费希尔·布莱克

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费希尔·布莱克(Fischer Black)
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费希尔·布莱克(Fischer Black)
费希尔·布莱克(Fischer Black)

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费希尔·布莱克简介

  费希尔·布莱克(Fischer Black,1938年1月11日-1995年8月30号)是美国经济学家布莱克-斯科尔斯模型的提出者之一。费希尔·布莱克毕生坚持奋战在华尔街,在金融领域他是“搞实务的”而不是“做学术的”,然而就是他创建了迄今为止最正确、最经典、应用最广、成就最高的模型:布莱克-肖尔斯期权定价模型。在他因病去世一年后,诺贝尔将经济学奖颁给了参与创建模型的两位学者迈伦·斯科尔斯罗伯特·默顿,费希尔终未获此毕生殊荣。

  费希尔·布莱克是位充满传奇色彩的人物。他从没受过正式的金融和经济学训练,却在几年之内创立了现代金融学的基础。他在生活中处处规避风险,却在学术研究和商业实践中勇敢地挑战前册。他能轻易地获得芝加哥大学MIT的终身教授头衔,也能自如地放弃,再次投身到金融衍生产品革命爵大潮。他频繁地在象牙塔和华尔街之间穿梭、游弋,给那些以为理论和实践是两个截然不同世界的人出了大大的难题。

  • 1938 - Fischer Black was born on the 11th of January.
  • 1964 - Black received a Ph.D. in Applied Math from Harvard University. 1964 - Black received a Ph.D. in Applied Math from Harvard University.
  • 1971 - He began to work at the University of Chicago. 1971 - He began to work at the University of Chicago.
  • 1976 - Black proposed that human capital and business. 1976 - Black proposed that human capital and business.
  • 1994 - Black was diagnosed with throat cancer. 1994 - Black was diagnosed with throat cancer.

  - He received award as Financial Engineer of the Year. - He received award as Financial Engineer of the Year.

  • 1995 - He died because of cancer on 30th of August. 1995 - He died because of cancer on 30th of August.
  • 2003 - He was American Finance Association created the Fischer Black Prize in his honor. 2003 - He was American Finance Association created the Fischer Black Prize in his honor.

  - He co-developer and co-eponym of Black-Scholes model for pricing options. - He co-developer and co-eponym of Black-Scholes model for pricing options.

费希尔·布莱克的革命

  布莱克-斯科尔斯期权定价模型创建者之一是费希尔·布莱克(Fisher Black)。他的故事之所以不平凡,不仅在于他本人的创造性,还在于他给华尔街带来的革命。

  以衍生品和数学模型为代表的向高级金融的转型,以及定量分析师的出现,为市场和投资银行带来了深远影响。然而,过去20年中物理学家和数学家进军华尔街和伦敦金融城的故事,却鲜有报道。

  从某些角度而言,这并非不可理解:非专业人士很难写出现代金融中蕴涵的数学内容。然而,这是人间一幕真实戏剧:来自“常春藤联盟”(美国一流大学)的定量分析师们试图用学术框架,来规范金融交易这一复杂领域,而且与他们的新同事还经常发生冲突。

  有关这一时期的著作已开始纷纷面世。几年前,与布莱克共同任职于高盛(Goldman Sachs)的物理学家伊曼纽尔·德曼(Emanuel Derman),出版了他充满悔意的回忆录《我,一个定量分析师的生活》(My Life as a Quant)。按照德曼的说法,布莱克是一位核心人物,也是金融界新出现的定量分析流派中最富于原创精神、影响最大、最不妥协的人物。

  现在又出版了一本由佩里·梅林(Perry Mehrling)撰写的布莱克记。如果不是1995年因为肺癌而去世,布莱克本可以与迈伦·斯科尔斯(Myron Scholes)和罗伯特·默顿(Robert Merton)一起,获得诺贝尔经济学奖。默顿的出发点与两人不同,却得到与布莱克和斯科尔斯相同的结果。此后,默顿和斯科尔斯继续供职于“长期资本管理 ” (LTCM)这家时运不济的对冲基金公司(该公司给布莱克发出邀请,但布莱克予以拒绝)。梅林的著作引人入胜,但不无瑕疵。作为哥伦比亚大学经济学教授,他完全有资历阐述布莱克研究成果的意义,以及背后的数学理论,但他讲述布莱克生活经历的尝试却没那么成功。他既无法像传记作家那样将人物描绘得栩栩如生,也不具备记者重构事件的能力。

