Fischer Black and the Revolutionary Idea of Finance

Mehrling, Perry

1. Edition January 2012
400 Pages, Softcover
Wiley & Sons Ltd

ISBN: 978-1-118-20356-9

John Wiley & Sons

Short Description

Besides revolutionizing finance by providing the methodology to price a new instrument-through the Black-Scholes option pricing model-Fischer Black revolutionized Wall Street by effectively developing what is now known as quantitative finance. Black deciphered the universe of modern finance in ways that went underappreciated for many years-and would have won the Nobel Prize in Economics, if not for his untimely death in 1995. Now, in Fischer Black and the Revolutionary Idea of Finance, author Perry Mehrling weaves Black's personal story with the birth of modern finance into a vignette-based business biography that captures the essence of this extraordinary man. Through years of research and cooperation from nearly all of Black's business and academic associates, as well as family and friends, Mehrling explains, for the first time, the ground-breaking impact Fischer Black had on the worlds of money and finance as well as world markets. This compelling biography of the "Einstein of Finance" follows Black through his incredible career, from his undergraduate studies in physics, mathematics, and computer programming to his transition from academia to one of the most elite of firms on Wall Street-Goldman Sachs-where he developed quantitative models that tens of thousands of professionals still use today. While there is no question that Fischer Black is well-known within the investment and quantitative community, he still remains a mystery to those outside of these fields. Fischer Black and the Revolutionary Idea of Finance demystifies this genius of finance and provides an engaging and entertaining look at a man whose life's work encapsulates modern financial theory.

Further versions

The definitive story of Fischer Black, one of the greatest financial minds of all time

Besides revolutionizing finance with the Black-Scholes option pricing model, Fischer Black forever changed Wall Street by developing what is now known as quantitative finance. Fischer Black and the Revolutionary Idea of Finance explores Black's intellectual journey from Harvard to the offices of ADL, from the University of Chicago to MIT, and then to Goldman Sachs. This poignant book tells the story of one man's intellectual adventure at the very center of modern finance, fully describing the birth of quantitative finance and financial engineering along the way.
* Years of research and interviews with Black's business and academic associates, as well as family and friends, are distilled into a scholarly yet personal story of the formation and development of the extraordinary mind and unique character of this unassuming renegade
* Black deciphered the universe of modern finance in ways that went underappreciated for many years and would have won the Nobel Prize in Economics, if not for his untimely death in 1995
* Author Perry Mehrling weaves Black's personal story with the birth of modern finance into a vignette-based business biography that captures the essence of this extraordinary man, explaining, for the first time, the ground-breaking impact Fischer Black had on the worlds of money and finance as well as world markets

This compelling biography of the "Einstein of Finance" follows Fischer Black through his incredible career, from his transition from academia to one of the most elite of firms on Wall Street--Goldman Sachs--where he developed quantitative models that tens of thousands of professionals still use today. Fischer Black and the Revolutionary Idea of Finance demystifies this genius of finance and provides an engaging and entertaining look at a man whose life's work encapsulates modern financial theory.

Acknowledgments ix

Foreword xv

Preface xxi

Prologue The Price of Risk 1

ONE Thou Living Ray of Intellectual Fire 23

TWO An Idea in the Rough 49

THREE Some Kind of an Education 73

FOUR Living Up to the Model 99

FIVE Tortuous Economic Intuition 119

SIX The Money Wars 139

SEVEN Global Reach 165

EIGHT Stagflation 189

NINE Changing Fields 215

TEN What Do Traders Do? 231

ELEVEN Exploring General Equilibrium 255

Epilogue Nothing Is Constant 283

Appendix A A Financial Notes Chronology 299

Appendix B A Newsletter Chronology 301

Notes 303

References 327

Index 355

Perry Mehrling is Professor of Economics at Barnard College of Columbia University. He holds a PhD from Harvard University and is the author of The Money Interest and the Public Interest: American Monetary Thought, 1920-1970, and The New Lombard Street: How the Fed became the Dealer of Last Resort. Dr. Mehrling's specialty is the study of financial theory and the history of economics.