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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.; Merton, Robert; Merton, R. C.
Homepage: http://robertcmerton.com/
External Links: MGP · Wikidata · GND · IdRef
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

10 Publications have been cited 3,045 times in 2,770 Documents Cited by Year
Optimum consumption and portfolio rules in a continuous-time model. Zbl 1011.91502
Merton, Robert C.
969
1971
Option pricing when underlying stock returns are discontinuous. Zbl 1131.91344
Merton, Robert C.
878
1976
Theory of rational option pricing. Zbl 1257.91043
Merton, Robert C.
782
1973
An intertemporal capital asset pricing model. Zbl 0283.90003
Merton, Robert C.
229
1973
Continuous-time finance. Zbl 1019.91502
Merton, Robert C.
159
1999
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
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 pricing of corporate debt: the risk structure of interest rates. Zbl 1418.91589
Merton, Robert C.
1
2007
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.
159
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 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.
878
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.
782
1973
An intertemporal capital asset pricing model. Zbl 0283.90003
Merton, Robert C.
229
1973
Optimum consumption and portfolio rules in a continuous-time model. Zbl 1011.91502
Merton, Robert C.
969
1971
all top 5

Cited by 3,613 Authors

37 Siu, Tak Kuen
25 Shin, Yong Hyun
21 Elliott, Robert James
21 Forsyth, Peter A.
20 Platen, Eckhard
19 Yang, Hailiang
18 Madan, Dilip B.
17 Kraft, Holger
17 Zhu, Songping
15 Steffensen, Mogens
14 Korn, Ralf
13 Dang, Duy Minh
12 Aït-Sahalia, Yacine
12 Jarrow, Robert Alan
12 Josa-Fombellida, Ricardo
12 Seifried, Frank Thomas
12 Young, Virginia R.
11 Chiarella, Carl
11 Rincón-Zapatero, Juan Pablo
9 Bo, Lijun
9 Carr, Peter P.
9 Chen, An
9 Dai, Min
9 Detemple, Jerome B.
9 Escobar, Marcos
9 Li, Zhongfei
9 Lioui, Abraham
8 Bernard, Carole
8 Boyle, Phelim P.
8 Company, Rafael
8 Devolder, Pierre
8 Mao, Xuerong
8 Milevsky, Moshe Arye
8 Obloj, Jan K.
8 Schachermayer, Walter
8 Sgarra, Carlo
8 Tangman, Désiré Yannick
8 Vetzal, Kenneth R.
8 Wei, Jiaqin
8 Yan, Wei
8 Zagst, Rudi
8 Zhang, Jin E.
7 Aase, Knut Kristian
7 Bollerslev, Tim
7 Branger, Nicole
7 Cui, Zhenyu
7 Henderson, Vicky
7 Jang, Bong-Gyu
7 Jeon, Junkee
7 Jódar Sanchez, Lucas Antonio
7 Kallsen, Jan
7 Kim, Jeong-Hoon
7 Levendorskiĭ, Sergeĭ Zakharovich
7 Marazzina, Daniele
7 Muhle-Karbe, Johannes
7 Munk, Claus
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 von Sydow, Lina
7 Yoon, Ji-Hun
7 Zariphopoulou, Thaleia
7 Zhu, Yuanguo
6 Buckley, Winston S.
6 Chang, Hao
6 Ching, Wai-Ki
6 Cvitanić, Jakša
6 Das, Sanjiv Ranjan
6 El Karoui, Nicole
6 Gao, Jianwei
6 Geman, Hélyette
6 Guasoni, Paolo
6 Guo, Junyi
6 He, Xinjiang
6 Ishimura, Naoyuki
6 Lee, Hoseok
6 Liang, Zongxia
6 Linetsky, Vadim
6 Mahayni, Antje
6 Menoncin, Francesco
6 Mnif, Mohamed
6 Park, Seyoung
6 Pham, Huyên
6 Ševčovič, Daniel
6 Shiu, Elias S. W.
6 Vanduffel, Steven
6 Vázquez Cendón, Carlos
6 Vellekoop, Michel H.
6 Wang, Song
6 Wang, Yongjin
6 Wong, Hoi Ying
6 Yang, Zhou
6 Zapatero, Fernando
5 Atkinson, Colin
5 Bayraktar, Erhan
5 Bensoussan, Alain
...and 3,513 more Authors
all top 5

