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
Doctor Honoris Causa, Universidad Catolica de Chile, Santiago, 2014
Doctor of Science, Honoris Causa, Chinese University of Hong Kong, 2014
Doctor of Business Administration, Honoris Causa, University of Macau, 2014
Doctor Honoris Causa, Instituto Politécnico Nacional, Mexico, 2016
Doctor Honoris Causa, Universidad Michoacana de San Nicolás de Hidalgo, Morelia, Mexico, 2017
Honorary Professor, University of Electronic Science and Technology of China, Chengdu, China, 2017
Honorary Professor, Sichuan University, Chengdu China, 2017
Honorary Fellowship, Ca’ Foscari University of Venice, Venice 2018
Honorary Professor, University of International Business and Economics, Beijing, 2019
Academic Appointments
School of Management Distinguished Professor of Finance, A.P. Sloan School of Management, Massachusetts Institute of Technology, 2010-
John and Natty McArthur 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:
Member, Council of Scholars, Center for Retirement Initiatives at Georgetown University, 2015-
Resident Scientist, Dimensional Fund Advisors 2009-
Chairman, Board of Directors, Daedalus Software, Inc. 2001-
Honorary Chairman, Institute of Global Economics, Seoul, Korea 2018-
Co-chairman, Advisory Board, Peking University National Financial Research Center, 2014-
Member, Council of the Asian Bureau of Finance and Economic Research (ABFER), 2013-
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, Board of Policy Advisers, Chinese Academy of Sciences Research Center on Fictitious Economy & Data Science 2008-
Member, Academic Advisory Board, Real Options Group 1999-
Past:
Co-Editor, Annual Review of Financial Economics, 2009-2021
Member, Board of Directors, Vical Inc. 2002-2019
Member, Competitive Markets Advisory Council, CME Group 2004-2018
Member, Panmure House Advisory Board, Edinburgh Business School, Heriot-Watt University, 2012-2014
Member, Advisory Board, Office of Financial Research, US Treasury, 2011-2014
Member, International Advisory Board, Middle East Science Fund, Amman, Jordan 2008-2013
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
Member, Advisory Board, AlphaSimplex Group, Cambridge, MA 2001-2007
Member, Advisory Board, nuServe 2001- 2004
Managing Director, J.P. Morgan Chase 2001
Member, Advisory Board, eCredit.com 2000-2002
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
Elected Societies and Positions
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-
Member, American Association for Cancer Research, 2014-
Distinguished Fellow, Center for Financial Studies, Goethe University, Frankfurt, 2014
Fellow, Center for Financial Stability, New York, 2018
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
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 (funded by former students and colleagues)
2006 PRMIA 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
2007 Fixed Income Analysts Society, Hall of Fame, 2007
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 Melamed-Arditti Innovation Award
2013 WFE Award for Excellence, World Federation of Exchanges
2014 Lifetime Achievement Award, Financial Intermediation Research Society
2016-2017 S. Donald Sussman Fellowship, MIT Sloan School of Management
2017 Finance Diamond Prize, Fundación de Investigación IMEF, Mexico
2020 Special Distinction Award, Journal of Investment Management (JOIM)
2022 James R. Killian Jr. Faculty Achievement Award, MIT
2022 Plan Sponsor Council of America’s 2022 Lifetime Achievement 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
2012 Lecture, Peking University, Beijing
2012 Lecture, National Council for the Social Security Fund (NCSSF), Beijing
2012 Chen Daisun Memorial Lecture in Economics, Tsinghua University, Beijing
2012 Lecture, State Administration of Foreign Exchange (SAFE) , Beijing
2012 Lecture, China Investment Corporation (CIC), Beijing
2012 Lecture, Korean Advanced Inst. for Science & Tech “KAIST”, Seoul
2012 Lecture, CEO Forum, Seoul
2012 Lecture, Korea Investment Corporation, Seoul
2012 Lecture, Chile Towards Development Conference, Ministry of Finance, Santiago, Chile
2012 Presentation, President of Chile, Cerro Castillo
2012 Keynote, Retirement and Income Summit, Pensions & Investments Conference, Chicago
2012 Keynote Retirement and Income Summit, Pension & Investments Conference, New York
2012 Keynote, CFA European Investment Conference, Prague
2012 Keynote, UK Pension Conference. London
2012 Keynote, Australian Centre for Investor Education (CIE) Conference, Brisbane, Australia
2012 Keynote, The Association of Superannuation Funds of Australia (ASFA) Conference, Melbourne
