The Legacy of Fischer Black [Hardcover]

Fischer Black was a remarkable social scientist, one whose contributions range from the lofty perch of highbrow theory to the trenches of practical application. The papers represented in this work span the same range, the contributions of a remarkable array of financial economists who embody in different ways Fischer's ideal of insight from economic theory that both guides and is rooted in the kind of detailed observation of relevant aspects of actual financial markets. It is hoped that readers find this volume to be both a fitting tribute and a stimulus to further research. After all, the advancement of economic science remained a constant goal throughout Fischer's remarkable career in the many and disparate venues in which he plies his trade.

1. Fischer Black on Valuation: The CAPM in General Equilibrium,Bruce N. Lehmann
2. Fischer Black's Contributions to Corporate Finance,Stewart C. Myers
3. Crisis and Risk Management,Myron S. Scholes
4. Hot Spots and Hedges,Robert Litterman
5. Markets for Agents: Fund Management,Stephen A. Ross
6. Recovering Probabilities and Risk Aversion from Options Prices and Realized Returns,Mark Rubinstein and Jens Jackwerth
7. Cross-Sectional Determinants of Expected Returns,Michael Brennan, Tarun Chordia, and Avanidhar Subrahmanyam
8. On Cross-Sectional Determinants of Expected Returns,Bruce N. Lehmann
9. Exploring a Two-Factor Markovian, Lognormal Model of the Term Structure of Interest Rates,Scott F. Richard
10. Convexity of Empirical Option Costs of Mortgage Securities,Douglas T. Breeden
11. The Supply and Demand of Immediacy: Evidence from the NYSE,Roger D. Huang and Hans R. Stoll
12. Black, Merton, and Scholes - Their Central Contribution to Economics,Darrell Duffie
Index