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Merton, Robert Cox

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Author ID: merton.robert-c Recent zbMATH articles by "Merton, Robert Cox"
Published as: Merton, Robert C.
Homepage: http://robertcmerton.com/
External Links: MGP · Wikidata · GND
Awards: Nobel Memorial Prize in Economic Sciences (1997)
Documents Indexed: 11 Publications since 1971, including 1 Book
Biographic References: 2 Publications

Co-Authors

10 single-authored
1 Samuelson, Paul Anthony

Publications by Year

Citations contained in zbMATH Open

11 Publications have been cited 3,079 times in 2,767 Documents Cited by Year
Optimum consumption and portfolio rules in a continuous-time model. Zbl 1011.91502
Merton, Robert C.
957
1971
Option pricing when underlying stock returns are discontinuous. Zbl 1131.91344
Merton, Robert C.
858
1976
Theory of rational option pricing. Zbl 1257.91043
Merton, Robert C.
760
1973
Continuous-time finance. Zbl 1019.91502
Merton, Robert C.
251
1999
An intertemporal capital asset pricing model. Zbl 0283.90003
Merton, Robert C.
224
1973
Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods. Zbl 1131.91345
Merton, Robert C.; Samuelson, Paul A.
22
1974
On the microeconomic theory of investment under uncertainty. Zbl 0522.90006
Merton, Robert C.
3
1982
On the pricing of corporate debt: the risk structure of interest rates. Zbl 1418.91589
Merton, Robert C.
1
2007
Optimal investment strategies for university endowment funds. Zbl 0933.91014
Merton, Robert C.
1
1998
A model of contract guarantees for credit-sensitive, opaque financial intermediaries. Zbl 1049.91507
Merton, Robert C.
1
1997
On the role of the Wiener process in finance theory and practice: the case of replicating portfolios. Zbl 0904.90014
Merton, Robert C.
1
1997
On the pricing of corporate debt: the risk structure of interest rates. Zbl 1418.91589
Merton, Robert C.
1
2007
Continuous-time finance. Zbl 1019.91502
Merton, Robert C.
251
1999
Optimal investment strategies for university endowment funds. Zbl 0933.91014
Merton, Robert C.
1
1998
A model of contract guarantees for credit-sensitive, opaque financial intermediaries. Zbl 1049.91507
Merton, Robert C.
1
1997
On the role of the Wiener process in finance theory and practice: the case of replicating portfolios. Zbl 0904.90014
Merton, Robert C.
1
1997
On the microeconomic theory of investment under uncertainty. Zbl 0522.90006
Merton, Robert C.
3
1982
Option pricing when underlying stock returns are discontinuous. Zbl 1131.91344
Merton, Robert C.
858
1976
Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods. Zbl 1131.91345
Merton, Robert C.; Samuelson, Paul A.
22
1974
Theory of rational option pricing. Zbl 1257.91043
Merton, Robert C.
760
1973
An intertemporal capital asset pricing model. Zbl 0283.90003
Merton, Robert C.
224
1973
Optimum consumption and portfolio rules in a continuous-time model. Zbl 1011.91502
Merton, Robert C.
957
1971
all top 5

