Robert C. Merton
Encyclopedia
Robert Carhart Merton is an American economist
, Nobel laureate in Economics, and professor at the MIT Sloan School of Management
.
and Suzanne Carhart. 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 and has held the John and Natty McArthur University Professorship since 1998. On June 11, 2010 it was announced that Merton would retire from Harvard and rejoin the MIT Sloan School of Management
. Merton also sits on the QFINANCE Strategic Advisory Board.
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.
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. He co-founded Long-Term Capital Management
, which lost $4.6 billion and was closed in early 2000. Merton is currently Resident Scientist at Dimensional Fund Advisors, where he is developing a next-generation integrated pension-management solution system that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans.
Merton received a B.S. in Engineering Mathematics from Columbia University, a M.S. in Applied Mathematics from California Institute of Technology and a Ph.D. in Economics from Massachusetts Institute of Technology.
.
In 1997, Merton was awarded the Nobel Memorial Prize in Economic Sciences
with Myron Scholes
for their work on stock options.
In 1999, Merton was awarded a lifetime achievement award in mathematical finance.
In 2005 the Baker Library at Harvard University opened The Merton Exhibit in his honor.
In 2010, Merton received the Kolmogorov medal.
Economist
An economist is a professional in the social science discipline of economics. The individual may also study, develop, and apply theories and concepts from economics and write about economic policy...
, Nobel laureate in Economics, and professor at the MIT Sloan School of Management
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
.
Biography
Merton was born in New York City to sociologist Robert K. MertonRobert K. Merton
Robert King Merton was a distinguished American sociologist. He spent most of his career teaching at Columbia University, where he attained the rank of University Professor...
and Suzanne Carhart. 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
Columbia University
Columbia University in the City of New York is a private, Ivy League university in Manhattan, New York City. Columbia is the oldest institution of higher learning in the state of New York, the fifth oldest in the United States, and one of the country's nine Colonial Colleges founded before the...
, a Masters of Science from the California Institute of Technology
California Institute of Technology
The California Institute of Technology is a private research university located in Pasadena, California, United States. Caltech has six academic divisions with strong emphases on science and engineering...
, and his doctorate in economics from the Massachusetts Institute of Technology
Massachusetts Institute of Technology
The Massachusetts Institute of Technology is a private research university located in Cambridge, Massachusetts. MIT has five schools and one college, containing a total of 32 academic departments, with a strong emphasis on scientific and technological education and research.Founded in 1861 in...
in 1970 under the guidance of Paul Anthony Samuelson. He then joined the faculty of the MIT Sloan School of Management
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
where he taught until 1988. Subsequently, Merton moved to Harvard University
Harvard University
Harvard University is a private Ivy League university located in Cambridge, Massachusetts, United States, established in 1636 by the Massachusetts legislature. Harvard is the oldest institution of higher learning in the United States and the first corporation chartered in the country...
, where he was George Fisher Baker Professor of Business Administration from 1988 to 1998 and has held the John and Natty McArthur University Professorship since 1998. On June 11, 2010 it was announced that Merton would retire from Harvard and rejoin the MIT Sloan School of Management
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
. Merton also sits on the QFINANCE Strategic Advisory Board.
Career
Robert C. Merton is the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management. He is University Professor Emeritus at Harvard University. Merton 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 method to determine the value of 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.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.
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. He co-founded Long-Term Capital Management
Long-Term Capital Management
Long-Term Capital Management L.P. was a speculative hedge fund based in Greenwich, Connecticut that utilized absolute-return trading strategies combined with high leverage...
, which lost $4.6 billion and was closed in early 2000. Merton is currently Resident Scientist at Dimensional Fund Advisors, where he is developing a next-generation integrated pension-management solution system that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans.
Merton received a B.S. in Engineering Mathematics from Columbia University, a M.S. in Applied Mathematics from California Institute of Technology and a Ph.D. in Economics from Massachusetts Institute of Technology.
Personal life
Merton was married to June Rose from 1966 to 1996. They have three children; two sons and one daughter.Honours and awards
In 1993, Merton became a member of the U.S. United States National Academy of SciencesUnited States National Academy of Sciences
The National Academy of Sciences is a corporation in the United States whose members serve pro bono as "advisers to the nation on science, engineering, and medicine." As a national academy, new members of the organization are elected annually by current members, based on their distinguished and...
.
In 1997, Merton was awarded the Nobel Memorial Prize in Economic Sciences
Nobel Memorial Prize in Economic Sciences
The Nobel Memorial Prize in Economic Sciences, commonly referred to as the Nobel Prize in Economics, but officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel , is an award for outstanding contributions to the field of economics, generally regarded as one of the...
with Myron Scholes
Myron Scholes
Myron Samuel Scholes is a Canadian-born American financial economist who is best known as one of the authors of the Black–Scholes equation. In 1997 he was awarded the Nobel Memorial Prize in Economic Sciences for a method to determine the value of derivatives...
for their work on stock options.
In 1999, Merton was awarded a lifetime achievement award in mathematical finance.
In 2005 the Baker Library at Harvard University opened The Merton Exhibit in his honor.
In 2010, Merton received the Kolmogorov medal.
Publications
- Merton: Theory of rational option pricing (1971)http://www.archive.org/details/theoryofrational00mert
External links
- Page at the Harvard Business School
- PBS, Nova – Trillion Dollar Bet (2000)
- 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
- Trinsum Group profile
- IDEAS/RePEc