scholarly journals Robert C. Merton and the Science of Finance

2019 ◽  
Vol 11 (1) ◽  
pp. 1-20
Author(s):  
Zvi Bodie
Keyword(s):  
Continuous Time ◽  
Deposit Insurance ◽  
Normative Theory ◽  
Theory And Practice ◽  
Investment Strategies ◽  
Financial Systems ◽  
Sovereign Wealth Funds ◽  
Itô Calculus ◽  
Wide Range ◽  
Option Pricing Theory

Starting with his 1970 doctoral dissertation and continuing to today, Robert C. Merton has revolutionized the theory and practice of finance. In 1997, Merton shared a Nobel Prize in Economics “for a new method to determine the value of derivatives.” His contributions to the science of finance, however, go far beyond that. In this article I describe Merton's main contributions. They include the following: 1.  The introduction of continuous-time stochastic models (the Ito calculus) to the theory of household consumption and investment decisions. Merton's technique of dynamic hedging in continuous time provided a bridge between the theoretical complete-markets equilibrium model of Kenneth Arrow and the real world of personal financial planning and management. 2.  The derivation of the multifactor Intertemporal Capital Asset Pricing Model (ICAPM). The ICAPM generalizes the single-factor CAPM and explains why that model might fail to properly account for observed market excess returns. It also provides a theory to identify potential forward-looking risk premia for use in factor-based investment strategies. It is therefore both a positive and normative theory. 3.  The invention of Contingent Claims Analysis (CCA) as a generalization of option pricing theory. CCA applies the technique of dynamic replication to the valuation and risk management of a wide range of corporate and government liabilities. Merton's CCA model for the valuation and analysis of risky debt is known among scholars and practitioners alike as the Merton Model. 4.  The development of financial engineering, which employs CCA to design and produce new financial products. Merton was the first to apply CCA to analyze government guaranty programs such as deposit insurance, and to suggest improvements in the way those programs are managed. He and his students have applied his insights at both the micro and macro policy levels. 5.  And finally, the development of a theory of financial intermediation that explains and predicts how financial systems differ across countries and change over time. Merton has applied that theory, called functional and structural finance, to guide the design and regulation of financial systems at the levels of the firm, the industry, and the nation. He has also used it to propose reforms in pensions, sovereign wealth funds, and macrostabilization policy.

scholarly journals Robert C. Merton and the Science of Finance

2020 ◽  
Vol 12 (1) ◽  
pp. 19-38
Author(s):  
Zvi Bodie
Keyword(s):  
Financial Economics ◽  
Continuous Time ◽  
Deposit Insurance ◽  
Normative Theory ◽  
Theory And Practice ◽  
Annual Review ◽  
Financial Systems ◽  
Sovereign Wealth Funds ◽  
Itô Calculus ◽  
Wide Range

Starting with his 1970 doctoral dissertation and continuing to today, Robert C. Merton has revolutionized the theory and practice of finance. In 1997, Merton shared a Nobel Prize in Economics “for a new method to determine the value of derivatives.” His contributions to the science of finance, however, go far beyond that. In this article I describe Merton's main contributions. They include the following: 1.  The introduction of continuous-time stochastic models (the Ito calculus) to the theory of household consumption and investment decisions. Merton's technique of dynamic hedging in continuous time provided a bridge between the theoretical complete-markets equilibrium model of Kenneth Arrow and the real world of personal financial planning and management. 2.  The derivation of the multifactor Intertemporal Capital Asset Pricing Model (ICAPM). The ICAPM generalizes the single-factor CAPM and explains why that model might fail to properly account for observed market excess returns. It also provides a theory to identify potential forward-looking risk premia for use in factor-based investment strategies. It is therefore both a positive and normative theory. 3.  The invention of Contingent Claims Analysis (CCA) as a generalization of option pricing theory. CCA applies the technique of dynamic replication to the valuation and risk management of a wide range of corporate and government liabilities. Merton's CCA model for the valuation and analysis of risky debt is known among scholars and practitioners alike as the Merton Model. 4.  The development of financial engineering, which employs CCA to design and produce new financial products. Merton was the first to apply CCA to analyze government guaranty programs such as deposit insurance, and to suggest improvements in the way those programs are managed. He and his students have applied his insights at both the micro and macro policy levels. 5.  And finally, the development of a theory of financial intermediation that explains and predicts how financial systems differ across countries and change over time. Merton has applied that theory, called functional and structural finance, to guide the design and regulation of financial systems at the levels of the firm, the industry, and the nation. He has also used it to propose reforms in pensions, sovereign wealth funds, and macrostabilization policy. This article is one of a pair of articles published in this volume about Robert C. Merton's contributions to the science of financial economics. This article was originally published in Volume 11 of the Annual Review of Financial Economics. The other article in this pair is “ Robert C. Merton: The First Financial Engineer ” by Andrew W. Lo.