Cited by 3,719 Authors

38 Siu, Tak Kuen
24 Shin, Yong Hyun
21 Elliott, Robert James
20 Forsyth, Peter A.
20 Platen, Eckhard
19 Madan, Dilip B.
19 Yang, Hailiang
17 Kraft, Holger
17 Zhu, Songping
15 Korn, Ralf
15 Steffensen, Mogens
14 Young, Virginia R.
12 Aït-Sahalia, Yacine
12 Dang, Duy Minh
12 Jarrow, Robert Alan
12 Josa-Fombellida, Ricardo
12 Seifried, Frank Thomas
11 Chiarella, Carl
11 Rincón-Zapatero, Juan Pablo
9 Bernard, Carole
9 Bo, Lijun
9 Chen, An
9 Dai, Min
9 Detemple, Jerome B.
9 Escobar, Marcos
9 Li, Zhongfei
9 Lioui, Abraham
8 Boyle, Phelim P.
8 Carr, Peter P.
8 Company, Rafael
8 Devolder, Pierre
8 Kim, Jeong-Hoon
8 Mao, Xuerong
8 Mariani, Maria Cristina
8 Milevsky, Moshe Arye
8 Schachermayer, Walter
8 Sgarra, Carlo
8 Tangman, Désiré Yannick
8 Wei, Jiaqin
8 Yan, Wei
8 Zagst, Rudi
8 Zhang, Jin E.
7 Aase, Knut Kristian
7 Bayraktar, Erhan
7 Bollerslev, Tim
7 Branger, Nicole
7 Buckley, Winston S.
7 Fabozzi, Frank J.
7 Jeon, Junkee
7 Jódar Sanchez, Lucas Antonio
7 Kallsen, Jan
7 Levendorskiĭ, Sergeĭ Zakharovich
7 Marazzina, Daniele
7 Muhle-Karbe, Johannes
7 Munk, Claus
7 Obloj, Jan K.
7 Oosterlee, Cornelis Willebrordus
7 Pliska, Stanley R.
7 Rachev, Svetlozar T.
7 Shen, Yang
7 Shim, Gyoocheol
7 Soner, Halil Mete
7 Todorov, Viktor
7 Vanduffel, Steven
7 Vázquez Cendón, Carlos
7 von Sydow, Lina
7 Zariphopoulou, Thaleia
6 Atkinson, Colin
6 Chang, Hao
6 Cui, Zhenyu
6 Cvitanić, Jakša
6 El Karoui, Nicole
6 Gao, Jianwei
6 Geman, Hélyette
6 Guasoni, Paolo
6 He, Xinjiang
6 Henderson, Vicky
6 Ishimura, Naoyuki
6 Jang, Bong-Gyu
6 Lee, Hoseok
6 Li, Chenxu
6 Liang, Zhibin
6 Linetsky, Vadim
6 Mahayni, Antje
6 Menoncin, Francesco
6 Mnif, Mohamed
6 Pham, Huyên
6 Sethi, Suresh P.
6 Ševčovič, Daniel
6 Shiu, Elias S. W.
6 Vellekoop, Michel H.
6 Wang, Shouyang
6 Wang, Song
6 Wang, Yongjin
6 Wong, Hoi Ying
6 Wu, Zhen
6 Yang, Zhou
6 Yoon, Ji-Hun
6 Zapatero, Fernando
6 Zhu, Yuanguo
...and 3,619 more Authors
all top 5

