robert c. merton : Citation Profile

Are you robert c. merton?

Massachusetts Institute of Technology (MIT)

34

H index

50

i10 index

20804

Citations

RESEARCH PRODUCTION:

51

Articles

37

Papers

1

Books

10

Chapters

RESEARCH ACTIVITY:

   52 years (1969 - 2021). See details.
   Cites by year: 400
   Journals where robert c. merton has often published
   Relations with other researchers
   Recent citing documents: 1335.    Total self citations: 28 (0.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme203
   Updated: 2023-11-04    RAS profile: 2020-06-30    
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Relations with other researchers

Works with:

Thakor, Richard (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with robert c. merton.

Is cited by:

Campbell, John (103)

Platen, Eckhard (55)

Viceira, Luis (54)

Wang, Neng (51)

Guiso, Luigi (51)

Munk, Claus (49)

Jarrow, Robert (47)

Bollerslev, Tim (46)

Venegas-Martínez, Francisco (45)

Lo, Andrew (45)

Guo, Hui (45)

Cites to:

Bodie, Zvi (22)

Dybvig, Philip (14)

Longstaff, Francis (14)

Dybvig, Phillip (13)

Jarrow, Robert (12)

Lo, Andrew (12)

Tsomocos, Dimitrios (11)

Chen, Zhiwu (11)

Kau, James (11)

Duffie, Darrell (10)

Stulz, René (10)

Main data

Where robert c. merton has published?

Journals with more than one article published# docs
The Journal of Business6
Journal of Financial Economics6
Journal of Finance5
Journal of Applied Corporate Finance4
Carnegie-Rochester Conference Series on Public Policy3
Financial Management3
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2
American Economic Review2
Annual Review of Financial Economics2
Bell Journal of Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc18

Recent works citing robert c. merton (2023 and 2022)

YearTitle of citing document
2022Option Pricing Under an Abnormal Economy: using the Square Root of the Brownian Motion. (2022). Wong, Wing-Keung ; Alghalith, Moawia. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:26:y:2022:i:special:p:4-18.

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2022Exploring the Dynamics of Investors’ Decision Making in Pakistan Stock Market: A Study of Herding Behavior. (2022). Amin, Khurram ; Rasheed, Muhammad Haroon ; Sadiq, Salma ; Hussain, Mumtaz. In: Journal of Economic Impact. RePEc:adx:journl:v:4:y:2022:i:1:p:165-173.

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2022Popular Personal Financial Advice versus the Professors. (2022). Choi, James J. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:4:p:167-92.

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2022Assessing the performance of mutual funds. (2022). Radu, Iulian ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:175-186.

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2022Model for estimating the profitability of placing asset portfolios on the capital market. (2022). Grigorescu, Dana Luiza ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:187-195.

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2023Measuring stock market uncertainty. (2023). Dakey, Prasad Teja. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:149-162.

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2023.

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2023Innovations for the Water Resource Economics Curriculum: Training the Next Generation. (2023). Ward, Frank A. In: Applied Economics Teaching Resources (AETR). RePEc:ags:aaeatr:334692.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2023Corporate Social Responsibility Practices of Banking Sector in Bangladesh: An Evaluation. (2023). Islam, Md Shajedul. In: International Journal of Science and Business. RePEc:aif:journl:v:18:y:2023:i:1:p:153-164.

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2022Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003.

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2023Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence. (2023). Segers, Johan ; Zhuman, Aigerim ; Portier, Franois ; Leluc, Remi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023019.

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2022On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022006.

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2023Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito. (2023). Perillo, Marcelo Fabian. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:11-01.

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2022Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461.

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2022Fifty years since Altman (1968): Performance of financial distress prediction models. (2022). Singh, Manish K ; Bhatia, Surbhi . In: Working Papers. RePEc:anf:wpaper:12.

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2022Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14.

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2022Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245.

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2022A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations. (2016). Hyndman, Cody Blaine ; Ngou, Polynice Oyono . In: Papers. RePEc:arx:papers:1410.8595.

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2022Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2022Game-Theoretic Optimal Portfolios for Jump Diffusions. (2018). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1812.04603.

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2022Covers Rebalancing Option With Discrete Hindsight Optimization. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1903.00829.

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2023Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2022Optimal Investment with Correlated Stochastic Volatility Factors. (2019). Fouque, Jean-Pierre ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1908.07626.