Theory and Practice of Quality Management in Lifelong Learning at a Public University

2018 ◽  
Vol 8 (2) ◽  
pp. 49-73
Author(s):  
Petr Adamec
Keyword(s):  
Lifelong Learning ◽  
Public University ◽  
Further Education ◽  
Point Of View ◽  
Theory And Practice ◽  
University Policy ◽  
Higher Education Act ◽  
Wide Range ◽  
Learning Programs ◽  
Education Act

The core issue of this paper is a quality in the lifelong learning. The aim of the contribution is to describe the area, level and dimensions of quality in a wide range of lifelong learning programs, respectively of further education, which are realized in the sense of § 60 and 60a of the Higher Education Act. The content of the paper also focuses on the theoretical and practical starting points of the quality phenomenon, both from the historical point of view and especially from the perspective of the current focus and concept of university policy in the European and Czech region. The paper also presents the results of a survey focusing on approaches to the quality assurance systems in the concept of components at selected public university.

scholarly journals Bad World: The Negativity Bias in International Politics

2019 ◽  
Vol 43 (3) ◽  
pp. 96-140 ◽  
Author(s):  
Dominic D.P. Johnson ◽  
Dominic Tierney
Keyword(s):  
International Relations ◽  
Fundamental Principle ◽  
Human Mind ◽  
Negative Information ◽  
Theory And Practice ◽  
Negativity Bias ◽  
Positive Information ◽  
Psychological Phenomena ◽  
Wide Range ◽  
New Research

A major puzzle in international relations is why states privilege negative over positive information. States tend to inflate threats, exhibit loss aversion, and learn more from failures than from successes. Rationalist accounts fail to explain this phenomenon, because systematically overweighting bad over good may in fact undermine state interests. New research in psychology, however, offers an explanation. The “negativity bias” has emerged as a fundamental principle of the human mind, in which people's response to positive and negative information is asymmetric. Negative factors have greater effects than positive factors across a wide range of psychological phenomena, including cognition, motivation, emotion, information processing, decision-making, learning, and memory. Put simply, bad is stronger than good. Scholars have long pointed to the role of positive biases, such as overconfidence, in causing war, but negative biases are actually more pervasive and may represent a core explanation for patterns of conflict. Positive and negative dispositions apply in different contexts. People privilege negative information about the external environment and other actors, but positive information about themselves. The coexistence of biases can increase the potential for conflict. Decisionmakers simultaneously exaggerate the severity of threats and exhibit overconfidence about their capacity to deal with them. Overall, the negativity bias is a potent force in human judgment and decisionmaking, with important implications for international relations theory and practice.