2012 Keynote, FAS Advisor Conference, Coolum, Australia
2012 Lecture, Office of Financial Research Inaugural Conference, US Treasury, Washington DC
2012 Keynote, 14th Annual Retirement Research Conference, Social Security Administration and NBER, Washington DC
2012 Keynote, Institute of Global Finance University of New South Wales and Financial Services Institute of Australasia (FINISA) Conference, Sydney
2012 Lecture, Finance Made Difficult, Program for MIT Faculty, Cambridge
2012 Lecture, MIT Finance Day, New York
2012 Lecture, Future of Retirement Planning, CIE Conference, Washington DC
2012 Lecture, MIT Sloan School Executive Education Prudential Retirement, Cambridge
2012 Lecture, Spring 2012 Faculty & Staff Meeting, MIT Sloan, Cambridge
2012 Lecture, Global Financial Services Forum, London-Boston, MIT, Cambridge
2013 Lecture, “Three on the Bund Talk” Fireside Chat (with MIT Dean Schmittlein introducer) at Three on the Bund, Shanghai, lecture, The Impact of Financial Innovation on China’s Future Growth
2013 Lecture, CancerX Conference, MIT, Cambridge, lecture, Credit Models and Debt Ratings: Financing a Cancer Super Fund
2013 Lecture, MIT Sloan Finance Day, London, lecture, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, MIT Sloan Finance Forum, Shanghai, lecture, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, MIT Sloan Asian Executive Board, Hong Kong, lecture, Continuing importance of finance, and of financial innovation, in the global economy and in greater China and Asia
2013 Lecture, MIT, Celebration of the Life of Franco Modigliani, Cambridge, panel/lecture, The Life and Times of Franco Modigliani
2013 Lecture, MIT Finance Advisory Board, lecture, On a New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, CMRI Public Lecture, National Singapore University, Singapore, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, CAMRI-GAAI Asset Owner’s Dialogue 2013, National Financial Research Center, Peking University, Beijing, lecture, Foundations of Asset Management: A Practitioner’s Perspective
2013 Lecture, Institute of Global Finance, Australian School of Business, University of New South Wales, FINISA Lecture, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013, University Distinguished Lecture Bold Aspirations, A Next-Generation Solution for Funding Retirement: A Case Study in Design and Implementation of Financial Innovation, University of Kansas, Business School
2013 Lecture, Chinese University Hong Kong, keynote 50th Anniversary, Global Leader Series Economic Forum: The Rise of the Asia Century, The Influence of Finance Science on Economic and Financial Development across Asia and Mainland China
2013 Deutsche Bank Lecture, Goethe University Frankfurt, Center for Financial Studies, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, Tanglin Trust High School, Singapore, lecture, A Nobel Laureate on Finance and Life
2013 Lecture, US General Accounting Office, Washington, DC, lecture, Meeting the Global Challenges of Funding Retirement: Designing the Next-Generation Retirement Funding Solution.
2013 Lecture, Joint House and Senate, State of Kansas, lecture, The Next-Generation Kansas Pension Solution
2013 Lecture, Asian Development Bank, Distinguished Speakers Program, Manila, Measuring the Connectedness of the Financial System: Implications for Risk Management
2013 Lecture, Bangko Sentral ng Pilipinas (central bank) Philippines,lecture,Foundations of Asset Management
2013 Governor’s Lecture, Bank of Thailand (Central Bank), Bangkok, On a New Approach for Analyzing and Managing Macro-financial Risks
2013 Lecture, Government Pension Fund, Thailand, Bangkok, two lectures , Symposium, New Frontier of Risk Management in the Interconnected World, On a New Approach for Analyzing and Managing Macro-financial Risks and Meeting the Global Challenge of Funding Retirement
2013 Dual Lecture, Monetary Authority of Singapore (central bank), A New Approach for Analyzing and Managing Macro-financial Risks and Risk and Performance Measurement in Asset Management
2013 Dual Lecture, Government Investment Corporation (sovereign wealth fund), Singapore, Risk and Performance Measurement in Asset Management and Issues from Financial Crisis: Credit Risk and Financial Guarantees
2013 Lecture, Government Investment Corporation (sovereign wealth fund), Singapore, lecture, Understanding Alphas: Sources and Measurement
2013 Lecture, Central Provident Fund Board, Singapore, lecture, Meeting the Global Challenge of Funding Retirement