  比如,该书开篇花了很多篇幅讲述一位经济学家飞往波士顿,发表一次演讲的轶事。故事本身很有趣,文中提到诺贝尔奖金获得者、经济学家弗兰科·莫迪利安尼(Franco Modigliani),这个人因习惯在研讨会上“喧宾夺主”而在学者中闻名,以至于学者们在发言前总有人警告说:“千万别给佛朗哥说话的机会,否则你就永远没有再发言的机会。”

  然而,故事讲的不是费希尔·布莱克,而是他的导师杰克·特雷诺(Jack Treynor)的故事。写某人的传记,开篇洋洋洒洒讲的却是另一个人的故事,实在令人匪夷所思。还有一个令人想不通的地方,就是梅林在讲述事件的时候,感觉好象他在推断过去发生了什么一样。“两人在ADL自助餐厅共进午餐。费希尔本来还打算说说自己刚刚完成的福特基金会(Ford Foundation)项目。”

  也许这就是学者的谨慎,但对读者来说就像透过玻璃管窥布莱克的一生一样,仍有很多未解之谜。这并非全是梅林的错。布莱克本身是个很值得挖掘的题材,特别是他年轻时曾沉迷于滥性和致幻药物,但他仍有很多未解之谜。正如梅林所言:“费希尔甚至在与其最亲密的朋友在一起时,也总是表现得非常封闭,看重个人隐私,理智而孤僻、漠然、冷淡。”

  梅林将布莱克比作性情古怪的钢琴家格伦·古德尔(Glenn Gould),他弹奏的约翰·塞巴斯蒂安·巴赫(J.S.Bach)的《哥德堡变奏曲》(Goldberg Variations),改变了人们对巴赫音乐的认识。同样,布莱克的观点由于与主流相去甚远,以至于难以发表。布莱克和斯科尔斯有关期权定价的论文,在得到芝加哥大学的支持前,曾两次遭到退稿。

  一个问题是,在布莱克以及威廉·夏普(William Sharpe)、保罗·萨缪尔森(Paul Samuelson)等人于1960至1970年代,从事金融学的开创性工作时,金融并不为宏观经济学家视为一门真正的学科。“金融一度被我当作周日的绘画消遣,”萨缪尔森曾经写道。在当时,甚至布莱克自己也认为,布莱克--斯科尔斯公式不会引起多大关注。

  然而,这个一度被当作消遣的经济学分支却后来居上。这要归功于布莱克和华尔街中一些开明的企业主管等人物。时任高盛交易业务主管的罗伯特·鲁宾(Robert Rubin),曾吸引布莱克加盟,希望他能够使高盛从另外的角度看待风险和回报。

  布莱克认为高盛远比大学有助于发挥他的创造性,但经他考虑过后认为,“英国投资银行的市场效率远比美国的要高。”

  除了期权定价以外,布莱克还有很多著作都走在了他所处时代的前面。他于1971年开发出一个全自动的股票交易所模型,并辩称,养老基金应进行固定收收益投资,以实现资产负债的匹配。

  “长期资本管理”基金的倒闭,使参与该公司的先锋人物备受奚落,布莱克在此基金倒闭前辞世。安然(Enron)公司倒闭等不幸事件,使投资者对衍生品交易中存在的欺诈风险警觉起来。然而这无法抹煞他们的成就:如今再退回到费希尔·布莱克以前的时代,已经变得不可想象。

Background

  Black graduated from Harvard College in 1959 and received a Ph.D. in applied mathematics from Harvard University in 1964. He was initially expelled from the PhD program due to his inability to settle on a thesis topic, having switched from physics to mathematics, then to computers and artificial intelligence. Black joined the consultancy Bolt, Beranek and Newman, working on a system for artificial intelligence. He spent a summer developing his ideas at the RAND corporation. He became a student of MIT professor Marvin Minsky, and was later able to submit his research for completion of the Harvard PhD.

  Black joined Arthur D. Little, where he was first exposed to economic and financial consulting and where he met his future collaborator Jack Treynor. In 1971, he began to work at the University of Chicago. He later left the University of Chicago to work at the MIT Sloan School of Management. In 1984, he joined Goldman Sachs.

Economic career

  Black started out as a Ph. D. in applied mathematics, and discovered finance while working at the consulting firm of Arthur D. Little, Inc., in the late sixties. A seminal influence in his transition from applied mathematics to finance was Jack Treynor, who was also at Arthur D. Little at the time. Treynor was one of the co-developers of the celebrated Capital Asset Pricing Model (CAPM). The key insight of the CAPM was that returns on an asset are proportional to beta, which is the sensitivity of the asset to fluctuations in the market index.