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2022Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606.

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2022Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106.

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2022Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1912.01455.

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2022Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223.

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2022Hedging using reinforcement learning: Contextual $k$-Armed Bandit versus $Q$-learning. (2020). Nuti, Giuseppe ; Cannelli, Loris ; Szehr, Oleg ; Sala, Marzio. In: Papers. RePEc:arx:papers:2007.01623.

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2022A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868.

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2022Continuous-Time Risk Contribution and Budgeting for Terminal Variance. (2020). Jia, Guangyan ; Zhao, Mengjin. In: Papers. RePEc:arx:papers:2011.10747.

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2022Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235.

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2022Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351.

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2022Deep learning for efficient frontier calculation in finance. (2021). Warin, Xavier. In: Papers. RePEc:arx:papers:2101.02044.

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2022The Climate Extended Risk Model (CERM). (2021). Garnier, Josselin. In: Papers. RePEc:arx:papers:2103.03275.

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2022Online Learning with Radial Basis Function Networks. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2103.08414.

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2022A Black-Scholes users guide to the Bachelier model. (2021). Choi, Jaehyuk ; Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk. In: Papers. RePEc:arx:papers:2104.08686.

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2022Can we imitate stock price behavior to reinforcement learn option price?. (2021). Jin, Xin. In: Papers. RePEc:arx:papers:2105.11376.

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2022What Data Augmentation Do We Need for Deep-Learning-Based Finance?. (2021). Imajo, Kentaro ; Minami, Kentaro ; Ziyin, Liu. In: Papers. RePEc:arx:papers:2106.04114.

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2022Chances for the honest in honest versus insider trading. (2021). Escudero, Carlos ; Elizalde, Mauricio. In: Papers. RePEc:arx:papers:2106.10033.

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2023Intergenerational risk sharing in a collective defined contribution pension system: a simulation study with Bayesian optimization. (2021). Zhang, Fangyuan ; Kanagawa, Motonobu ; Chen, AN. In: Papers. RePEc:arx:papers:2106.13644.

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2022Rational Pricing of Leveraged ETF Expense Ratios. (2021). Garivaltis, Alex. In: Papers. RePEc:arx:papers:2106.14820.

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2022Predicting Exporters with Machine Learning. (2021). Rungi, Armando ; Micocci, Francesca. In: Papers. RePEc:arx:papers:2107.02512.

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2022Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2023A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities. (2021). Ma, Ming ; Liu, Yang ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2107.06460.

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2022Default Distances Based on the KMV-CEV Model. (2021). Su, Wen. In: Papers. RePEc:arx:papers:2107.10226.

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2022Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041.

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2023Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2022Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504.

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2022Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030.

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2023Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2022Decentralized Governance of Stablecoins with Option Pricing. (2021). Klages-Mundt, Ariah ; Huo, Lucy ; Wind, Mads Rude ; Munter, Frederik Christian ; Minca, Andreea. In: Papers. RePEc:arx:papers:2109.08939.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2022Reinforcement Learning for Systematic FX Trading. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2110.04745.

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2022Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. (2021). Rigger, Stefan ; Reisinger, Christoph ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2111.01783.

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2023Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2023Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032.

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2023A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2022Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807.

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2023Rainbow Options under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2112.10447.

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2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

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2022Strategic mean-variance investing under mean-reverting stock returns. (2022). Jarner, Soren Fiig. In: Papers. RePEc:arx:papers:2201.05375.

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2023Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2022Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466.

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2022Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263.

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2022Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276.

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2022On Robust Optimal Linear Feedback Stock Trading. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300.

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2022Optimal annuitization post-retirement with labor income. (2022). Gao, Xiang ; Jevti, Petar ; Pirvu, Traian A ; Hyndman, Cody. In: Papers. RePEc:arx:papers:2202.04220.

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2023Black-Scholes Option Pricing Revisited?. (2022). Mink, Mark ; de Weert, Frans J. In: Papers. RePEc:arx:papers:2202.05671.

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2022Two is better than one: Regularized shrinkage of large minimum variance portfolio. (2022). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2202.06666.

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2022Forecasting Stock Options Prices via the Solution of an Ill-Posed Problem for the Black-Scholes Equation. (2022). Klibanov, Michael V ; Kravchenko, Sergey M ; Golubnichiy, Kirill V ; Shananin, Aleksander A. In: Papers. RePEc:arx:papers:2202.07174.