2013 Lecture, State Administration of Foreign Exchange, China, Beijing, lecture, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, China Investment Corporation (sovereign wealth fund), Beijing lecture, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, Shanghai Stock Exchange and the Futures Exchange, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, State Administration of Foreign Exchange, China, Hong Kong, lecture, Understanding Alphas: Sources and Measurement
2013 Dual Lecture, Hong Kong Monetary Authority, A New Approach for Analyzing and Managing Macro-Financial Risks and Risk and Performance Measurement in Asset Management
2013 Lecture, Hong Kong Mandatory Provident Fund, lecture, Meeting the Global Challenge of Funding Retirement
2013 Lecture, Hong Kong Retirement Schemes Association, Hong Kong Club, lecture, A New Approach on Retirement Solution
2013 Dual Lecture, Bank Negara Malaysia (the Central Bank), Risk and Performance Measurement in Asset Management and A New Approach to Measuring Macrofinancial Risk Propagation
2013 Lecture, Ministry of Finance Brunei, A New Approach to Measuring Macrofinancial Risk Propagation
2013 Lecture, Brunei Investment Agency, Lecture, Risk and Performance Measurement in Asset Management
2013 Lecture, Brunei Employees Trust Fund, lecture, Meeting the Global Challenge of Funding Retirement
2013 Lecture, European Central Bank, Frankfurt, Governor Draghi, On A New Approach for Analyzing and Managing Macrofinancial Risks
2013 Lecture, Taiwan Retirement Association, Taipei, Global Challenge of Funding Retirement
2013 Keynote Lecture, National Employment Savings Trust, NEST Annual Forum 2013 – Looking Forward To Retirement, London, Applying Life-Cycle Economics: An Income-Oriented DC Retirement Solution That Integrates Accumulation and Payout Phases
2013 CEO Keynote Lecture, Association of Superannuation Funds of Australia, Annual Conference, Perth, Next Generation Superannuation Solutions
2013 Lecture, Financial Planning Association, Perth, lecture, Meeting the Global Challenge of Funding Retirement
2013 Lecture, Foreign Correspondence Club of Japan, Tokyo, Pension Issues in an Aging Society
2013 Lecture, Society of Actuaries, Annual Meeting, Investment Symposium, two separate lectures, Meeting the Global Challenge of Funding Retirement and Actuarial Liability Pricing Does Not Reflect Risk: Risky Assets are Still Risky in the Long Run
2013 Lecture, CFA Institute, Denmark, Alpha: Sources, Measurement and Hedge Funds
2013 Lecture, CFA Institute, Shanghai, A New Approach for Analyzing and Managing Macro-Financial Risks
2013 Lecture, CFA Institute, Singapore, Understanding Alpha: Sources and Sustainability
2013 Lecture, CFA Institute, Hong Kong, live webcast/lecture, Meeting the Global Challenges of Funding Retirement
2013 Lecture, National Bureau of Economic Research, Cambridge, Conference Personal Retirement Challenges, co-organizer and closing speaker.
2013 Lecture, Dimensional Fund Advisors, New York, Institutional Investor Conference, Creating Structured Payoff Solutions: Synthetic High-Yield and Emerging Market Bonds”
2013 Lecture, Dimensional Fund Advisors, Austin, Institutional Investor Conference, Creating Structured Payoff Solutions: Synthetic High-Yield and Emerging Market Bonds”
2013 Lecture, Dimensional Fund Advisors, Austin, Financial Advisor Advanced Conference, A Next-Generation Retirement Funding Solution: A Case Study in Goal-Based Investing
2013 Lecture, China Life, Beijing, Meeting the Global Challenge of Funding Retirement
2014 Lecture, National Assembly Office, Seoul, Observations on the Sovereign Wealth Fund
2014 Lecture, Korean Pension Assoc., Seoul, Meeting the Challenge of Retirement Funding
2014 Lecture, Korea Investment Corporation, Sovereign Wealth Fund, Seoul
2014 Lecture, Bank of Korea, Seoul, Macrofinancial Risk and Connectedness
2014 Lecture, Bank Indonesia, Jakarta, “On a New Approach for Analyzing and Managing Macrofinancial Risks”
2014 Lecture, Government Pension Fund, Thailand, “Understanding Alpha”
2014 Lecture, Nobel Laureate Summit, The Economics of Biotechnology Industry, Beijing, How Financial Engineering Can Improve the Economics and Effectiveness of Drug Discovery
2014 Lecture, Society of Actuaries Annual Meeting, New York, “Challenges to Managing Defined Contribution for Our Core Retirement Funding” and “Solutions to Managing DC for Our Core Retirement Funding”
2014 Lecture, CFA Institute of Saudi Arabia, Riyadh, On the Role of Finance Science and Financial Innovation on Financial Stability and Sustainable Economic Growth: Past, Present and Future Observations
2015 “The Value of Implicit Guarantees,” with Zoe Tsesmelidakis and Frederic Schweikhard, SSRN Working Paper presentation. Financial Intermediation Research Society (FIRS) Conference, Reykjavik, Iceland, May.