  Black started working on the CAPM with respect to both empirical and theoretical work. One of the classic works on the testing of the CAPM is the paper The capital asset pricing model: some empirical tests by Black, Michael Jensen and Myron Scholes from 1972. The methodology pioneered for this testing lives to this day. This paper discovered that low-beta assets seem to be generating ``too high returns as compared with that predicted by the CAPM. In characteristic fashion, Black was to explore this idea in two directions - in terms of developing new theories, and in terms of designing a fund which would exploit this anomaly.

  The greatest phase of his work is, of course, the development of the celebrated Black and Scholes formula which calculates the price of a call option. A call option is a contract that gives the holder a right, but not an obligation, to buy a given security at a specified date in the future at a specified price (called the strike price). If the market price on the expiration date is lower than the strike price, then the option proves to be worthless. The question of how a call option should be priced had been the subject of a long intellectual chase, commencing from the early sixties. Many economists, including Paul Samuelson of MIT, had attacked the problem, from both theoretical and empirical points of view. The team of Black and Myron Scholes intensely worked on this problem from 1968 to 1971, in a friendly competition with a brilliant student of Samuelson's named Robert Merton.

  The solution was to demand a new level of mathematical firepower, in the field which has now become known as continuous time finance. The solution worked in two steps. First, the team came up with a differential equation which must represent the price of the option; if the option price failed to satisfy this differential equation, then there was an arbitrage opportunity, where you could earn unlimited profits through a certain position (where you short the option and go long on the stock). Next, they were able to find an analytical closed-form solution to this differential equation. Black's education in applied mathematics may have helped here - this differential equation turns out to have been studied before in physics. In the end, they were left with a simple formula which gave the price of a call option.

  This option-pricing formula was a memorable landmark in the history of finance. At a deep level, it created a degree of understanding of options which paved the way for the largescale expansion of options markets. Without the formula, it was an extremely small set of extremely brave people who would have been comfortable with using options in their day-to-day life. After the work of Black, Merton and Scholes, options and option pricing were reduced to simplicity and clarity, and could be routinely taught in MBA programs.

  This entire effort marked the beginning of a field, which is known as continuous time finance. Today, these methods are used to value derivative instruments which are wildly complicated as compared with simple options. The entire financial derivatives industry today, which trades in trillions of dollars a year, is built on the mathematical methods which were essentially developed in the early 1970s. Most people that I know in the profession think that the work of Black, Merton and Scholes deserves a Nobel Prize.

  Black went on to a professorship at the University of Chicago, and was director of the Center for Research in Security Prices (CRSP) there. He always had a practical streak, and when he was invited to be a partner at Goldman Sachs in 1984, he accepted. He was an unusual, soft-spoken thinker on a Wall Street inhabited by fast talking hustlers. There is a famous story of a presentation by him, to an industry audience, where a smart-aleck kid asked him ``if you're so smart, howcome you're not rich. Quick as a bullet, Black replied ``if you're so rich, howcome you're not smart?.

  When I look back upon Black's work, I'm struck by the depth of his insight into economics, even though his Ph. D. was in applied mathematics. Apart from the CAPM and continuous time finance, he worked on numerous problems including dividend policy, international trade, business cycles and labour economics. Many migrants into economics emphasise technical tools; but Black's work has always been characterised by a special intuition into microeconomics. His association with industry did not bog down his thinking with institutional details; his work has always had the elegant character of simple microeconomics attempting to understand the world.

  Fischer Black was one of the great examples of the power of a rational mind in deciphering the universe. His life sets standards which we can all aspire to.

Illness and death

  In early 1994, Black was diagnosed with throat cancer. Surgery at first appeared successful, and Black was well enough to attend the annual meeting of the International Association of Financial Engineers that October, where he received their award as Financial Engineer of the Year. But the cancer returned, and Black died in August 1995.

Posthumous recognition

  The Nobel Prize is not given posthumously, so it was not awarded to Black in 1997 when his co-author Myron Scholes received the honor for their landmark work on option pricing along with Robert C. Merton, another pioneer in the development of valuation of stock options. In the announcement of the award that year, the Nobel committee prominently mentioned Black's key role.

  Black has also received recognition as the co-author of the Black-Derman-Toy interest-rate derivatives model, which was developed for in-house use by Goldman Sachs in the 1980s but eventually published.

Fischer Black Prize

  In 2002, the American Finance Association established the biennially awarded Fischer Black Prize. The award is given to a young researcher whose body of work "best exemplifies the Fischer Black hallmark of developing original research that is relevant to finance practice."

  The inaugural prize was presented in 2003 and recipients have been:

  • Raghuram G. Rajan, 2003. For work on "the role of institutions in finance and their effects on economic growth."
  • Tobias J. Moskowitz, 2007. For "ingenious and careful use of newly available data to address fundamental questions in finance."
  • Harrison G. Hong, 2009.

  No winner was announced in 2005.

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