Robert
C. Merton
Education
B.S., Columbia University
(Engineering Mathematics), 1966
M.S., California Institute of Technology (Applied Mathematics), 1967
Ph.D., Massachusetts Institute of Technology (Economics), 1970
Honorary
Degrees
Masters
of Arts, Harvard University, 1989
Doctor of Laws, University of Chicago, 1991
Professeur Honoris Causa, Hautes Etudes Commerciales (France), 1995
Doctor of Economic Science (honoris causa), University of Lausanne, 1996
Doctoris Honoris Causa, University Paris-Dauphine, 1997
Doctor of Management Science (honoris causa), National Sun Yat-sen University,
1998
Doctor of Science (honoris causa), Athens University of Economics and Business,
2003
Doctor Honoris Causa , Universidad Nacional Mayor de San Marcos, Lima, Peru,
2004
Doctor of Philosophy Honoris Causa, Universidad Nacional Federico Villarreal,
Lima, Peru, 2004
Doctor of Science, Honoris
Causa, Claremont Graduate University, 2008
Honored
Professor, Saint-Petersburg University of Management and Economics, St.
Petersburg, Russia, 2011
Academic
Appointments
School
of Management Distinguished Professor of Finance, A.P.
Sloan School of Management, Massachusetts Institute of Technology, 2010-
University
Professor Emeritus, Harvard University, 2010-
John
and Natty McArthur University Professor, Graduate School of Business
Administration, Harvard University,1998-2010
George Fisher Baker Professor of Business Administration, Graduate School of
Business Administration, Harvard University, 1988-1998
Invited Professor of Finance, Faculte des Sciences Economiques, Universite de
Nantes, 1993
Visiting Professor of Finance, Graduate School of Business Administration,
Harvard University, 1987-1988
J.C. Penney Professor of Management, A.P. Sloan School of Management,
Massachusetts Institute of Technology,1980-1988
Assistant Professor of Finance, 1970-73, Associate Professor, 1973-74;
Professor 1974-80, A.P. Sloan School of Management, Massachusetts Institute of
Technology
Research Associate, National Bureau of Economic Research ,1979-
Instructor, Department of Economics, Massachusetts Institute of Technology,
1969-1970
Research Assistant to Paul Samuelson, Massachusetts Institute of Technology,
1968-1970
Other Professional
Appointments
Current:
Resident
Scientist, Dimensional Fund Advisors 2009-
Chairman, Board of Directors, Daedalus Software, Inc. 2008-
Member,
Board of Directors, Vical Inc.
2002-
Member, Advisory Board, Institute of Global Finance, Australian School of
Business, The University of New South Wales, Sydney, Australia, 2011-
Member
Quantitative Finance Advisory Board, Department of Applied Mathematics and
Statistics, Stony Brook University 2009-
Member, Board of Advisors, Santa Clara University Center for Innovation in
Finance & Investment 2008-
Member, International Advisory Board, Middle East Science Fund 2008-
Member, Board of Policy Advisers, Chinese Academy of Sciences Research Center
on Fictitious Economy & Data Science 2008-
Member, Competitive Markets Advisory Council, CME Group 2004-
Member, Academic Advisory Board, Real Options Group 1999-
Past:
Member,
The Committee on Yen Risk-free-rate Model Estimation, 2011
Member, MIT
Sloan Finance Group Advisory Board
2008-2010
Member, Board of Directors, Peninsula Banking Group 2003-2010
Member, Board of Directors, Community First Financial Group 2003-2010
Member, Board of Directors, Dimensional Funds 2003-2009
Member, Board of Directors, MF Risk, Inc. 2001-2009
Senior Advisor, Platinum Grove Asset Management 2008
Chief Science Officer, Trinsum Group 2007-2008
Member, Board of Directors, Trinsum Group 2007-2008
Member, Board of Directors, Integrated Finance Limited 2002-2007
Co-Founder, Chief Science Officer, Integrated Finance Limited 2002-2007
Managing Director, J.P. Morgan Chase 2001
Senior Advisor, J.P. Morgan & Company, Inc. 1999-2000
Co-Founder, Management Committee, Long-Term Capital Management, L.P. 1993-1999
Senior Advisor, Salomon Inc. 1988-1992
Member, Board of Trustees, College Retirement Equities Fund 1988-1996
Member, Board of Directors, Travelers Investment Management Company 1987-1991
Member, Board of Directors, ABT Investment Series 1983-1988
Member, Board of Directors, ABT Utility Income Fund 1982-1988
Member, Board of Trustees, ABT Growth and Income Trust 1982-1988
Member, Board of Directors, Nova Fund 1980-1988
Member, Advisory Board, AlphaSimplex Group, Cambridge, MA 2001-2007
Member, Advisory Board, nuServe 2001-
2004
Member, Advisory Board, eCredit.com 2000-2002
Elected
Societies and Positions
Member, Tau Beta Pi, Columbia
University, 1965
Member, Sigma Xi, Massachusetts Institute of Technology, 1970
Director, American Finance Association, 1982-84; 1987-88
Fellow, Econometric Society, 1983-
Fellow, American Academy of Arts and Sciences, 1986-
President, American Finance Association, 1986
Vice President, The Society for Financial Studies, 1993
Member, National Academy of Sciences, 1993-
Senior Fellow, International Association of Financial Engineers, 1994-
Distinguished Fellow, Institute for Quantitative Research in Finance ('Q
Group'), 1997-
Honorary Member, the Bachelier Finance Society, 1997-
Member, The Honorable Order of Kentucky Colonels, Commonwealth of Kentucky,
1999-
FMA Fellow, Financial Management Association, 2000-
Fellow, Society of Fellows, American Finance Association, 2000-
Member, Honorary Board, The International Raoul Wallenberg Foundation, 2003-
Member, Honorary Board, Angelo Roncalli International Committee, 2003-
Awards
1964
Faculty Scholar Award, Columbia University
1971-72 Salgo-Noren Award for Excellence in Teaching, Massachusetts Institute
of Technology
1977-78 Graduate Student Council Teaching Award, Massachusetts Institute of
Technology
1983 Leo Melamed Prize, University of Chicago
1985, 1986 First Prize, Roger Murray Prize Competition, Institute for
Quantitative Research in Finance
1989 Distinguished Scholar Award, Eastern Finance Association
1993 International INA - Accademia Nazionale dei Lincei Prize, National Academy
of Lincei, Rome
1993 FORCE Award for Financial Innovation, Fuqua School of Business, Duke
University
1993 Financial Engineer of the Year Award, International Association of
Financial Engineers
1997 Alfred Nobel Memorial Prize in Economic Sciences http://www.library.hbs.edu/hc/exhibits/merton/view/
1997 'Heroes Among Us,' Boston Celtics, Boston
1998 Inducted, Derivatives Hall of Fame, Derivatives Strategy Magazine
1998 Michael I. Pupin Medal for Service to the Nation, Columbia University
1999 Distinguished Alumni Award, California Institute of Technology
1999 Mathematical Finance Day Lifetime Achievement Award, Boston University
2002 Risk Hall of Fame, Risk Magazine
2003 Lifetime Achievement Award, Risk Magazine
2003 Nicholas Molodovsky Award, Association for Investment Management and
Research (now CFA Inst.)
