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Merton, Robert C.

812 citations0/0 files storedEncyclopedia of Quantitative Finance

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Stochastic processes and financial applications Biographical and Historical Analysis Financial Markets and Investment Strategies

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Abstract Robert C. Merton is John and Natty McArthur University Professor at Harvard Business School. He shared the Nobel Prize in Economic Sciences in 1997. He introduced Ito calculus to finance and economics and made significant contributions in asset pricing, corporate finance, empirical finance, and financial systems. His most notable works include the intertemporal capital asset pricing model, the Black–Scholes–Merton option pricing formula, the Merton jump‐diffusion model, and the Merton structural model for credit risk.

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1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1991Continuous-Time Finance.

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