Robert C. Merton

Infobox Scientist
name = Robert C. Merton


image_size = 180px
birth_date = Birth date and age|1944|7|31|mf=y
birth_place = New York City, New York, U.S.
nationality = United States
field = Finance, Economics
work_places = Harvard University
MIT
alma_mater = Columbia University
Caltech
MIT
doctoral_advisor = Paul Samuelson
doctoral_students =
known_for = Black–Scholes model
ICAPM
Merton's portfolio problem
Merton Model
Jarrow-Turnbull model
Long-Term Capital Management
prizes = 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.

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. [cite web | author=Faculty research Department | title=Biography - Robert C. Merton | url=http://dor.hbs.edu/fi_redirect.jhtml?facInfo=bio&facEmId=rmerton&loc=extn | publisher=Harvard Business School | date=2008 | accessdate=2008-08-30] 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.

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. [cite book
title=The Age of Turbulence: Adventures in a New World
last=Greenspan
first=Alan
year=2007
page=193-195
id=ISBN 978-1-59420-131-8
publisher=The Penguin Press] .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. [http://www.bu.edu/mfd/mfdmerton.pdf]

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. [ [http://www.library.hbs.edu/hc/exhibits/merton/about.htm Baker Library: About the Merton Exhibit ] ] In 2006, Merton developed SmartNest, a pension management solution that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans. [ [http://www.secventures.com/cs_client_case_studies.html SmartNest Case Study] ]

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

ee also

*List of economists

References

External links

* [http://pine.hbs.edu/external/facPersonalShow.do?pid=6511 Page at the Harvard Business School]
* [http://www.pbs.org/wgbh/nova/stockmarket/ PBS, "Nova" - Trillion Dollar Bet (2000)]
* [http://alop.atspace.com/tui/merton-press.html Press Release: The Sveriges Riksbank (Bank of Sweden) Prize in Economic Sciences in Memory of Alfred Nobel for 1997]
* [http://dspace.mit.edu/handle/1721.1/13875 Doctoral Dissertation]
* [http://www.trinsum.com/about_leadership.html Trinsum Group profile]
* [http://ideas.repec.org/f/pme203.html IDEAS/RePEc]

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=