The Oxford Handbook of Quintilian

2021 ◽  
Keyword(s):  
Literary Criticism ◽  
Middle Ages ◽  
Performing Arts ◽  
Late Antiquity ◽  
The United States ◽  
Educational Programme ◽  
Theory And Practice ◽  
Visual And Performing Arts ◽  
Wide Range ◽  
History Of

M. Fabius Quintilianus was a prominent orator, declaimer, and teacher of eloquence in the first century ce. After his retirement he wrote the Institutio oratoria, a unique treatise in Antiquity because it is a handbook of rhetoric and an educational treatise in one. Quintilian’s fame and influence are not only based on the Institutio, but also on the two collections of Declamations which were attributed to him in late Antiquity. The Oxford Handbook of Quintilian aims to present Quintilian’s Institutio as a key treatise in the history of Graeco-Roman rhetoric and its influence on the theory and practice of rhetoric and education, from late Antiquity until the present day. It contains chapters on Quintilian’s educational programme, his concepts and classifications of rhetoric, his discussion of the five canons of rhetoric, his style, his views on literary criticism, declamation, and the relationship between rhetoric and law, and the importance of the visual and performing arts in his work. His huge legacy is presented in successive chapters devoted to Quintilian in late Antiquity, the Middle Ages, the Italian Renaissance, Northern Europe during the Renaissance, Europe from the Eighteenth to the Twentieth Century, and the United States of America. There are also chapters devoted to the biographical tradition, the history of printed editions, and modern assessments of Quintilian. The twenty-one authors of the chapters represent a wide range of expertise and scholarly traditions and thus offer a unique mixture of current approaches to Quintilian from a multidisciplinary perspective.

scholarly journals Omitted Variable Bias in GLMs of Neural Spiking Activity

2018 ◽  
Vol 30 (12) ◽  
pp. 3227-3258 ◽  
Author(s):  
Ian H. Stevenson
Keyword(s):  
Neural Activity ◽  
Single Neuron ◽  
Linear Models ◽  
Theory And Practice ◽  
Parameter Estimates ◽  
Omitted Variables ◽  
History Effects ◽  
Omitted Variable Bias ◽  
Wide Range ◽  
Variable Bias

Generalized linear models (GLMs) have a wide range of applications in systems neuroscience describing the encoding of stimulus and behavioral variables, as well as the dynamics of single neurons. However, in any given experiment, many variables that have an impact on neural activity are not observed or not modeled. Here we demonstrate, in both theory and practice, how these omitted variables can result in biased parameter estimates for the effects that are included. In three case studies, we estimate tuning functions for common experiments in motor cortex, hippocampus, and visual cortex. We find that including traditionally omitted variables changes estimates of the original parameters and that modulation originally attributed to one variable is reduced after new variables are included. In GLMs describing single-neuron dynamics, we then demonstrate how postspike history effects can also be biased by omitted variables. Here we find that omitted variable bias can lead to mistaken conclusions about the stability of single-neuron firing. Omitted variable bias can appear in any model with confounders—where omitted variables modulate neural activity and the effects of the omitted variables covary with the included effects. Understanding how and to what extent omitted variable bias affects parameter estimates is likely to be important for interpreting the parameters and predictions of many neural encoding models.

George Washington: a revolutionary approach to leadership

2018 ◽  
Vol 39 (8) ◽  
pp. 995-1009
Author(s):  
Todd C. Harris
Keyword(s):  
Leadership Competencies ◽  
Theory And Practice ◽  
Academic Disciplines ◽  
Leadership Traits ◽  
Journal Articles ◽  
George Washington ◽  
Leadership Theories ◽  
Content Type ◽  
Wide Range ◽  
Tools And Techniques

PurposeThe purpose of this paper is twofold: first, to examine George Washington’s approach to leadership through the lens of contemporary leadership theory and practice; and second, to help modern managers further reflect upon and develop their own leadership capabilities through a historiographic examination of Washington’s leadership traits and skills.Design/methodology/approachCombining three different academic disciplines, management, psychology and history, the author utilized a historiographic and interdisciplinary research methodology, conducting a detailed exploration of the life of George Washington through an examination of a wide range of original archival materials, books, journal articles and other sources.FindingsThe present analysis reveals that Washington demonstrated a variety of well-validated leadership competencies (e.g. emotional intelligence, resilience, integrity, etc.) that are largely consistent with leader-centered theoretical conceptions of leadership.Originality/valueThis is the first historiographic study of George Washington’s approach to leadership within the management literature. Additionally, through the development of a competency model, the study demonstrates how Washington employed tools and techniques from a host of modern leadership theories to achieve critically important results.

