Fischer Black 金融天才（BS公式、CDS、CPPI之父）

Fischer Black

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Fischer Black
Born	January 11, 1938 Georgetown, U.S.
Died	August 30, 1995 (aged 57) New York, U.S.
Residence	U.S.
Citizenship	American
Fields	Economics Mathematical Finance
Institutions	University of Chicago, GSB MIT Sloan School of Management Goldman Sachs
Alma mater	Harvard University
Doctoral advisor	Anthony Oettinger
Known for	Black-Scholes equation Black-76 model Black-Derman-Toy model Black-Karasinski model Black-Litterman model Black's approximation
Notable awards	1994, IAFE Financial Engineer of the Year[1][2]

Fischer Sheffey Black (January 11, 1938 - August 30, 1995) was an American economist, best known as one of the authors of the famous Black-Scholes equation.

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[edit] Background

Black received a Ph.D. in Applied Mathematics from Harvard University in 1964. He was a student of Marvin Minsky^[3][4] and worked on problems in Artificial Intelligence. In 1971 he began to work at the University of Chicago. He later left the University of Chicago to work at the MIT Sloan School of Management. In 1984 he joined Goldman Sachs.

[edit] Economic career

Black began thinking seriously about monetary policy around 1970, and found at this time that the big debate in this field was between Keynesians and monetarists. The Keynesians (under the leadership, at that moment, of Franco Modigliani) believe there is a natural tendency of the credit markets toward instability, toward boom and bust, and they assign to both monetary and fiscal policy roles in dampening down this cycle, working toward the goal of smooth sustainable growth. In the Keynesian view, central bankers have to have discretionary powers to fulfill their role properly. Monetarists, under the leadership of Milton Friedman, believe that discretionary central banking is the problem, not the solution. Friedman believed that the growth of the money supply could and should be set at a constant rate, say 3% a year, to accommodate predictable population growth.

On the basis of the capital asset pricing model, Black concluded that discretionary monetary policy could not do the good that Keynesians wanted it to do. But he also concluded that it could not do the harm monetarists feared it would do. Black said in a letter to Friedman, in January 1972:

In the U.S. economy, much of the public debt is in the form of Treasury bills. Each week, some of these bills mature, and new bills are sold. If the Federal Reserve System tries to inject money into the private sector, the private sector will simply turn around and exchange its money for Treasury bills at the next auction. If the Federal Reserve withdraws money, the private sector will allow some of its Treasury bills to mature without replacing them.

In 1973, Black, along with Myron Scholes published the paper 'The Pricing of Options and Corporate Liabilities' in 'The Journal of Political Economy'.^[5] This was his most famous work and included the Black-Scholes equation.

In March 1976, Black proposed that human capital and business have "ups and downs that are largely unpredictable [...] because of basic uncertainty about what people will want in the future and about what the economy will be able to produce in the future. If future tastes and technology were known, profits and wages would grow smoothly and surely over time." A boom is a period when technology matches well with demand. A bust is a period of mis-match.

[edit] Illness and death

In early 1994, Black was diagnosed with throat cancer. Surgery at first appeared successful, and Black was well enough to attend the annual meeting of the International Association of Financial Engineers that October, where he received their award as Financial Engineer of the Year. But the cancer returned, and Black died in August 1995.

[edit] Posthumous recognition

The Nobel Prize is not given posthumously, so it was not awarded to Black in 1997 when his co-author Myron Scholes received the honor for their landmark work on option pricing along with Robert C. Merton, another pioneer in the development of valuation of stock options. In the announcement of the award that year, the Nobel committee prominently mentioned Black's key role.

Black has also received recognition as the co-author of the Black-Derman-Toy interest-rate derivatives model, which was developed for in-house use by Goldman Sachs in the 1980s but eventually published.

[edit] Fischer Black Prize

In 2002, the American Finance Association established the biennially awarded Fischer Black Prize. The award is given to a young researcher whose body of work "best exemplifies the Fischer Black hallmark of developing original research that is relevant to finance practice."^[6]

The inaugural prize was presented in 2003 and recipients have been:

• Raghuram G. Rajan, 2003. For work on "the role of institutions in finance and their effects on economic growth."^[7]

• Tobias J. Moskowitz, 2007. For "ingenious and careful use of newly available data to address fundamental questions in finance."^[8]

No winner was announced in 2005. ^[9]

[edit] References

1. ^ "IAFE Events Archive, Awards". Retrieved on 2007-06-20.
2. ^ Finnegan, Jim. "IAFE Holds Annual Award Dinner", Financial Engineering News. Retrieved on 2007-06-20. 
3. ^ Marvin Minsky's Home Page
4. ^ Perry Mehrling, "Fischer Black and the Revolutionary Idea of Finance", Wiley (2005), 400 pages, ISBN 978-0471457329
5. ^ "The Pricing of Options and Corporate Liabilities". Retrieved on 2008-04-05.
6. ^ "American Finance Association, Fischer Black Prize". Retrieved on 2007-06-20.
7. ^ George Constantinides, chairman of prize selection committee, in: Chan, Jesamine (2003-01-23). "Rajan wins first Fischer Black Prize", The University of Chicago Chronicle. Retrieved on 2007-06-20. 
8. ^ American Finance Association announcement quote in: "University of Chicago Graduate School of Business Professor Named Top Finance Scholar Under Age 40 by American Finance Association", Chicago Graduate School of Business (2007-01-10). Retrieved on 2007-06-20. 
9. ^ "Toby Moskowitz ('98) Receives 2007 Fischer Black Prize from American Finance Association", UCLA Anderson School of Management. Retrieved on 2007-06-20. 

[edit] Selected bibliography

[edit] Literature on Fischer Black

• Fischer Black and the Revolutionary Idea of Finance, by Perry Mehrling, published by Wiley, August 2005, ISBN 0-471-45732-9

[edit] Publications by Fischer Black

• Fischer Black, Myron Scholes, & Micheal Jensen, "The Capital-Asset Pricing Model: Some empirical tests", in Jensen, editor, Studies in the Theory of Capital Markets (1972).

• Fischer Black & Myron Scholes, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy (1973).

• F. Black & M. Scholes, "The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns", Journal of Financial Economics (1974).

• F. Black, "Fact and Fantasy in the Use of Options", Financial Analysts Journal 31, pp36-41, 61-72 (July/August 1975).

• F. Black, "The Pricing of Commodity Contracts", 1976, Journal of Financial Economics.

• F. Black, "Noise", Journal of Finance, vol. 41, pp. 529-543 (1986).

• Fischer Black, Business Cycles and Equilibrium, Basil Blackwell, 1987.

• F. Black, E. Derman, & W. Toy, "A One-Factor Model of Interest Rates and its Application to Treasury Bond Options", Financial Analyst Journal (1990).

• F. Black & R. Litterman, "Global Portfolio Optimization", Financial Analysts Journal vol. 48, no. 5, pp. 28-43 (1992).

• F. Black, "Interest Rates as Options", Journal of Finance, vol. 50, pp. 1371-1376 (1995).

• Fischer Black, Exploring General Equilibrium, MIT Press, 1995.