Fischer Black and the Revolutionary Idea of Finance

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9780471457329: Fischer Black and the Revolutionary Idea of Finance

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.

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From the Inside Flap:

In December of 1997, Robert Merton and Myron Scholes took the stage in Stockholm to accept the Nobel Prize in Economics. Absent from the podium was Fischer Black, the "Black" of the famous Black-Scholes options pricing formula, the formula that was to the derivatives revolution in finance what the discovery of the structure of DNA was to biotechnology. Black had died in 1995, two years short of the ultimate accolade.

Although the options formula made him famous, it was only one of Black's numerous contributions to finance, including portfolio insurance, commodity futures pricing, bond swaps and interest rate futures, and global asset allocation models that have become standard in the world of finance. Amazingly, he did it all despite having no formal training in finance or economics, and despite spending the bulk of his career in business settings. Certainly the most notable non-academic theoretician of modern finance, Fischer Black was one of a kind.

Black's fertile intellect also honed in on the theory of money and business cycles, where he mounted a searching critique of macroeconomic orthodoxy, and sketched the beginning of an alternative. Although largely ignored during his lifetime, Black's views anticipated later developments in macroeconomics, including the rational expectations revolution that would win the Nobel for Robert Lucas in 1995, and the real business cycle theory that would win the Nobel for Edward Prescott and Finn Kydland in 2004.

How did he do it all, and in a career dramatically shortened by a late start and a premature end? Fischer Black and the Revolutionary Idea of Finance explores Fischer Black's intellectual journey from Harvard to the offices of ADL, from the University of Chicago to MIT, and then to Goldman Sachs. Years of research and interviews with Black's business and academic associates, as well as family and friends, is distilled by author Perry Mehrling into a scholarly yet personal story of the formation and development of the extraordinary mind and unique character of this unassuming renegade.

The story of Fischer Black intertwines with the larger story of the development of finance and economicsin the last decades of the twentieth century. The giants of that story—Paul Samuelson, Franco Modigliani, William Sharpe, Merton Miller, Milton Friedman, Richard Posner—were all sparring partners of Fischer Black. And at the same time, every significant advance in practical finance—from index mutual funds and bank deregulation, to financial futures and electronic trading, to globalization and financial engineering—was just more grist for Fischer Black's mill. He was, more than anyone else, the high priest of modern finance, who saw the big picture that linked up all the smaller developments, both theoretical and practical.

That big picture was all about risk, and about a sea change in our understanding of the place of risk in modern society. Fischer Black learned the capital asset pricing model (CAPM) that teaches a scientific approach to risk, telling when and how to avoid it, but also when and how to embrace it. He lived his life by the dictates of that model, treating risk as nothing more than the price of reward.

Fischer Black and the Revolutionary Idea of Finance tells the story of one man's intellectual adventure at the very center of modern finance. It is a story about the birth of quantitative finance and financial engineering. It is also the story about the continuing human quest to defeat the "dark forces of time and ignorance," as John Maynard Keynes famously put it. In 1995, the dark forces caught up with Fischer himself, but his quest lives on.

From the Back Cover:

PRAISE FOR FISCHER BLACK AND THE REVOLUTIONARY IDEA OF FINANCE

"Perry Mehrling's fascinating book provides a rich picture of Fischer Black—the man's spirit, his brilliant ideas, the times in which he worked, and the people with whom he collaborated and learned. Mehrling treats Black's personal life with sensitivity and charm. He treats the professional side with rare lucidity that conveys the sense of excitement in Black's intellectual discoveries."
Peter L. Bernstein, economic consultant to institutional investors, and author of Capital Ideas: The Improbable Origins of Modern Wall Street

"Fischer Black was more than a vital force in the development of finance theory. He was also a character. Perry Mehrling has captured both sides of the picture: the evolution of thinking about the pricing of risk and time, as well as the thinkers, especially this fascinating eccentric, who worked it out."
Robert M. Solow, Nobel Laureate and Institude, Professor of Economics, Emeritus, Massachusetts Institute of Technology

"Although I worked closely with Fischer for nine years at Goldman Sachs, and clearly recognized both his genius and the breadth and originality of his ideas, until I read this book I had only the vaguest grasp of the source of his inspiration, and no understanding at all of the source of his many idiosyncracies."
Bob Litterman, head of Quantitative Resources, Goldman Sachs Asset Management

"Perry Mehrling's rendition of the evolution of modern finance paints an informative picture of both the subject matter and its principal architects. These innovators are giants, all. Fischer Black, however, stands out among his peers, not only for his seminal contributions, but for the allure of his distinct idiosyncrasies . . . exhibiting the beingness of an extraordinary human; indeed, one I knew well."
Mac McQuown, Principal, Diversified Credit Investments, LLC Director, Dimensional Fund Advisors, and former chairman, KMV Corporation

"Perry Mehrling has done a remarkable job of tracing the intellectual and personal development of one of the most original and complex thinkers of our generation. Fischer Black deserved it: a charming and brilliant book about a charming and brilliant man."
Robert E. Lucas, Jr., Nobel laureate and Professor of Economics, University of Chicago

"I thought I knew Fischer Black well, both personally and intellectually, but missed entire sections of his life and work. Perry Mehrling's book shows the whole man, who was much more remarkable than I realized."
Stewart C. Myers, Billard Professor of Finance, MIT Sloan School of Management

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