Fischer Black

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Fischer Black

Fischer Sheffey Black (born January 11, 1938 in Georgetown, Washington DC , † August 30, 1995 in New York ) was an American economist . Together with Myron Scholes , he developed the Black-Scholes model for evaluating financial options .

Life

Black received his PhD in applied mathematics from Harvard University in 1964 , after receiving his bachelor's degree in physics there in 1958. Later (from 1971) he worked as a professor at the economics faculty of the University of Chicago and at the MIT - Sloan School of Management (from 1980). In 1973 Black published The Pricing of Options and Corporate Liabilities . From 1984 he worked for the investment bank Goldman Sachs . There he was also involved in the development of the Black Derman Toy model for valuing option trades and the Black Litterman method .

At the Sloan School he met Myron Scholes and later Robert C. Merton know. As a result of this scientific collaboration, work on the valuation of stock options called the Black-Scholes model became known. The results of this work led to the 1997 Alfred Nobel Memorial Prize for Economics (“ Nobel Prize in Economics”). Fischer Black, however, had died of throat cancer two years earlier and received posthumous appreciation at the Nobel Prize ceremony .

The Fischer Black Prize is awarded in memory of him.

Work (selection)

  • Banking and Interest Rates in a World without Money: the effects of uncontrolled banking , 1970, Journal of Banking Research
  • Active and Passive Monetary Policy in a Neoclassical Model , 1972, Journal of Finance
  • The Valuation of Option Contracts and a Test of Market Efficiency , with MS Scholes , 1972, Journal of Finance
  • Capital Market Equilibrium with Restricted Borrowing , 1972, Journal of Business
  • The Capital-Asset Pricing Model: Some empirical tests , with M. Jensen and MS Scholes, 1972, in Jensen, editor, Studies in the Theory of Capital Markets
  • The Pricing of Options and Corporate Liabilities , with MS Scholes, 1973, JPE
  • The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns , with MS Scholes, 1974, Journal of Financial Economics
  • International Capital Market Equilibrium with Investment Barriers , 1974, Journal of Financial Economics
  • Uniqueness of the Price Level in Monetary Growth Models with Rational Expectations , 1974, JET
  • The Pricing of Commodity Contracts , 1976, Journal of Financial Econ
  • An Approach to the Regulation of Bank Holding Companies , with MH Miller and RA Posner, 1978, Journal of Business
  • Global Monetarism in a World of National Currencies , 1978, Columbia Journal of World Business
  • The Magic in Earnings: economic earnings versus accounting earnings , 1980, Journal of Financial Analysis
  • When Is a Positive Income Tax Optimal? , 1981, NBER Working Paper No. W0631
  • General Equilibrium and Business Cycles , 1982, NBER Working Paper No. W0950
  • The Tax Advantages of Pension Fund Investments in Bonds , 1980, NBER Working Paper No. W053
  • Noise , 1986, Journal of Finance
  • Equilibrium Exchange Rate Hedging , 1989, NBER Working Paper No. W2947
  • Hedging, Speculation, and Systemic Risk , 1989, Journal of Derivatives, Vol. 2, No. 4th
  • Mean Reversion and Consumption Smoothing , 1989, NBER Working Paper No. W2946

Web links

Individual evidence

  1. ↑ Fischer Black. University of St Andrews, Scotland, April 2007, accessed January 19, 2018 .
personal data
SURNAME Black, fisherman
ALTERNATIVE NAMES Black, Fischer Sheffey (full name)
BRIEF DESCRIPTION American economist
DATE OF BIRTH January 11, 1938
PLACE OF BIRTH Georgetown, Washington DC
DATE OF DEATH August 30, 1995
Place of death new York