2004 Graham and Dodd Award for the Best Perspectives Article in 2003, Financial
Analyst Journal
2005 Establishment of The Robert C. Merton (1970) Professorship in Financial
Economics, Massachusetts Institute of Technology
2006 PRIMIA Higher Standard Award, Professional Risk Managers' International
Association
2007 40 People of Power & Influence in Finance during the last 40 Years,
40th Anniversary, Institutional Investor magazine
2007 Profile, 20th Anniversary, Risk Magazine
2008 Distinguished Finance Educator Award, Financial Education Association
2008 First Annual Award for Foundational Contributions to Finance, Owen School
of Management, Vanderbilt University
2009 Robert A. Muh Award in the Humanities, Arts, and Social Sciences, MIT
2009 Tjailing C. Koopmans Asset Award, Tilburg University
2009 Award of Excellence, The Hall of Excellence, Hastings-on-Hudson High
School
2009 Sigma Xi, The Scientific Research Society, Life Member
2010 LECG Award for Outstanding Contributions to Financial Economics
2010 Kolmogorov Medal, University of London
2010
Hamilton Medal, Royal Irish Academy
2011
CME Group Fred Arditti Innovation Award
Selected
Lectures
1975 Distinguished Speaker Lecture, Western Finance Association
1985 Mortimer Hess Memorial Lecture, Association of the Bar of the City of New
York
1988 12th Annual Lecture, Geneva Association, Paris
1992 Scholl Chair in Finance Distinguished Speaker Lecture, DePaul University
1993 Lecture, Discussion Meeting on Mathematical Finance, The Royal Society,
London
1993 Keynote, 10th International Conference in Finance, Association Francaise
de France
1994 AEA/AFA Speaker, Allied Social Sciences Meetings
1994 Speaker, International Monetary Conference, London
1995 Lecture, Newton Institute Seminar, Isaac Newton Institute for Mathematical
Sciences, Cambridge
1995 Keynote, 12th International Conference in Finance, Association Francaise
de France
1995 Keynote, 25th Anniversary, Financial Management Association
1996 Oxford University Press and Massachusetts Institute of Technology Sloan
School of Management Distinguished Lectures in Business, Massachusetts
Institute of Technology, Cambridge
1996 Donor's Lecture, London Business School, London
1996 Inaugural, Dean's Research Seminar, Harvard Business School
1996 Faculty Inaugural Session, University of Lausanne
1996 Paolo Baffi Lecture on Money and Finance, Bank of Italy, Rome
1997 Edgar Lorch Memorial Lecture, Sigma Xi, Columbia University
1998 Lionel McKenzie Lecture, University of Rochester
1998 Martin H. Crego Lecture, Vassar College
1998 I.E. Block Community Lecture, Society for Industrial and Applied
Mathematics
1999 Keynote, Risk Magazine's 5th Annual Derivatives and Risk Management
Congress, Boston
2000 Speaker, Boston Economic Club
2000 Speaker, Finance 2000, Boston University
2000 Keynote, First World Congress of Bachelier Finance Society, Paris
2000 Keynote, IMF/World Bank Meetings, Prague
2000 Keynote, Kyoto Symposium, Tokyo
2001 First Nomura Lecture, Mathematical Institute, University of Oxford
2001 Keynote, European Finance Association, Barcelona
2001 First Nash Distinguished Lecture in Quantitative Finance, Carnegie-Mellon
University, Pittsburgh
2001 Nobel Centennial, Economics Department, Lund University
2001 Nobel Centennial, Stockholm Institute for Financial Research
2001 Nobels in Venice 2001 - III MILLENNIUM COLLOQUIA
2002 Commencement Speaker, Master of Financial Engineering, Haas School of
Business, University of California
2002 Keynote, De Nederlandsche Bank Conference, Amsterdam
2002 Fourth Geneva Conference on the World Economy, International Centre for
Monetary and Banking Studies, Geneva
2002 Universita degli Studi di Brescia, Italy
2002 Bocconi University, Milan
2002 Third Millennium Colloquium, Venice
2002 Keynote, 8th Annual Risk Management Conference, ICBI, Geneva
2003 Keynote, Conference on International Accounting Standards, Harvard Law
School
2003 Keynote, Annual Meeting Conference, Association of Investment Management
and Research, Phoenix
2003 Keynote, 6th Hellenic European Conference on Computer Mathematics and Its
Applications, Athens University of Economics and Business
2003 Keynote, 10th Anniversary Risk Management Conference, ICBI, Geneva
2004 Isaacs-Jonas Entrepreneurship Lecture, School of Engineering and Applied
Science, Columbia Univ.
2004 Universidad Nacional Mayor de San Marcos, Lima Peru
2004 XIV National Congress of Students of Economics, Peru
2004 Central Bank of Peru, Lima
2004 Nobels in Venice Conference, Venice
2004 Lindau Nobel Prize Winners' Conference, Lindau, Germany
2004 Keynote, 14th Annual Derivative Securities and Risk Conference, Cornell
University
2004 Keynote, Institute for Quantitative Research in Finance ('Q Group'), Paris
2004 Annual Meeting of Board of Governors, Inter-American Development Bank,
Lima Peru
2004 Keynote, 11th Annual Risk Management Conference, ICBI, Geneva
2005 Political Economy Lecture Series, Department of Economics, Harvard
University
2005 Keynote, Mathematical Finance Seminar, The Courant Institute of
Mathematical Sciences, New York University
2005 Petra Conference of Nobel Laureates, Jordan
2005 Business Leadership Forum, Instituto de Empresa, Madrid
2005 Keynote, 12th Annual Risk Management Conference, ICBI, Geneva
2006 Nancy Schwartz Memorial Lecture, Northwestern University
2006 Keynote, 40th Anniversary Conference Q Group
2006 Keynote, 13th Annual Risk Management Conference, ICBI, Geneva
2007 Keynote, 14th Annual Risk Management Conference, ICBI, Geneva
2007 60th CFA Institute Anniversary Conference, New York
2007 Daimler Series Lecture, Guanghua School of Management, Peking University,
Beijing
2007 Lecture, "Observations on Sovereign Wealth and QDII Management:
Commercial Opportunities," Asset Managers Association, Shanghai
2008
Keynote, Silver Industry Conference, Singapore
2008 Seminar, National University of Singapore, Singapore
2008 London Business School Distinguished Speaker Lecture
2008 Seminar, CIEBA Meeting Washington, DC
2008 Keynote, Harvard University Law School Islamic Finance Forum
2008 Keynote, HBS Centennial Event, Mexico
2008 Keynote, Boston College Finance Conference, Boston
2008 Lecture, Claremont Graduate
University, “From Stochastic Integrals to Integrated Finance”
2008
Marjolin Lecture 27th SUERF Colloquium, Munich
2008 Opening Speech, Aix-en-Provence Economic Forum, Marseille
2008 Keynote, Stochastic Economic Dynamics and Finance Symposium, Denmark
2008 Central Bank of Denmark
2008 Boston University, "The Future of Life-Cycle Saving and Investing
Conference"
2008 Lecture, 3rd Meeting of Nobel Laureates in Lindau,
“Observations on Financial Crisis”