Cited in 335 Serials

173 Journal of Economic Dynamics & Control
169 Insurance Mathematics & Economics
139 Quantitative Finance
113 European Journal of Operational Research
102 International Journal of Theoretical and Applied Finance
93 Journal of Econometrics
85 Mathematical Finance
67 Journal of Computational and Applied Mathematics
56 Applied Mathematics and Computation
52 Computers & Mathematics with Applications
49 Review of Derivatives Research
46 Applied Mathematical Finance
44 Mathematics and Financial Economics
43 Annals of Operations Research
42 Finance and Stochastics
41 Journal of Economic Theory
40 Economics Letters
40 Asia-Pacific Financial Markets
38 Annals of Finance
37 Journal of Mathematical Economics
29 The Annals of Applied Probability
28 Stochastic Processes and their Applications
27 Journal of Mathematical Analysis and Applications
24 Mathematical Methods of Operations Research
24 SIAM Journal on Financial Mathematics
23 Journal of Optimization Theory and Applications
23 Mathematical Problems in Engineering
22 Decisions in Economics and Finance
21 Mathematical and Computer Modelling
20 Applied Numerical Mathematics
20 North American Actuarial Journal
19 Physica A
19 Operations Research Letters
19 Stochastic Analysis and Applications
17 Chaos, Solitons and Fractals
17 Discrete Dynamics in Nature and Society
17 Scandinavian Actuarial Journal
17 ASTIN Bulletin
17 Journal of Industrial and Management Optimization
16 International Journal of Computer Mathematics
15 Statistics & Probability Letters
15 Abstract and Applied Analysis
14 Computational Economics
14 Computational Management Science
14 Stochastics
13 Applied Mathematics and Optimization
13 Journal of Systems Science and Complexity
12 The Annals of Statistics
12 Journal of Applied Probability
12 Mathematics and Computers in Simulation
12 Acta Mathematicae Applicatae Sinica. English Series
11 Communications in Statistics. Theory and Methods
11 Computational Statistics and Data Analysis
10 Mathematical Social Sciences
10 Applied Stochastic Models in Business and Industry
10 The ANZIAM Journal
10 Journal of Applied Mathematics
9 SIAM Journal on Control and Optimization
9 Japan Journal of Industrial and Applied Mathematics
9 Economic Theory
9 Bernoulli
9 Methodology and Computing in Applied Probability
8 Journal of Statistical Physics
8 Automatica
8 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
8 Applied Mathematics Letters
8 International Journal of Stochastic Analysis
7 Journal of Scientific Computing
7 Automation and Remote Control
7 Applied Mathematics. Series B (English Edition)
7 Computational and Applied Mathematics
6 Advances in Applied Probability
6 Mathematics of Operations Research
6 Numerische Mathematik
6 Computers & Operations Research
6 Journal of Mathematical Sciences (New York)
6 Soft Computing
6 Communications in Nonlinear Science and Numerical Simulation
6 Fuzzy Optimization and Decision Making
6 Mathematical Control and Related Fields
5 International Journal of Control
5 Mathematical Methods in the Applied Sciences
5 Optimization
5 Computational Mathematics and Modeling
5 Cybernetics and Systems Analysis
5 Monte Carlo Methods and Applications
5 Complexity
5 Studies in Nonlinear Dynamics and Econometrics
5 Journal of Applied Mathematics and Decision Sciences
5 Econometric Theory
5 Nonlinear Analysis. Real World Applications
5 OR Spectrum
5 Journal of the Korean Statistical Society
5 Discrete and Continuous Dynamical Systems. Series S
5 European Actuarial Journal
5 East Asian Journal on Applied Mathematics
4 Theory of Probability and its Applications
4 Fuzzy Sets and Systems
4 SIAM Journal on Numerical Analysis
4 Optimal Control Applications & Methods
...and 235 more Serials
all top 5

Cited in 43 Fields

2,481 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
934 Probability theory and stochastic processes (60-XX)
386 Statistics (62-XX)
374 Systems theory; control (93-XX)
333 Numerical analysis (65-XX)
217 Partial differential equations (35-XX)
215 Operations research, mathematical programming (90-XX)
162 Calculus of variations and optimal control; optimization (49-XX)
38 Integral equations (45-XX)
23 Ordinary differential equations (34-XX)
21 Approximations and expansions (41-XX)
15 Computer science (68-XX)
14 Integral transforms, operational calculus (44-XX)
13 Operator theory (47-XX)
11 Statistical mechanics, structure of matter (82-XX)
9 Real functions (26-XX)
7 Biology and other natural sciences (92-XX)
6 Linear and multilinear algebra; matrix theory (15-XX)
6 Dynamical systems and ergodic theory (37-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
5 General and overarching topics; collections (00-XX)
5 History and biography (01-XX)
5 Mathematical logic and foundations (03-XX)
4 Fluid mechanics (76-XX)
3 Functional analysis (46-XX)
3 Global analysis, analysis on manifolds (58-XX)
3 Relativity and gravitational theory (83-XX)
2 Combinatorics (05-XX)
2 Measure and integration (28-XX)
2 Mechanics of particles and systems (70-XX)
2 Quantum theory (81-XX)
2 Information and communication theory, circuits (94-XX)
1 Number theory (11-XX)
1 Nonassociative rings and algebras (17-XX)
1 Functions of a complex variable (30-XX)
1 Special functions (33-XX)
1 Abstract harmonic analysis (43-XX)
1 Geometry (51-XX)
1 Convex and discrete geometry (52-XX)
1 Algebraic topology (55-XX)
1
1 Classical thermodynamics, heat transfer (80-XX)
1 Geophysics (86-XX)

Citations by Year

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