Robert C. Merton                                                                    

EducationRobert C. Merton

 

                         

 

 

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

·         financial engineering

·         financial innovation

·         lifecycle finance

·         dynamics of financial institutional change

·         risk management

Additional Topics

·         capital markets

·         capital structure

·         credit risk

·         equity-based pay

·         financial analysis

·         institutional investing

·         investment banking

·         investment management

·         long-term investing

·         market efficiency

·         mutual funds

·         real options

·         valuation

Industries

·         banking

·         brokerage

·         financial services

·         insurance industry

·         investment banking industry

·         retail financial services

 

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.

Other Papers

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.

HBS Course Materials

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