2008
Den Haag, Conference on Risk Management, “Observations on Risk Propagation and
the Dynamics of Macro Financial Crisis”
2008 Owen Graduate School of Management, Vanderbilt University, Conference
on Financial Innovation
2008, 3rd Risk Management Conference of Union Investment, Frankfurt,
“Transparency, Risk Management and International Financial Fragility”
2008
Keynote, 15th Annual Risk Management Conference, ICBI, Geneva
2008 Keynote, Global Financial Linkages, Transmission of Shocks, and Asset
Prices Conference, European Central Bank, Frankfurt
2008 Finance Lecture, Goethe University, Frankfurt
2009 Harvard Institute for Learning in Retirement
2009 Harvard Business School Global Economic Crisis "Deep Dive"
Seminar
2009 IMF Asset Managers Roundtable, Washington, DC
2009 Columbia School of Engineering and Physical Science Research Panel
2009 Keynote, Institutional Money Congress Frankfurt
2009 Robert A. Muh Lecture, MIT
2009 Keynote, Conference - Facing the Crisis: Economic and Social Policies for
Turbulent Times, 50th Anniversary of the Inter-American Development Bank,
Medellin, Colombia
2009 Van Lanschot Lecture, Tilburg University, Holland
2009 Keynote, European Financial Management Association, Milan
2009 Keynote, World Glaucoma Congress, Boston
2009 Keynote, Money and Banking Conference, Central Bank of Argentina
2009 CME Global Financial Leadership Conference, Chicago Mercantile Exchange
2010 European Colloquia Series: Towards a New Architecture, London
2010
Kolmogorov Lecture, University of London
2010
Nathan and Beatrice Keyfitz Lecture, Fields Institute, Toronto
2010 Speech, “Chile’s Road to
Development” meeting, Presidential Palace, Santiago, Chile
2010 9th Carroll Round Lecture,
Georgetown University
2010 Cambridge Science Festival 2010: "Lunch with a Laureate" Series,
MIT Museum
2010 Keynote, 2010 FIAP International Seminar: Developing the Potential of the Individually
Funded Pension Systems, Chile
2010 Keynote, “Observations on
Credit Risk Propagation, Guarantees & Financial Reforms,” Chile Day, New
York
2010 Annual CME Group Lecture on
Financial Markets, “Financial Innovation and the Future of Risk,” Chicago
Council on Global Affairs
2010 9th Hamilton
Lecture, “Observations on Mathematical Finance,” Royal Irish Academy
2010 Keynote, West Coast DC
Conference Pensions & Investments, “Next Generation Retirement Planning,”
San Francisco
2010 Lecture, Ohio State
University, “History of Option Pricing Model,” American Finance Association,
History Project
2011 Speech, De Nederlandsche
Bank, Amsterdam
2011 Lecture, MIT150 Symposium,
MIT, Cambridge
2011 Speech, State of Financial
Reform Conference, Boston University, Boston
2011 Keynote, Midwest Finance
Association Conference, Chicago
2011 Keynote, Financial Education
and Consumer Protection Conference, Boston University & Boston Federal
Reserve
2011 Keynote, Fourth
International Congress-FIAP Asofondos, Cartagena, Colombia
2011 Keynote, National
Association of Pension Funds, Investment Conference, Edinburgh, Scotland
2011 Keynote, Annual Conference,
International Association of Financial Engineers, New York City
2011 Keynote, First Annual
Dimensional DC Conference, Chicago
2011 Distinguished Speaker, HBS
PRIMO, Harvard University, Cambridge
2011 Nobel Panel on Future of
Finance, European Finance Association, Stockholm, Sweden
2011 Keynote, Stockholm Institute
for Financial Research, Stockholm, Sweden
2011 Seminar, Federal Reserve
Bank of New York, NY
2011 Systemic Risk Conference,
Federal Reserve Bank of New York, NY
2011 Keynote, MIT Sloan CFO
Summit Conference, Newton, MA
2011 Keynote, Eversheds 6th
Annual Pension Conference, London, UK
Advisory
and Editorial Boards
Current:
Co-editor, Annual Review of
Financial Economics, 2007-
Advisory
Editor, Review of Development Finance, 2009-
Advisory Board, Journal of Applied Corporate Finance, 2008-
Advisory Board, Journal of Financial Literature, 2004-
Advisory Board, Annals of Finance, 2004-
Advisory Board, Journal of Investment Management, 2002-
Advisory Board, North Holland Series of Handbooks in Finance, 2000-
Advisory Board, International Journal of Theoretical & Applied Finance, 1997-
Advisory Board, Brookings-Wharton , 1997-
Advisory Board, Journal of Financial Education, 1995-
International Board of Scientific Advisers, Tinbergen Institute, 1995-
Advisory Board, Review of Derivatives Research, 1993-
Advisory Board, Japan Financial Economics Association, 1993-
Associate
Editor, Journal of Fixed Income, 1991-
Advisory Board, Mathematical Finance, 1989-
Editorial Board, Finance India, 1988-
Past:
Advisory Council, Financial
Analysts Journal, 2003-2009
Advisory Board, Journal of Banking and Finance, 2003-2007
Advisory Board, Review of Finance (formerly European Finance Review),
1996-2005
Associate Editor, Journal of Banking and Finance, 1977-1979,1992-2003
Advisory Board, Center for Global Management and Research, George Washington University,
1996-2000
Advisory Board, The New Palgrave Dictionary of Money and Finance, 1989-1992
Selection Editor, Papers and Proceedings, Journal of Finance, July 1986
Co-Editor, Journal of Financial Economics, 1974-1977
Associate Editor, Geneva Papers on Risk and Insurance, 1989-1996
Associate Editor, Journal of Financial Economics, 1977-1983
Associate Editor, Journal of Money, Credit and Banking, 1974-1979
Associate Editor, Journal of Finance, 1973-1977
Associate Editor, International Economic Review, 1972-1977
Founding Committee, Review of Financial Studies, 1986
Interviews
Columbia University School of Engineering Award, 1998
Profile: Robert C. Merton in
Quantitative Finance, Vol 2 Issue 2, April 2002 http://quant.iop.org
"Too Young to Retire," interview by Rutger Vahl, DNB Magazine,
a publication of the Dutch Central Bank, no. 3/4, 2002
"A Model Mind," CFA Magazine , July-August 2004, interview with
Roger Mitchell
"'Hedge funds' are a safety valve" interview Madrid, Spain,
October 2005
"Harvard's Financial Scientist," by Peter Carr, Bloomberg
Markets, October 2006
"CFOs : Don't forget pension funds," interview by Joel
Chernoff, Pensions and Investments, December 11, 2006
"Derivatives provide security," interview by Kris van Hammet,
Het Financiale Dagblad, Spring 2007
"Power & Influence," interview by Michael Peltz,
Institutional Investor, p. 91, May 1, 2007
A model prophet," interview by Navroz Patel, Risk, V. 20 N. 6
July 2007, p. 40
"Don argues against annuity with refund," interview by Jeremy
Au Yong, The Straits Times, January 11, 2008, Singapore.
"On Markets and
Complexity," interview by Nate Nickerson, Technology Review, April 2/2008
"We have all
learned," Interview, Institutional Money, 8/3/2007.