Cited in 340 Serials

169 Insurance Mathematics & Economics
164 Journal of Economic Dynamics & Control
147 Quantitative Finance
113 European Journal of Operational Research
103 International Journal of Theoretical and Applied Finance
87 Journal of Econometrics
85 Mathematical Finance
67 Journal of Computational and Applied Mathematics
53 Applied Mathematics and Computation
51 Computers & Mathematics with Applications
51 Applied Mathematical Finance
50 Review of Derivatives Research
48 Mathematics and Financial Economics
43 Annals of Operations Research
43 Finance and Stochastics
42 Economics Letters
42 Asia-Pacific Financial Markets
39 Journal of Economic Theory
39 Annals of Finance
35 Journal of Mathematical Economics
29 The Annals of Applied Probability
28 Stochastic Processes and their Applications
25 SIAM Journal on Financial Mathematics
24 Mathematical Methods of Operations Research
23 Journal of Mathematical Analysis and Applications
23 Journal of Optimization Theory and Applications
23 Mathematical Problems in Engineering
23 Decisions in Economics and Finance
21 Applied Numerical Mathematics
21 Journal of Industrial and Management Optimization
20 North American Actuarial Journal
19 Stochastic Analysis and Applications
19 Mathematical and Computer Modelling
19 Scandinavian Actuarial Journal
17 Chaos, Solitons and Fractals
17 Discrete Dynamics in Nature and Society
17 ASTIN Bulletin
16 Operations Research Letters
16 International Journal of Computer Mathematics
15 Physica A
15 Abstract and Applied Analysis
15 Computational Management Science
14 Computational Economics
14 Stochastics
13 Applied Mathematics and Optimization
13 Statistics & Probability Letters
13 Journal of Systems Science and Complexity
12 The Annals of Statistics
12 Journal of Applied Probability
12 Acta Mathematicae Applicatae Sinica. English Series
12 Communications in Statistics. Theory and Methods
11 Mathematics and Computers in Simulation
11 Computational Statistics and Data Analysis
10 Mathematical Social Sciences
10 Japan Journal of Industrial and Applied Mathematics
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 Economic Theory
9 Bernoulli
9 Methodology and Computing in Applied Probability
8 Journal of Statistical Physics
8 Applied Mathematics Letters
8 Computational and Applied Mathematics
7 Automatica
7 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
7 Journal of Scientific Computing
7 Automation and Remote Control
7 Applied Mathematics. Series B (English Edition)
7 Communications in Nonlinear Science and Numerical Simulation
7 International Journal of Stochastic Analysis
6 Advances in Applied Probability
6 Mathematics of Operations Research
6 Numerische Mathematik
6 Optimization
6 Computers & Operations Research
6 Journal of Mathematical Sciences (New York)
6 Soft Computing
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 Computational Mathematics and Modeling
5 Cybernetics and Systems Analysis
5 Complexity
5 Studies in Nonlinear Dynamics and Econometrics
5 Journal of Applied Mathematics and Decision Sciences
5 Econometric Theory
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
4 Acta Applicandae Mathematicae
4 Journal of Economics
...and 240 more Serials
all top 5

Cited in 43 Fields

2,485 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
930 Probability theory and stochastic processes (60-XX)
382 Statistics (62-XX)
372 Systems theory; control (93-XX)
337 Numerical analysis (65-XX)
220 Operations research, mathematical programming (90-XX)
216 Partial differential equations (35-XX)
159 Calculus of variations and optimal control; optimization (49-XX)
38 Integral equations (45-XX)
21 Ordinary differential equations (34-XX)
18 Approximations and expansions (41-XX)
15 Integral transforms, operational calculus (44-XX)
14 Computer science (68-XX)
13 Operator theory (47-XX)
12 Statistical mechanics, structure of matter (82-XX)
9 Real functions (26-XX)
7 Biology and other natural sciences (92-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 Mathematical logic and foundations (03-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
4 History and biography (01-XX)
4 Fluid mechanics (76-XX)
3 Functional analysis (46-XX)
3 Global analysis, analysis on manifolds (58-XX)
3 Quantum theory (81-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 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 Convex and discrete geometry (52-XX)
1 Algebraic topology (55-XX)
1 Mechanics of deformable solids (74-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Geophysics (86-XX)
1 Mathematics education (97-XX)

Citations by Year

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