2015 Lecture, Global Challenges and Solutions in Retirement Funding and Post-Retirement Payout, UK Assoc. of Consulting Actuaries 2015 Conference, February.
2015 Lecture, Understanding Alpha, Sloan Investment Conference: Investing in a Brave New World, Cambridge, MA, February.
2015 Lecture, “Innovations in Finance,” KIA, Kuwait, March.
2015 Lecture, “Transforming Defined Contribution From a Savings Program to a Pension Plan,” TIAA CREF, Chicago, April.
2015 Lecture, “Observations on Financial Innovation and Finance Science,” Caltech + Finance Symposium, Pasadena, CA, May.
2015 Lecture, “Solving the DC Retirement Challenge,” PIAC Canada Conference, Moncton, New Brunswick, May.
2015 Lecture, “Observations on the Integration of Pension Asset Management Strategy and Plan Sponsor Management Strategy,” CitiBank, New York, NY, May.
2105 Lecture, “Challenges and Solutions in Retirement Funding and Post-Retirement Payout,” MIT Reunion, June.
2015 Lecture, “On the Role of Financial Innovation and Finance Science in Financial Stability and Economic Growth,” Asia Finance Association, Changsha, China, July.
2015 Lecture, “Connectedness and Systemic Risk Measurement,” Korea Institute of Finance, Seoul, Korea, July.
2015 Lecture, “Challenges and Solutions in Retirement Funding and Retirement Payout,” SIFR
The Institute for Financial Research, Stockholm, Sweden, July.
2015 Lecture, “On the Design of Reverse Mortgages,” MIT Sloan Center for Finance and Policy (CFP), September.
2015 Lecture, “3 Sources of Alpha,” Keynote, DAB Bank Investment Congress, Munich, Germany, September.
2015 Lecture, “Term Structure of Interest Rates,” Plenary Speech, DB Prize Meetings, Frankfurt, Germany, September.
2015 Lecture, “Foundations of Asset Management,” German Finance Association Meeting, Leipzig, Germany, September.
2015 Lecture, “Challenges and Solutions in Retirement Funding and Retirement Payout,” Keynote Speaker, Journal of Investment Management, Boston, MA, October.
2015 Lecture, “Addressing the Global Challenge of Funding Retirement. The Reverse Mortgage: Core Issues of Design Structure, Marketing, Funding and Valuation, BI Norwegian School of Business, Oslo, Norway, October.
2015 Lecture, “Targeting Income in Retirement,” CIEBA (The Committee on Investment of Employee Benefit Assets), Washington, DC, October.
2015 Lecture, “The Retirement Plan Crisis,” Keynote Speech, Symposium, Henry Bloch School of Management, Univ. of Missouri, Kansas City, MO, November.
2015 Lecture, “On the Role of Financial Innovation and Derivative Markets in Financial Stability and Economic Growth,” Keynote, Chinese Futures and Options Association Conference, Shanghai, China, November.
2015 Lecture, “Managing Global Financial Cycles and Liquidity Risks,” South East Asia Central Bank (SEACEN) Governors Conf., Manila, Philippines, November.
2015 Lecture, “Connectedness and Systemic Risk Measurement,” GIC and Monetary Authority of Singapore, Singapore, November
2015 Lecture, “Financial Globalization and Capital Markets,” Keynote, Stock Exchange of Thailand International Conf., Bangkok, Thailand, November.
2015 Lecture, “Connectedness and Systemic Risk Measurement,” Bank of Thailand, Bangkok, November
2015 Lecture, “The Role of Financial Innovation and Finance Science in Financial Stability and Economic Growth,” Asia School of Business and Bank Negara, Kuala Lumpur, December.
