Robert C. Merton: The First Financial Engineer

Literature Cited

1. Black F, Scholes M. 1973. The pricing of options and corporate liabilities. J. Political Econ. 81:3637–54
   [Google Scholar]
2. Dannen G. 1997. The Einstein–Szilard refrigerators. Sci. Am. 276:90–95
   [Google Scholar]
3. Einstein A. 1905. On the movement of small particles in stationary liquids required by the molecular-kinetic theory of heat. Ann. Phys. 17:549–60
   [Google Scholar]
4. Einstein A. 1939. Letter to Franklin Delano Roosevelt. Aug. 2. Atomic Heritage Foundation https://www.atomicheritage.org/key-documents/einstein-szilard-letter
   [Google Scholar]
5. Fisk DL. 1963. Quasi-martingales and stochastic integrals Tech. Rep., Dep. Math., Mich. State Univ Ann Arbor:
6. Itô K. 1944. Stochastic integral. Proc. Imp. Acad. 20:519–24
   [Google Scholar]
7. Itô K. 1946. On a stochastic integral equation. Proc. Jpn. Acad. 22:32–35
   [Google Scholar]
8. Itô K. 1951. On stochastic differential equations. Mem. Am. Math. Soc. 4:1–51
   [Google Scholar]
9. Itô K, McKean HP Jr 1965. Diffusion Processes and Their Sample Paths New York: Academic
10. Khandani AE, Lo AW, Merton RC 2013. Systemic risk and the refinancing ratchet effect. J. Financ. Econ. 108:29–45
    [Google Scholar]
11. Merton RC. 1969. Lifetime portfolio selection under uncertainty: the continuous-time case. Rev. Econ. Stat. 51:247–57
    [Google Scholar]
12. Merton RC. 1971. Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3:373–413
    [Google Scholar]
13. Merton RC. 1973.. “ Continuous-time speculative processes”: appendix to Paul A. Samuelson's “Mathematics of Speculative Price. .” SIAM Rev 15:34–38
    [Google Scholar]
14. Merton RC. 1975. An asymptotic theory of growth under uncertainty. Rev. Econ. Stud. 42:375–93
    [Google Scholar]
15. Merton RC. 1994. Influence of mathematical models in finance on practice: past, present and future. Philos. Trans. R. Soc. A 347:451–63
    [Google Scholar]
16. Merton RC, Billio M, Getmansky M, Gray D, Lo AW, Pelizzon L 2013. On a new approach for analyzing and managing macrofinancial risks. Financ. Anal. J. 69:22–33
    [Google Scholar]
17. Perrow C. 1984. Normal Accidents: Living with High-Risk Technologies New York: Basic
18. Stratonovich RL. 1965. Conditional Markov Processes and Their Application to the Theory of Optimal Control Amsterdam: Elsevier
19. Stratonovich RL. 1966. A new representation for stochastic integrals and equations. SIAM J. Control 4:362–71
    [Google Scholar]
20. Treynor JL, Black F. 1973. How to use security analysis to improve portfolio selection. J. Bus. 46:66–86
    [Google Scholar]