Bloomberg Television,
Interview: Financial Risk, Now versus the Past, November 2007, Bloomberg
Television, Singapore
Nobel Prize: Nobel
Thinkers: Robert C. Merton
Nobel Prize: Nobel
Thinkers: Paul A. Samuelson
Scully The World
Show 2008, Nobel Laureates Series, Interview
"Under the
Hood: Retirement Engine Rebuilt," Right Now, Harvard Magazine, January-February 2009, 9-10
"Lehman
failliet laten gaan was fout," interview by Marike Stelligna, Elsevier,
The Netherlands
"Whodunit?," interview by Dan Tudball, Wilmott Magazine,
England, May 2009, pp. 32-45
Scully
the World Show 2010, Interview
“A
Simple No-Hands Super Plan,” interview by Barrie Dunstan, Australian Financial Review, Aug. 24, 2010
Scully
the World Show 2011, Entrepreneur Series Interview
MIT150
Infinite History Project, April 2011
Asset/Econometrics Magazine, “The
Black-Scholes Model in Context: An Interview with Robert C. Merton” Nekst 4,
June 2011, Volume 19, pages 40-43,Tilburg
University, Netherlands, April 2011
“Next-Generation
Retirement Planning: An Interview with Robert C. Merton,” DC Dimensions, Vol.
1, July 2011
“Road
Testing a New Pension Approach,” Project
M, Allianz Global Investors, Spetember 2011
Bloomberg
Radio, Interview, “Mario Draghi, New Head of ECB,” November 2011
Video:
Speeches and Seminars
1997 Nobel Prize
1997 Nobel Prize Press Conference Harvard Business School
Haas School of Business video of Commencement Speech by Robert C. Merton
2001 Business, Government and the International Economy, Robert C. Merton
and Paul Samuelson, Nov. 19
2001 First Nomura Lecture, Mathematical Institute, University of Oxford
2001 Keynote, European Finance Association, Barcelona
2001 First Nash Distinguished Lecture in Quantitative Finance,
Carnegie-Mellon University, Pittsburgh
2002 Baker Library FEA
2003 NewsHour with Jim Lehrer, July 20, 2003, with Robert C. Merton on
Stock Options
2003 Robert C. Merton Keynote Speech at 2003 AIMR Annual Conference
2004 Financial Engineering Graduation Speech, UC Berkeley
2006 Celebrating the Robert C. Merton Professorship, MIT Sloan School of
Management, March 28
2006 "How to Pursue Both Comparative Advantage and Efficient
Diversification Risk: An Application of Derivative Securities", Nancy
Schwartz Memorial Lecture, Northwestern University, April 5,
2006 View Video.
2006 "Future of Personal Finance", Boston University-Boston
Federal Reserve Conference, October 26
2007 CFA Institute Annual Conference, May 2
2008 Keynote, Silver Industry Conference, Singapore
2008 Seminar, National University of Singapore, Singapore
2008 Chicago Board Options Exchange (CBOE) Panel Discussion reported
in Barron's by Steven M. Sears,
May 12, P. 52
2008 Harvard Business School Panel, "Turmoil on the Street:
Fathoming the Financial Crisis," September 23
2008 Harvard University Panel, "Understanding the Crisis in the
Markets: A Panel of Harvard Experts," September 25
2008 Boston University, "The
Future of Life-Cycle Saving & Investing Conference," October 23
2008 Owen Graduate School of Management, Vanderbilt University,
Conference on Financial Innovation: 35 Years of Black/Scholes and Merton,
October 16
2009 Columbia School
of Engineering and Physical Science Research Panel
2009 Robert A. Muh Award in the
Humanities, Arts, and Social Sciences, MIT
2009 Harvard Business
School Spring Reunion, "Observations on the Financial Crisis"
2009 Keynote,
European Financial Management Association, Milan
Areas
of Interest
Primary
Interests
·
lifecycle finance
·
dynamics of financial institutional
change
Additional
Topics
Industries
·
banking
Publications,
Working Papers and Case Materials
Books
Lo,
Andrew W. and Robert C. Merton, eds., Annual Reviews of Financial
Economics, Volume 1,
Palo Alto: Annual Reviews, 2009.
Lo,
Andrew W. and Robert C. Merton, eds. Annual
Reviews of Financial Economics, Volume 2, Palo Alto: Annual Reviews 2010.
Lo,
Andrew W. and Robert C. Merton, eds., Annual
Reviews of Financial Economics, Volume 3, Palo Alto: Annual Reviews 2012.
Bodie, Zvi, Robert C. Merton, and
David L. Cleeton. Financial Economics.
2nd ed. N.J.: Prentice Hall, 2009. (Translated into Korean, Chinese and
Hungarian.)
Lim, Terence, Andrew W. Lo, Robert
C. Merton, and Myron S. Scholes. The Derivatives
Sourcebook. Foundations and Trends in Finance.
Now Publishers, 2006.
Draghi, Mario, Francesco Giavazzi,
and Robert C. Merton. Transparency, Risk
Management and International Financial Fragility.
Vol. 4, Geneva Reports on the World Economy. International Center for Monetary
and Banking Studies, 2003.
Bodie, Zvi, and Robert C. Merton. Finance.
N.J.: Prentice Hall, 2000. (Translations in modern and traditional Chinese,
Japanese, Spanish, Portuguese, French, Russian, Korean, and Polish.)
Mason, Scott P., Robert C. Merton,
André F. Perold, and Peter Tufano. Teacher's Manual for Cases in
Financial Engineering: Applied Studies of Financial Innovation. Prentice
Hall, 1996.
Crane, D. B., K. A. Froot, Scott P.
Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano. The
Global Financial System: A Functional Perspective. Boston: Harvard Business
School Press, 1995.
Mason, Scott P., Robert C. Merton,
André Perold, and Peter Tufano. Cases in Financial Engineering: Applied
Studies of Financial Innovation. Englewood Cliffs: Prentice Hall, 1995.
Merton, Robert C. Continuous-Time
Finance. Oxford, U.K.: Basil Blackwell, 1990. (Rev. ed., 1992.)
Merton, Robert C., ed. The
Collected Scientific Papers of Paul A. Samuelson. Vol. 3. Cambridge, Mass.:
MIT Press, 1972.
Published
Papers and Articles
Merton, Robert C. and Jan Snippe, “Dutch Not Facing
Up to Pension Troubles,” Financial Times, September 27, 2011.
Merton, Robert C. "Tribute to Paul A.
Samuelson." Journal of Portfolio
Management 36, no. 2 (winter 2010): 1.
Merton, Robert C., and Jan Snippe.
"Transparantie in
pensioensector nog ver te zoeken (Adjusted Actuarial Cost Price Conflicts with
Transparency Requirement)." Financieele Dagblad,
March 4, 2010.
Merton, Robert C. "Solutions for the
Future." Pensions Insight, January 2010.
Kaplan, Robert, Robert C. Merton,
and Scott Richard. "Disclose the Fair
Value of Complex Securities." FT.com, August 2009. (op-ed.)
Merton, Robert C. "MIT Roundtable on
Corporate Risk Management." Journal of Applied
Corporate Finance 20, no. 4 (fall 2008): 20-38.
Merton, Robert C. "Applying Modern Risk
Management to Equity and Credit Analysis." CFA
Institute Conference Proceedings Quarterly 24 (December 2007): 14-22.
Gray, Dale . F., Robert C. Merton,
and Zvi Bodie. "Contingent Claims
Approach to Measuring and Managing Sovereign Credit Risk."
Special Issue on Credit Analysis. Journal of Investment Management 5,
no. 4 (Fourth Quarter 2007): 5-28.
Merton, Robert C. "Allocating
Shareholder Capital to Pension Plans." Journal of Applied Corporate
Finance 18, no. 1 (winter 2006): 15-24.
Merton, Robert C. "Observations on
Innovation in Pension Fund Management in the Impending Future."
PREA Quarterly (winter 2006): 61-67.