2016 Lecture, “Measuring the Connectedness of the Financial System: Implications for Systemic Risk Measurement and Management,” Oslo, Norway, January
2016 Lecture, “On the Role of Financial Innovation and Derivative Markets in Financial Stability and Economic Growth,” MIT 2016 Asia Business conference, Cambridge, MA, March
2016 Lecture, “On the Role of Financial Innovation and Quantitative Finance in Financial Stability and Economic Growth: 50 Years of the Past into the Impending Future,” 50th Anniversary Q Group, Washington, DC, April
2016 Lecture, “On the Role of Financial Innovation and Finance Science in Global Economic Growth and Development,” MIT Open House, MIT 2016 (100 years in Cambridge), April
2016 Lecture, “On the Role of Financial Innovation and Finance Science in Global Economic Growth and Development,” Spanish MBA Conference VIII, Harvard Business School, April
2016 Lecture, “On the Consequences for Global Economic Growth From the Responses of Financial Innovation, Regulation and Monetary Policy to the Great Recession: Challenges and Opportunities for the Insurance Industry,” Geneva Association Meeting, Rome, Italy, June
2016 Lecture, “On Getting More Retirement Income Benefits from the Retiree’s Assets: Annuities and the Reverse Mortgage,” JOIM-Oxford-EDHEC Conference, Said Business School Oxford University Retirement Conference, Oxford, UK, September
2016 Lecture, “ On the Role of Financial Innovation and Finance Science in Global Economic Growth and Development,” UConn, University Special Lecture, Special Semester in Actuarial and Financial Mathematics, Storrs, CT, October
2016 Lecture: “Financial Science Solutions for Three Financial Challenges,” MIT Sloan Asian Executive Board with Dean David Schmittlein, Hong Kong, October
2018 Distinguished Speaker Lecture: “Observations on Solving Global Challenges Using Finance Science: Past and Future”, 53rd Annual Conference of the Western Finance Association, June
2018 Lecture: “Solving Challenges and Creating Opportunities in the Global Economy Using Finance Science Past and Future”, ISEO Institute, Iseo, Italy, June
2018 Lecture: “The Legacy of Franco Modigliani for Finance Science and Finance Practice”, Centenary Celebration of Franco Modigliani, University of Brescia, Brescia Italy, June
2018 Keynote Address: “Solving Global Challenges Using Finance Science Past and Future,” China International Conference in Finance, Tianjin, China, July
2021 Lecture: “Financial Innovation and its Impact on Economic Growth and Development – History and Future,” CFA Society Nashville, Virtual, March
2021 Seminar: “SeLFIES — A Globally Applicable Bond Innovation to Improve Retirement Funding and Support Other Policy Objectives,” Q Group Spring 2021 Virtual Seminar, April
2021 Lecture: “A Feasible Blueprint for Meeting the Challenges of Funding Retirement Income,” Investments & Wealth Institute’s ACE Academy 2021, Virtual, April
2021 Lecture: “Global Market Expectations,” Global Association of Independent Advisors, Virtual, May
2021 Lecture: “A Career in the Study of Finance,” Washington University St. Louis’ 5th Annual Wealth and Asset Management Research Conference, Virtual, May
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
“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
“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
“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
“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, September 2011
Bloomberg Radio, Interview, “Mario Draghi, New Head of ECB,” November 2011
Scully the World Show July 2012, Interview
Merton, Robert C., “Harnessing the Building Blocks of Economic Valuation Exploring the Work of Nobel Laureate Robert C. Merton”, Journal of Investment Consulting, IMCA, Vol. 14, no. 1, 2013.
NUS Interview June 27, 2013 Grace Phan, Stability and vulnerability in financial markets: Interview with Robert Merton
The Economist, July 6, 2013, Buttonwood Pot Luck , Pension-plan members need to focus on the right measure
The Business Times Singapore August 10, 2013, Vikram Khanna, Robert Merton: The Financial Innovator, 文章来源: insight777 于,
CorporateAdviser MoneyMarketing 13 August 2013, It’s the Income, stupid
1000 Top Funds In Conversation Amanda White December 2013.
“Merton’s message: give up on alpha” 1000 Top Funds,
‘The Measurement of Risk” video interview for book by Union Investment, Germany, February 2015.
Journal of Retirement, May 2015.
Fireside Chat video interview, MIT Finance Forum, New York, New York, May 2015.