An Organisational Evaluation Capability Hierarchy Model for Self-diagnosis1

2005 ◽  
Vol 4 (1-2) ◽  
pp. 27-32 ◽  
Author(s):  
Colin A Sharp
Keyword(s):  
Project Management ◽  
Financial Management ◽  
Theory And Practice ◽  
Evaluation Theory ◽  
Information Systems Management ◽  
Capability Maturity ◽  
Wide Range ◽  
Hierarchy Model ◽  
Management Project

The use of Capability Maturity Models in financial management, project management, people management and information systems management in a wide variety of organisations indicates the potential for an Organisational Evaluation Capability Hierarchy to guide the self-diagnosis of organisations in building their evaluation maturity. This paper is about the theory behind this growing trend in organisational governance and organisational diagnosis, and explores its relevance to evaluation theory and practice. This theoretical analysis may have long-term practical benefits for evaluation practitioners, as is being developed in the fields of project management, financial management, and people management in a wide range of organisations.

scholarly journals Transposing Aristophanes: The Theory and Practice of Translating Aristophanic Lyric

2012 ◽  
Vol 59 (2) ◽  
pp. 214-244 ◽  
Author(s):  
JAMES ROBSON
Keyword(s):  
Theory And Practice ◽  
Academic Interest ◽  
Text Type ◽  
Wide Range ◽  
End Products ◽  
History Of ◽  
English Speaking ◽  
Modern Greece ◽  
English Speaking World ◽  
Insight Into

The reception of Aristophanes has gained extraordinary momentum as a topic of academic interest in the last few years. Contributions range from Gonda Van Steen's ground-breaking Venom in Verse. Aristophanes in Modern Greece to Hall and Wrigley's Aristophanes in Performance 421 BC–AD 2007, which contains contributions from a wide range of scholars and writers, a number of whom have had experience of staging Aristophanes' plays as live theatre. In Found in Translation, J. Michael Walton has also made strides towards marrying the theory of translation to the practice of translating Aristophanes (something I have myself also sought to do in print). And with the history of Aristophanic translation, adaptation, and staging being rapidly pieced together (in the English-speaking world at least, where Hall, Steggle, Halliwell, Sowerby, Walsh, and Walton, for example, have all made their own contributions), much of the groundwork has been laid for a study such as is attempted in this article. Here I aim to take a broad look across a range of translations in order to see how one particular text type within Aristophanic drama has been approached by translators, namely Aristophanes' lyric passages. The aim of this study will be to give both an insight into the numerous considerations that translators take into account when translating Aristophanic lyric and an impression of the range of end products that have emerged over the last two hundred years.

scholarly journals On Time and Planning: Opening Futures by Cultivating a “Sense of Now”

2018 ◽  
Vol 34 (3) ◽  
pp. 267-285 ◽  
Author(s):  
Lucie Laurian ◽  
Andy Inch
Keyword(s):  
Social Relations ◽  
Theory And Practice ◽  
Planning Theory ◽  
Clock Time ◽  
The Past ◽  
Wide Range ◽  
Improve Planning

Planning seeks to shape sociospatial outcomes but is also, by nature, future oriented. Yet, planning theory and practice have paid relatively little attention to ongoing debates about changing social relations to time. Building on a wide range of disciplines, we review the multiple temporalities through which lives are lived, the modern imposition of clock time, postmodern acceleration phenomena in the Anthropocene, and their implications for planning’s relationship to the past, present, and future and for planning theory. We discuss how thinking more and differently about time might challenge and improve planning by helping theory do better justice to the complexity of practice. We conclude by outlining eight propositions for rethinking planning’s relationship to time.

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