Merton, Robert C. "Paul
Samuelson and Financial Economics." American Economist 50, no. 2
(fall 2006): 262-300.
Jin, Li, Robert C. Merton, and Zvi
Bodie. "Do a Firm's Equity
Returns Reflect the Risk of Its Pension Plan?" Journal
of Financial Economics 81, no. 1 (July 2006): 1-26.
Mendoza, Roberto G., and Robert C.
Merton. "Made to Measure Is
the Best Fit for Future Pensions." Op-Ed. The Financial
Times, January 6, 2006.
Merton, Robert C. "You Have More
Capital than You Think." Harvard Business Review
83, no. 11 (November 2005): 84-94.
Hancock, Peter, Roberto G. Mendoza,
and Robert C. Merton. "A Proposal for
Expensing Employee Compensatory Stock Options for Financial Reporting Purposes."
Journal of Applied Corporate Finance 17, no. 3 (summer 2005): 95-101.
Merton, Robert C. "Swapping
Your Country's Risks." Breakthrough Ideas for 2005. Harvard Business
Review 83, no. 2 (February 2005): 34-36.
Merton, Robert C., and Zvi Bodie.
"The Design of
Financial Systems: Towards a Synthesis of Function and Structure."
Journal of Investment Management 3, no. 1 (First Quarter 2005): 1-23.
(Was Harvard Business School Working Paper No. 02-074, 2002.) (Reprinted in
Chinese in Journal of Comparative Studies, Issue 17, March 2005.)
Merton, Robert C. "The Real
Problem with Pensions." Forethought. Harvard Business Review 82,
no. 12 (December 2004): 21-22.
Merton, Robert C. "Foreword: On
Financial Innovation and Economic Growth." Harvard
China Review (spring 2004): 2-3.
Mendoza, Roberto G., Robert C.
Merton, and Peter Hancock. "A Simple Way to
Value Stock Options." The Financial Times,
April 2, 2004, 13.
Bodie, Zvi, Robert S. Kaplan, and
Robert C. Merton. "Footnote Reporting Distorts Impact of Stock
Options." The Boston Globe, March 16, 2003.
Bodie, Zvi, Robert S. Kaplan, and
Robert C. Merton. "For the Last Time:
Stock Options Are an Expense." Harvard Business Review
81, no. 3 (March 2003): 62-71. (HBS Reprint #R0303D.)
Mendoza, Roberto G., Peter Hancock,
and Robert C. Merton. "A Better Way to Motivate Staff." The
Financial Times, August 8, 2003.
Merton, Robert C. "Thoughts on the
Future: Theory and Practice in Investment Management."
Financial Analysts Journal 59, no. 1 (January/February 2003): 17-23.
(Winner of the 2003 Graham and Dodd Award for Best Perspectives Article.
Reprinted in Harvard College Investment Magazine, spring 2005.)
Bodie, Zvi, Robert S. Kaplan, and
Robert C. Merton. "Options Should be Reflected in the Bottom Line." The
Wall Street Journal, August 1, 2002.
Bodie, Zvi, and Robert C. Merton.
"International
Pension Swaps." Journal of Pension
Economics and Finance 1 (January 2002): 77-83.
Merton, Robert C., “Finance Theory
and Future Trends: The Shift to Integration,” Financial Management, 29 (Autumn
2000).
Merton, Robert C. "Commentary:
Finance Theory and Future Trends: The Shift to Integration." Risk
(July 1999): 48-50.
Merton, Robert C. "Applications of
Option-Pricing Theory: Twenty-Five Years Later."
American Economic Review 88, no. 3 (June 1998): 323-349.
Merton, Robert C. "A Model of Contract Guarantees for
Credit-Sensitive, Opaque Financial Intermediaries."
European Finance Review 1, no. 1 (January 1997): 1-13.
Merton, Robert C., and Myron
Scholes. "Fischer Black." Journal of Finance
50 (December 1995): 1359-1370.
Merton, Robert C. "Financial Innovation
and the Management and Regulation of Financial Institutions."
Journal of Banking and Finance 19 (July 1995): 461-481.
Merton, Robert C. "A Functional
Perspective of Financial Intermediation." Financial Management 24
(summer 1995): 23-41.
Bernard, Victor L., Robert C.
Merton, and Krishna G. Palepu. "Mark-to-Market
Accounting for Banks and Thrifts: Lessons from the Danish Experience."
Journal of Accounting Research 33, no. 1 (spring 1995): 1-32.
Merton, Robert C. "Influence of
Mathematical Models in Finance on Practice: Past, Present and Future."
Series A. Philosophical Transactions of the Royal Society of London 347
(June 1994): 451-463. (Reprinted in Financial Practice and Education,
spring 1995.)
Merton, Robert C., and André Perold.
"Theory of Risk Capital in Financial Firms." Journal of Applied
Corporate Finance 6, no. 3 (fall 1993): 16-32.
Merton, Robert C. "Financial
Innovation and Economic Performance." Journal of Applied Corporate
Finance 4, no. 4 (winter 1992): 12-22.
Merton, Robert C., and Z. Bodie.
"On the Management of Financial Guarantees." Financial Management
21 (winter 1992): 87-109.
Bodie, Zvi, and Robert C. Merton. "Pension
Reform and Privatization in International Perspective: The Case of
Israel." The Economics Quarterly 152 (August 1992). (Reprinted in
English in The Foundations of Pension Finance, Volume II, Zvi Bodie and
E. Philip Davis, eds., Edward Elger, 2000.)
Bodie, Zvi, Robert C. Merton, and
William Samuelson. "Labor Supply
Flexibility and Portfolio Choice in a Life-Cycle Model."
Journal of Economic Dynamics and Control 16, nos. 3-4 (July-October
1992): 427-449.
Merton, Robert C. "The
Financial System and Economic Performance." Journal of Financial
Services Research 4 (December 1990): 263-300.
Merton, Robert C. "On the
Application of the Continuous-Time Theory of Finance to Financial
Intermediation and Insurance." The Geneva Papers on Risk and Insurance
14, no. 52 (July 1989): 225-262. (Reproduced as Chapter 14 in Continuous-Time
Finance.)
Merton, Robert C. "In Honor of
Nobel Laureate, Franco Modigliani." Economic Perspectives 1 (fall
1987): 145-155.
Merton, Robert C. "A Simple
Model of Capital Market Equilibrium with Incomplete Information." Journal of Finance
42 (July 1987): 483-509.
Marsh, Terry A., and Robert C. Merton.
"Dividend Behavior for the Aggregate Stock Market." Journal of
Business 60 (January 1987): 1-40.
Merton, Robert C., and Terry A.
Marsh. "Dividend Variability and Variance Bounds Tests for the Rationality
of Stock Market Prices." American Economic Review 76, no. 3 (June
1986): 483-498.
Merton, Robert C., Myron S. Scholes,
and Matthew L. Gladstein. "The Returns and Risk of Alternative Put Option
Portfolio Investment Strategies." Journal of Business 55 (January
1982): 183-242.
Merton, Robert C., and Roy D.
Henriksson. "On Market Timing and
Investment Performance Part II: Statistical Procedures for Evaluating
Forecasting Skills." Journal of Business
54 (October 1981): 513-533.
Merton, Robert C. "On Market Timing and
Investment Performance Part I: An Equilibrium Theory of Value for Market
Forecasts." Journal of Business
54, no. 3 (July 1981): 363-406.