Project M magazine interview, Allianz Global Investors, New York, NY, February 2016
Financial Sense Newshour interview, PFS Group, San Diego, CA, March 2016
The Reverse Review magazine interview, Reverse Publishing LLC, Orange, CA, May 2016
Nobel Perspectives film interview, UBS Group AG, Zurich, Switzerland, Sept 2016
Institutional Investor magazine interview, II LLC, New York, NY, Sept 2016
Video: Speeches and Seminars
1997 Nobel Prize Press Conference Harvard Business School
Haas School of Business video of Commencement Speech by Robert C. Merton
2001 First Nomura Lecture, Mathematical Institute, University of Oxford
2001 Keynote, European Finance Association, Barcelona
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
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 Boston University, “The Future of Life-Cycle Saving & Investing Conference,” October 23
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
2011 Global Economic Outlook discussion, Global Financial Leadership Conference, Naples, Florida, November
2015 MIT Sloan Great Thinkers Series,WGBH/Cambridge, MA, April
2015 Institutional Investor’s Journal of Retirement
2015 The global challenge of funding retirement, BI Norwegian Business School, October.
2015 Nobel Prize/Nobel Thinkers/Harvard Business School
2015 Crisis in Retirement Planning (introduced by Bernie Horn), MIT Sloan School of Management, Faculty Session
2016 Stoxx Annual Conference keynote speaker: Understanding the Sources of Alpha
2016 Said Business School, Oxford, UK, October, Opportunities in Finance
2016 Geneva Assoc; Financial Stability and Innovation, Geneva Association Meeting, Rome, Italy, June
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
biotech and pharma
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 1-7, Palo Alto: Annual Reviews, 2009-2014.
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
“Customers and Investors: A Framework for Understanding Financial Institutions,” with Richard T. Thakor, Journal of Financial Intermediation, July 2019.
“Set a Retirement Target You Can Achieve,” with Shaun Levitan, Business, South Africa, November 2015.
“Monetary Policy: It’s All Relative,” with Arun Muralidhar, Pensions & Investments, April, 2015
“Black-Scholes: Robert Merton on the Options Pricing Model,” The 85 Most Disruptive Ideas in Our History, Business Week, December 2014.
Merton, Robert C., “The Crisis in Retirement Planning,” Harvard Business Review, July-August 2014.
Merton, Robert C., “Measuring the Connectedness of the Financial System: Implications for Risk Management” (ADB’s Distinguished Speaker Series), Asian Development Review, Vol. 31, Issue No. 1, March 2014
Merton, Robert C., “Observations on Financial Education and Consumer Financial Protection,” CFA Institute (corrected) 2014.
Merton, Robert C., “Harnessing the Building Blocks of Economic Valuation Exploring the Work of Nobel Laureate Robert C. Merton”, Journal of Investment Consulting, IMCA, Vol. 14, no. 1, 2013.
Merton, Robert C., “Innovation Risk: How to Make Smarter Decisions,” Harvard Business Review, April, 2013.
Merton, Robert C., Amir E. Khandani and Andrew W. Lo, “Systemic Risk and the Refinancing Ratchet Effect,” Journal of Financial Economics 108 (2013) 29–45.
Merton, Robert C., “Applying Lifecycle Economics: Innovation Risk: How to Make Smarter Decisions,” Harvard Business Review, April 2013.
Merton, Robert C., “Applying life-cycle economics: an income-oriented DC retirement solution that integrates accumulation and payout phases,” Report: Looking Forward to Retirement, National Employment Savings Trust, U.K., June 2013.
Merton, Robert C., Monica Billio, Mila Getmansky, Dale Gray, Andrew W. Lo, and Loriana Pelizzon, “On a New Approach for Analyzing and Managing Macrofinancial Risks,” Financial Analysis Journal, Vol. 69(2): 22-33, March-April, 2013.
Merton, Robert C. and Zoe Tsesmelidakis, “The Value of Implicit Guarantees,” Said Business School and Oxford Man Institute, University of Oxford 2013 [presented at the 2013 Western Finance Association; the 2013 Southern Finance Association, and the 2014 American Finance Association].
Merton, Robert C., “Funding retirement: Next generation design.” JASSA: The Finsia Journal of Applied Finance, Vol. 4, Financial Services Institute of Australasia, Winter 2012.
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., “The Financial Innovator,” in Vikram Khanna, Raffles Conversations, Business Times, Singapore, 204-209, 2014
Merton, Robert C., “Observations on Financial Education and Consumer Financial Protection,” in Life-Cycle Investing: Financial Education and Consumer Protection, eds., Z. Bodie, L.B. Siegel, and L. Stanton, The Research Foundation of the CFA Institute, pp. 1-20, 2012.
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.
Exhibits
Baker Library Historical Collections
Option Pricing in Theory & Practice: The Nobel Price Research of Robert C. Merton