Prize in Economic Sciences (1997) |
| Scientific career | |
| Fields | Finance, economics |
| Institutions | Massachusetts Institute of Technology Harvard University |
| Doctoral advisor | Paul Samuelson |
| Doctoral students | Jonathan E. Ingersoll Robert Jarrow |
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 1997 Merton together with Myron Scholes were awarded the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel for the method to determine the value of derivatives.
Merton was on the board of directors of Long-Term Capital Management (LTCM), a highly leveraged hedge fund that collapsed in 1998, wiping out most of the value paid in by the investors, and requiring a $3.6 billion bailout from a group of 14 banks, in a deal brokered and put together by the Federal Reserve Bank of New York.
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.