Fischer Black
| Fischer Black | |
|---|---|
 |
|
| Born |
January 11, 1938 Washington, D.C., U.S. |
| Died | August 30, 1995 (aged 57) New York City, U.S. |
| Residence | United States |
| Citizenship | American |
| Fields |
Economics Mathematical Finance |
| Institutions |
University of Chicago Booth School of Business MIT Sloan School of Management Goldman Sachs |
| Alma mater | Harvard University |
| Doctoral advisor | Patrick Carl Fischer |
| Known for |
Black–Scholes equation Black-76 model Black–Derman–Toy model Black–Karasinski model Black–Litterman model Black's approximation Treynor–Black model |
| Notable awards | 1994, IAFE Financial Engineer of the Year |
University of Chicago Booth School of Business
MIT Sloan School of Management
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.
Black graduated from Harvard College in 1959 and received a Ph.D. in applied mathematics from Harvard University in 1964. He was initially expelled from the PhD program due to his inability to settle on a thesis topic, having switched from physics to mathematics, then to computers and artificial intelligence. Black joined the consultancy Bolt, Beranek and Newman, working on a system for artificial intelligence. He spent a summer developing his ideas at the RAND corporation. He became a student of MIT professor Marvin Minsky, and was later able to submit his research for completion of the Harvard PhD.
Black joined Arthur D. Little, where he was first exposed to economic and financial consulting and where he met his future collaborator Jack Treynor. In 1971, he began to work at the University of Chicago. He later left the University of Chicago in 1975 to work at the MIT Sloan School of Management. In 1984, he joined Goldman Sachs where he worked until his death.
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 damped 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 growth in real GDP.
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