Merton, Robert C. "On Estimating the
Expected Return on the Market: An Exploratory Investigation."
Journal of Financial Economics 8 (December 1980): 1-39.
Merton, Robert C. "On the Cost
of Deposit Insurance When There Are Surveillance Costs." Journal of
Business 51, no. 3 (July 1978): 439-452. (Chapter 20 in Continuous-Time
Finance.)
Merton, Robert C., Myron S. Scholes,
and Matthew L. Gladstein. "The Returns and Risk of Alternative Call Option
Portfolio Investment Strategies." Journal of Business 51 (April
1978): 183-242.
Merton, Robert C. "On the Pricing of
Contingent Claims and the Modigliani-Miller Theorem."
Journal of Financial Economics 5 (November 1977): 241-249. (Chapter 13
in Continuous-Time Finance.)
Merton, Robert C. "An Analytic
Derivation of the Cost of Deposit Insurance and Loan Guarantees : An
Application of Modern Option Pricing Theory." Journal
of Banking and Finance 1 (June 1977): 3-11.
Merton, Robert C. "The Impact on Option
Pricing of Specification Error in the Underlying Stock Price Returns."
Journal of Finance
31, no. 2 (May 1976): 333-350.
Merton, Robert C. "Option Pricing When
Underlying Stock Returns are Discontinuous." Journal
of Financial Economics 3 (January-February 1976): 125-144. (Chapter 9 in Continuous-Time
Finance.)
Merton, Robert C. "Theory of Finance
from the Perspective of Continuous Time." Journal
of Financial and Quantitative Analysis 10 (November 1975): 659-674.
Merton, Robert C. "An
Asymptotic Theory of Growth Under Uncertainty." Review of Economic
Studies 42, no. 3 (July 1975): 375-393. (Chapter 17 in Continuous-Time
Finance.)
Merton, Robert C., and Paul A.
Samuelson. "Fallacy of the
Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods."
Journal of Financial Economics 1 (May 1974): 67-94.
Merton, Robert C. "On the
Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance
29, no. 2 (May 1974): 449-470. (Chapter 12 in Continuous-Time Finance.)
Samuelson, Paul A., and Robert C.
Merton. "Generalized Mean-Variance Tradeoffs for Best Perturbation
Corrections to Approximate Portfolio Decisions." Journal of Finance
29, no. 1 (March 1974): 27-40.
Merton, Robert C., and Marti G.
Subrahmanyam. "The Optimality of a Competitive Stock Market." Bell
Journal of Economics and Management Science 5, no. 1 (spring 1974):
145-170.
Merton, Robert C. "An
Intertemporal Capital Asset Pricing Model." Econometrica 41, no. 5
(September 1973): 867-887. (Chapter 15 in Continuous-Time Finance.)
Merton, Robert C. "Book Review
of Studies in the Theory of Capital Markets, edited by M.C.
Jensen." Journal of Money, Credit & Banking 5, no. 2 (May
1973): 729-730.
Merton, Robert C. "The
Relationship between Put and Call Option Prices: Comment." Journal of Finance
28, no. 1 (March 1973): 183-184.
Merton, Robert C. "Theory of
Rational Option Pricing." Bell Journal of Economics and Management
Science 4, no. 1 (spring 1973): 141-183. (Chapter 8 in Continuous-Time
Finance.)
Merton, Robert C.
"'Continuous-Time Speculative Processes': Appendix to Paul A. Samuelson's
'Mathematics of Speculative Price'." SIAM Review 15 (January 1973):
34-38.
Merton, Robert C. "An Analytical
Derivation of the Efficient Portfolio Frontier."
Journal of Financial and Quantitative Analysis 10 (September 1972):
1851-1872.
Merton, Robert C. "Optimum
Consumption and Portfolio Rules in a Continuous-Time Model." Journal of
Economic Theory 3 (December 1971): 373-413. (Chapter I of Ph.D.
dissertation; Chapter 5 in Continuous-Time Finance.)
Samuelson, Paul A., and Robert C.
Merton. "A Complete Model of Warrant Pricing that Maximizes Utility."
Industrial Management Review 10 (winter 1969): 17-46. (Chapter IV of
Ph.D. dissertation; Chapter 7 in Continuous-Time Finance.)
Merton, Robert C. "A Golden
Golden-Rule for Welfare-Maximization in an Economy with a Varying Population
Growth Rate." Western Economic Journal 4 (December 1969): 307-318.
(Chapter III of Ph.D. dissertation.)
Merton, Robert C. "Lifetime
Portfolio Selection under Uncertainty: The Continuous-Time Case." The
Review of Economics and Statistics 51 (August 1969): 247-257. (Chapter II
of Ph.D. dissertation; Chapter 4 in Continuous-Time Finance.)
Merton, Robert C. "A 'Motionless'
Motion of Swift's Flying Island." Journal of the History of
Ideas 27 (April-June 1966): 275-277.
Book
Chapters
Merton, Robert C., Foreword to Risk Less and Prosper, by Zvi Bodie and Rachelle Taqqu, Wiley,
2012.
Merton, Robert C., Foreword to Pension Finance, by M. Burton Waring, Wiley, 2012.
Merton, Robert C., “Observations on Individually
Funded Pension System Design: Advances for the Future,” in Developing the Potential of the Individually Funded Pension Systems,
International Federation of Pension Fund Administrators, Santiago, Chile, pp.
61-76, 2010.
Gray, Dale F., Robert C. Merton and
Zvi Bodie. "Measuring and Managing Macrofinancial Risk and Financial
Stability: A New Approach." In Financial
Stability, Monetary Policy and Central
Banking, ed. Rodrigo A.
Alfaro, Santiago, 2010, Central Bank of Chile, pp. 125-157.
Lo, Andrew W. and Robert C. Merton. “Preface to the Annual Review of Financial Economics
“ Chap. 1 in Annual Review of Financial Economics, Volume 1,edited by Andrew W.
Lo and Robert C. Merton, 1-18. Palo Alto: Annual Reviews, 2009.
Merton, Robert C., Paul A. Samuelson
and Robert M. Solow. "Nobel Laureate Panel
Discussion: What Retirement Means to Me."
Chap. 1 in The Future of
Life-Cycle Saving and Investing: The Retirement Phase,
edited by Zvi Bodie, Laurence B. Siegel and Rodney N. Sullivan, 1-14.
Charlottesville: CFA Institute, Research Foundation Publications, 2009.
Merton, Robert C. Contribution to Harry M. Markowitz,
Merton H. Miller, William F. Sharpe, Robert C. Merton, and Myron S. Scholes.
Vol. 2, edited by Howard R. Vane and Chris Mulhearn. Pioneering Papers of the
Nobel Memorial Laureates in Economics Series. Edward Elgar Publishing, 2009. (Introduction to Part
IV.)
Merton, Robert C. Foreword to Les
nouvelles frontieres de l'Entreprise , 11-16. Le Cercle des Economistes,
2008.
Merton, Robert C. Foreword to Financial
Derivatives Pricing, by Jarrow, Robert A., xi.-xii. World Scientific, 2008.
Merton, Robert C. Foreword to The
World of Equity Derivatives, 10-11. London: Newsdesk Communications Ltd for
Eurex, 2008.
Merton, Robert C. "A New
Generation of Pension Fund Management." Chap. 1 in Innovations in
Investment Management, edited by H. Gifford Fong, 1-17.