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2022Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach. (2022). Hellmuth, Kathrin ; Klingenberg, Christian. In: Papers. RePEc:arx:papers:2202.07378.

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2022Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks. (2022). Aydinhan, Afcsar Onat ; Mulvey, John M ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2202.07734.

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2022Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849.

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2022Hierarchical Sensitivity Parity. (2022). Rodriguez, Alejandro. In: Papers. RePEc:arx:papers:2202.08921.

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2022Schr\{o}dinger Risk Diversification Portfolio. (2022). Uchiyama, Yusuke ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2202.09939.

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2023Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060.

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2022Sequential Asset Ranking within Nonstationary Time Series. (2022). Borrageiro, Gabriel ; Barucca, Paolo ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.12186.

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2022Delta family approach for the stochastic control problems of utility maximization. (2022). Ma, Jingtang ; Cui, Zhenyu ; Lu, Zhengyang. In: Papers. RePEc:arx:papers:2202.12745.

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2023Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria. In: Papers. RePEc:arx:papers:2203.04053.

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2022Quantum advantage for multi-option portfolio pricing and valuation adjustments. (2022). Yu, Jeong ; Rebentrost, Patrick. In: Papers. RePEc:arx:papers:2203.04924.

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2022General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations. (2022). , Hyong-Chol ; Choe, Tae-Song. In: Papers. RePEc:arx:papers:2203.05726.

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2023Stochastic integral representation of solutions to Hodge theoretic Poissons equations on Graphs, and cooperative value allocation of Shapley and Nash. (2022). Lim, Tongseok. In: Papers. RePEc:arx:papers:2203.06860.

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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2023Optimal reinsurance under terminal value constraints. (2022). Steffensen, Mogens ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2203.16108.

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2022Consumption-investment decisions with endogenous reference point and drawdown constraint. (2022). Yuan, Fengyi ; Luo, Xiaodong ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2204.00530.

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2022Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives. (2022). Ni, Ying ; Malyarenko, Anatoliy ; Nohrouzian, Hossein. In: Papers. RePEc:arx:papers:2204.10692.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform. (2022). Zhang, Wenjun ; Li, XI ; Kim, Jeong-Hoon ; Cao, Jiling. In: Papers. RePEc:arx:papers:2205.00573.

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2022Integrating Structural and Reduced-Form Methods in Empirical Finance. (2022). Whited, Toni M. In: Papers. RePEc:arx:papers:2205.01175.

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2022A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520.

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2022Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization. (2022). Boyd, Stephen ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2205.04563.

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2023Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning. (2022). Yuan, Jun ; Wang, Zeyu ; Poulos, Zissis ; Hull, John ; Farghadani, Soroush ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2205.05614.

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2022Method of indirect estimation of default probability dynamics for industry-target segments according to the data of Bank of Russia. (2022). Pomazanov, Mikhail. In: Papers. RePEc:arx:papers:2205.05984.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2022The fractional volatility model and rough volatility. (2022). Mendes, Vilela R. In: Papers. RePEc:arx:papers:2206.02205.

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More than 100 citations found, this list is not complete...

Works by robert c. merton:

YearTitleTypeCited
1986Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices. In: American Economic Review.
[Full Text][Citation analysis]		article152
1984Dividend variability and variance bounds tests for the rationality of stock market prices.(1984) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152		paper
1998Applications of Option-Pricing Theory: Twenty-Five Years Later. In: American Economic Review.
[Full Text][Citation analysis]		article92
1997Applications of Option-Pricing Theory: Twenty-Five Years Later.(1997) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		paper
1987In Honor of Nobel Laureate, Franco Modigliani. In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article2
2009Preface to the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2013Fischer Black In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article0
2005A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article0
2006Allocating Shareholder Capital to Pension Plans In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article6
1992FINANCIAL INNOVATION AND ECONOMIC PERFORMANCE In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article99
1993THEORY OF RISK CAPITAL IN FINANCIAL FIRMS In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article99
1973The Relationship Between Put and Call Option Prices: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article19
1974Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions. In: Journal of Finance.
[Full Text][Citation analysis]		article4
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1978The Returns and Risk of Alternative Call Option Portfolio Investment Strategies. In: The Journal of Business.
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