Interview Details

Title & Link

An Interview with Nobel Laureate Robert C. Merton | Request PDF

Publish Date

February 1, 2018

Interviewees

Robert C. Merton

Interviewers

Mark P. Kritzman

Publisher

Financial Analysts Journal

Topics

collaboration with Paul Samuelson

contribution to the development of the option-pricing formula

development of continuous-time theory of optimal lifetime consumption and portfolio choice

student days at Columbia University, Caltech, and MIT

People Mentioned

Louis Bachelier

Works Mentioned

A complete model of warrant pricing that maximizes utility

Analytical optimal control theory as applied to stochastic and non-stochastic economics

Continuous-Time Finance

Lifetime Portfolio Selection By Dynamic Stochastic Programming

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

MIT and the Origins of the Modern Theory of Asset Pricing

On the mathematics and economic assumptions of continuous-time models

Optimum Consumption and Portfolio Rules in a Continuous-Time Model

Rational theory of option pricing

Rational Theory of Warrant Pricing

Robert C. Merton and the Science of Finance

The Pricing of Options And Corporate Liabilities

Theory of Finance From the Perspective of Continuous Time

Places Mentioned

Massachusetts Institute of Technology

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