JOIM Conference Series. New York: Bloomberg Press, 2008.
Merton, Robert C. Foreword to Macrofinancial Risk
Analysis, by Dale F. Gray and Samuel Malone.
John Wiley & Sons, 2008. (Full Text.)
Merton, Robert C. "The Future of
Retirement Planning." In The Future of
Life-Cycle Saving and Investing, edited by Zvi Bodie, Dennis McLeavey and
Laurence B. Siegel. Research Foundation of CFA Institute, 2007.
Merton, Robert C. "Paul
Samuelson and Financial Economics." In Samuelsonian Economics and the
Twenty-First Century, edited by Michael Szenberg, Lall Ramrattan and Aron
Gottesman. Oxford: Oxford University Press, 2006.
Merton, Robert C. "Future Possibilities
in Finance Theory and Finance Practice." In Mathematical Finance -
Bachelier Congress 2000, edited by H. Geman, D. Madan, S. Pliska and T.
Vorst. Berlin: Springer-Verlag, 2002. (Was HBS Working Paper 01-030.)
Merton, Robert C. Foreword to Risk
Management, by Michael Crouhy, Dan Galai and Robert Mark. New York: McGraw
Hill, 2001.
Merton, Robert C., and Peter Tufano.
"The Global Financial
System Project." In The Intellectual
Venture Capitalist: John H. McArthur and the Work of the Harvard Business
School, 1980-1995, edited by T. K. McCraw and J. L. Cruikshank. Boston:
Harvard Business School Press, 1999.
Merton, Robert C. "Applications of Option-Pricing
Theory: Twenty-Five Years Later." In Les Prix Nobel 1997.
Stockholm: Nobel Foundation, 1997. (Reprinted in American Economic Review,
June 1998.)
Merton, Robert C. Foreword to Mathematics
of Derivative Securities, edited by M. A.H. Dempster and S. Pliska.
Cambridge University Press, 1997.
Merton, Robert C. "On the Role
of the Wiener Process in Finance Theory and Practice: The Case of Replicating
Portfolios." In The Legacy of Norbert Wiener: A Centennial Symposium.
Vol. 60, edited by D. Jerison, I. M. Singer and D. W. Stroock. PSPM Series.
Providence, R.I.: American Mathematical Society, 1997.
Merton, Robert C. Foreword to Managing
Derivative Risks, edited by L. Chew. Chichester: John Wiley & Sons,
1996.
Merton, Robert C. and Zvi Bodie.
"A Conceptual Framework for Analyzing the Financial Environment."
Chap. 1 in The Global Financial System: A Functional Perspective, edited
by Dwight B. Crane, Kenneth A. Froot, Scott P. Mason, André Perold, Robert C.
Merton, Zvi Bodie, Erik R. Sirri and Peter Tufano, 3-31. Boston: Harvard
Business School Press, 1995.
Merton, Robert C. and Zvi Bodie.
"Financial Infrastructure and Public Policy: A Functional
Perspective." Chap. 8 in The Global Financial System: A Functional
Perspective, edited by Dwight B. Crane, Kenneth A. Froot, Scott P. Mason,
André Perold, Robert C. Merton, Zvi Bodie, Erik R. Sirri and Peter Tufano,
263-282. Boston: Harvard Business School Press, 1995.
Bodie, Zvi and Robert C. Merton.
"The Informational Role of Asset Prices: The Case of Implied
Volatility." Chap. 6 in The Global Financial System: A Functional
Perspective, edited by Dwight B. Crane, Kenneth A. Froot, Scott P. Mason,
André Perold, Robert C. Merton, Zvi Bodie, Erik R. Sirri and Peter Tufano,
197-224. Boston: Harvard Business School Press, 1995.
Merton, Robert C. and Zvi Bodie.
"Deposit Insurance
Reform: A Functional Approach." In Carnegie-Rochester
Conference Series on Public Policy. Vol. 38, edited by A. Meltzer and C.
Plosser. Amsterdam: Elsevier N.V., 1993.
Merton, Robert C., and André F.
Perold. "Management of Risk Capital in Financial Firms." In Financial
Services: Perspectives and Challenges, edited by Samuel L. Hayes III,
215-245. Boston, Mass.: Harvard Business School Press, 1993.
Merton, Robert C. "Operation and
Regulation in Financial Intermediation: A Functional Perspective."
In Operation and Regulation of Financial Markets, edited by P. Englund.
Stockholm: The Economic Council, 1993.
Merton, Robert C. "Optimal Investment
Strategies for University Endowment Funds." In
Studies of Supply and Demand in Higher Education, edited by C.
Clotfelter and M. Rothschild. Chicago: University of Chicago Press, 1993.
(Chapter 21 in Continuous-Time Finance.)
Bodie, Zvi and Robert C. Merton.
"Pension Benefit Guarantees in the United States: A Functional
Analysis." In The Future of Pensions in the United States, edited
by R. Schmitt. Philadelphia: University of Pennsylvania Press, 1993. (Reprinted
in The Foundations of Pension Finance, Volume I, Zvi Bodie and E. Philip
Davis, eds., Edward Elger, 2000.)
Merton, Robert C. "The Changing
Nature of Debt and Equity: A Discussion." In Are the Distinctions
between Debt and Equity Disappearing? edited by R. W. Kopeke and E. S.
Rosengren. Conference Series #33. Federal Reserve Bank of Boston, 1990.
Merton, Robert C. "Capital
Market Theory and the Pricing of Financial Securities." In Handbook of
Monetary Economics, edited by B. Friedman and F. Hahn. Amsterdam:
North-Holland Publishing Company, 1990.
Bodie, Zvi, Alan J. Marcus and
Robert C. Merton. "Defined Benefit versus Defined Contribution Pension
Plans: What are the Real Tradeoffs." In Pensions in the U.S. Economy,
edited by John B. Shoven and David A. Wise. Chicago: University of Chicago
Press, 1988.
Merton, Robert C.
"Continuous-Time Stochastic Models." In The New Palgrave: A
Dictionary of Economic Theory and Doctrine, edited by John Eatwell, Murray
Milgate and Peter Newman. London: MacMillan Press, Ltd., 1987. (Revised in The
New Palgrave Dictionary of Money and Finance, London: MacMillan Press,
Ltd., 1992.)
Merton, Robert C., Zvi Bodie and
Alan J. Marcus. "Pension Plan Integration as Insurance against Social
Security Risk." In Issues in Pension Economics, edited by Zvi
Bodie, John B. Shoven and David A. Wise. Chicago: University of Chicago Press,
1987.
Merton, Robert C. "On the
Current State of the Stock Market Rationality Hypothesis." In Macroeconomics
and Finance: Essays in Honor of Franco Modigliani, edited by R. Dornbusch,
S. Fischer and J. Bossons. Cambridge: MIT Press, 1987.
Merton, Robert C. "Implicit
Labor Contracts Viewed as Options: A Discussion of 'Insurance Aspects of
Pensions'." In Pensions, Labor, and Individual Choice, edited by D.
A. Wise. Chicago: University of Chicago Press, 1985.
Mason, Scott P., and Robert C. Merton.
"The Role of Contingent Claims Analysis in Corporate Finance." In Recent
Advances in Corporate Finance, edited by E. I. Altman and M. G.
Subrahmanyam. Homewood, Ill.: Richard D. Irwin, 1985.
Fischer, Stanley and Robert C.
Merton. "Macroeconomics and Finance: The Role of the Stock Market."
In Essays on Macroeconomic Implications of Financial and Labor Markets and
Political Processes. Vol. 21, edited by K. Brunner and A. H. Meltzer.
Amsterdam: North-Holland Publishing Company, 1984.
Merton, Robert C. "Financial
Economics." In Paul Samuelson and Modern Economic Theory, edited by
E. C. Brown and R. M. Solow. New York: McGraw-Hill, 1983.
Merton, Robert C. "On
Consumption-Indexed Public Pension Plans." In Financial Aspects of the
U.S. Pension System, edited by Zvi Bodie and John B. Shoven. Chicago:
University of Chicago Press, 1983. (Chapter 18 in Continuous-Time Finance.
Reprinted in The Foundations of Pension Finance, Volume I, Zvi Bodie and
E. Philip Davis, eds., Edward Elger, 2000.)
Merton, Robert C. "On the Role
of Social Security as a Means for Efficient Risk-Bearing in an Economy Where
Human Capital is Not Tradeable." In Financial Aspects of the U.S.
Pension System, edited by Zvi Bodie and John Shoven. Chicago: University of
Chicago Press, 1983. (Reprinted in The Foundations of Pension Finance,
Volume I, Zvi Bodie and E. Philip Davis, eds., Edward Elger, 2000.)
Merton, Robert C. "On the
Mathematics and Economic Assumptions of Continuous-Time Financial Models."
In Financial Economics: Essays in Honor of Paul Cootner, edited by W. F.
Sharpe and C. M. Cootner. Englewood Cliffs, N.J.: Prentice Hall, 1982. (Chapter
3 in Continuous-Time Finance.)
Merton, Robert C. "On the
Microeconomic Theory of Investment under Uncertainty." In Handbook of
Mathematical Economics. Vol. 2, edited by K. Arrow and M. Intriligator.
Amsterdam: North-Holland Publishing Company, 1982.
Merton, Robert C. "Capital
Requirements in the Regulation of Financial Intermediaries: A Discussion."
In Proceedings: The Regulation of Financial Institutions. Conference
Series #21. Federal Reserve Bank of Boston, 1979.
Merton, Robert C. "A
Reexamination of the Capital Asset Pricing Model." In Studies in Risk
and Return, edited by J. Bicksler and I. Friend. Cambridge, Mass.:
Ballinger, 1977.
Khandani, Amir E., Andrew W. Lo, and
Robert C. Merton. "Systemic Risk and
the Refinancing Ratchet Effect." Harvard Business School
Working Paper, No. 10-023, June 2011.
Gray, Dale F., Robert C. Merton, and
Zvi Bodie. "New Framework for
Measuring and Managing Macrofinancial Risk and Financial Stability."
Harvard Business School Working Paper, No. 09-015, August 2008. (Revised.)
Gray, Dale F., Robert C. Merton, and
Zvi Bodie. "New Framework for
Measuring and Managing Macrofinancial Risk and Financial Stability."
NBER Working Paper Series, No. 13607, November 2007.
Gray, Dale F., Robert C. Merton, and
Zvi Bodie. "A New Framework for
Analyzing and Managing Macrofinancial Risks of An Economy."
Harvard Business School Working Paper, No. 07-026, 2006. (Also NBER Working
Paper Series, No. 12637.)
Jin, Li, Robert C. Merton, and Zvi
Bodie. "Do a Firm's Equity
Returns Reflect the Risk of Its Pension Plan?"
Harvard Business School Working Paper, No. 05-011, 2004. (Also NBER Working
Paper Series, No. 10650.)
Draghi, Mario, Francesco Giavazzi,
and Robert C. Merton. "Transparency, Risk
Management and International Financial Fragility."
Harvard Business School Working Paper, No. 03-118, 2003. (Also NBER Working
Paper Series, No. 9806.)
Merton, Robert C. "Future Possibilities
in Finance Theory and Finance Practice."
Harvard Business School Working Paper, No. 01-030, 2000.
Merton, Robert C. "A Model of
Contract Guarantees for Credit-Sensitive, Opaque Financial
Intermediaries." Harvard Business School Working Paper, No. 97-091, 1997.
Merton, Robert C., and Zvi Bodie.
"A Conceptual Framework for Analyzing the Financial Environment."
Harvard Business School Working Paper, No. 95-062, 1995.
Merton, Robert C., and Zvi Bodie.
"Financial Infrastructure and Public Policy: A Functional
Perspective." Harvard Business School Working Paper, No. 95-064, 1995.
Bodie, Zvi, and Robert C. Merton.
"The Informational Role of Asset Prices: The Case of Implied
Volatility." Harvard Business School Working Paper, No. 95-063, 1995.
Bodie, Zvi, and R. Merton. "A
Framework for the Economic Analysis of Deposit Insurance and Other
Guarantees." Harvard Business School Working Paper, No. 92-063, 1992.
Merton, Robert C., and Zvi Bodie.
"On the Management of Deposit Insurance and Other Guarantees."
Harvard Business School Working Paper, No. 92-081, 1992.
Bodie, Zvi, and Robert C. Merton.
"Pension Reform and Privatization in International Perspective: A Case of
Israel." Harvard Business School Working Paper, No. 92-082, 1992.
Merton, Robert C. "Optimal Portfolio
Rules in Continuous Time When the Nonnegativity Constraint on Consumption is
Binding." Working Paper, 1989. (In
Chapter 6 of Continuous-Time Finance.)
Merton, Robert C., and Terry A.
Marsh. "Earnings Variability and Variance Bounds Tests for Rationality of
Stock Market Prices." MIT Sloan School of Management Working Paper Series,
No. 1559-84, 1984.
Marsh, Terry A., and Robert C.
Merton. "Aggregate Dividend Behavior and Its Implications for Tests of
Stock Market Rationality." MIT Sloan School of Management Working Paper
Series, No. 1475-83, 1983.
Merton, Robert C. "Continuous-Time
Portfolio Theory and the Pricing of Contingent Claims."
MIT Sloan School of Management Working Paper Series, No. 881-76, November 1976.
Merton, Robert C. "A Dynamic
General Equilibrium Model of the Asset Market and Its Application to the
Pricing of the Capital Structure of the Firm." MIT Sloan School of
Management Working Paper Series, No. 497-70, December 1970. (Chapter 11 in Continuous-Time
Finance.)
Merton, Robert C. "Analytical Optimal
Control Theory as Applied to Stochastic and Non-Stochastic Economics."
Ph.D. diss., Massachusetts Institute of Technology, 1970.
Merton, Robert C. "An Empirical
Investigation of the Samuelson Rational Warrant Pricing Theory." 1969
(Chapter V in Ph.D. dissertation; Class paper, Massachusetts Institute of
Technology, spring 1969.)
Merton, Robert C. "Restrictions
on Rational Option Pricing: A Set of Arbitrage Conditions." Massachusetts
Institute of Technology, 1968. Mimeo.
Merton, Robert C., and Alberto Moel.
"Harrington Financial Group." Harvard Business School Case 297-088.
Merton, Robert C., and Alberto Moel.
"Savings and Loans and the Mortgage Markets." Harvard Business School
Note 297-090.
Merton, Robert C., and Alberto Moel.
"Smith Breeden Associates: The Equity Plus Fund (A)." Harvard
Business School Case 297-089.
Updated 3/7/12