費希爾·布萊克

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費希爾·布萊克(Fischer Black)
費希爾·布萊克(Fischer Black)

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費希爾·布萊克簡介

  費希爾·布萊克(Fischer Black,1938年1月11日-1995年8月30號)是美國經濟學家布萊克-斯科爾斯模型的提出者之一。費希爾·布萊克畢生堅持奮戰在華爾街,在金融領域他是“搞實務的”而不是“做學術的”,然而就是他創建了迄今為止最正確、最經典、應用最廣、成就最高的模型:布萊克-肖爾斯期權定價模型。在他因病去世一年後,諾貝爾將經濟學獎頒給了參與創建模型的兩位學者邁倫·斯科爾斯羅伯特·默頓,費希爾終未獲此畢生殊榮。

  費希爾·布萊克是位充滿傳奇色彩的人物。他從沒受過正式的金融和經濟學訓練,卻在幾年之內創立了現代金融學的基礎。他在生活中處處規避風險,卻在學術研究和商業實踐中勇敢地挑戰前冊。他能輕易地獲得芝加哥大學MIT的終身教授頭銜,也能自如地放棄,再次投身到金融衍生產品革命爵大潮。他頻繁地在象牙塔和華爾街之間穿梭、游弋,給那些以為理論和實踐是兩個截然不同世界的人出了大大的難題。

  • 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.

費希爾·布萊克的革命

  布萊克-斯科爾斯期權定價模型創建者之一是費希爾·布萊克(Fisher Black)。他的故事之所以不平凡,不僅在於他本人的創造性,還在於他給華爾街帶來的革命。

  以衍生品和數學模型為代表的向高級金融的轉型,以及定量分析師的出現,為市場和投資銀行帶來了深遠影響。然而,過去20年中物理學家和數學家進軍華爾街和倫敦金融城的故事,卻鮮有報道。

  從某些角度而言,這並非不可理解:非專業人士很難寫出現代金融中蘊涵的數學內容。然而,這是人間一幕真實戲劇:來自“常春藤聯盟”(美國一流大學)的定量分析師們試圖用學術框架,來規範金融交易這一複雜領域,而且與他們的新同事還經常發生衝突。

  有關這一時期的著作已開始紛紛面世。幾年前,與布萊克共同任職於高盛(Goldman Sachs)的物理學家伊曼紐爾·德曼(Emanuel Derman),出版了他充滿悔意的回憶錄《我,一個定量分析師的生活》(My Life as a Quant)。按照德曼的說法,布萊克是一位核心人物,也是金融界新出現的定量分析流派中最富於原創精神、影響最大、最不妥協的人物。

  現在又出版了一本由佩里·梅林(Perry Mehrling)撰寫的布萊克記。如果不是1995年因為肺癌而去世,布萊克本可以與邁倫·斯科爾斯(Myron Scholes)和羅伯特·默頓(Robert Merton)一起,獲得諾貝爾經濟學獎。默頓的出發點與兩人不同,卻得到與布萊克和斯科爾斯相同的結果。此後,默頓和斯科爾斯繼續供職於“長期資本管理 ” (LTCM)這家時運不濟的對沖基金公司(該公司給布萊克發出邀請,但布萊克予以拒絕)。梅林的著作引人入勝,但不無瑕疵。作為哥倫比亞大學經濟學教授,他完全有資歷闡述布萊克研究成果的意義,以及背後的數學理論,但他講述布萊克生活經歷的嘗試卻沒那麼成功。他既無法像傳記作家那樣將人物描繪得栩栩如生,也不具備記者重構事件的能力。

  比如,該書開篇花了很多篇幅講述一位經濟學家飛往波士頓,發表一次演講的軼事。故事本身很有趣,文中提到諾貝爾獎金獲得者、經濟學家弗蘭科·莫迪利安尼(Franco Modigliani),這個人因習慣在研討會上“喧賓奪主”而在學者中聞名,以至於學者們在發言前總有人警告說:“千萬別給佛朗哥說話的機會,否則你就永遠沒有再發言的機會。”

  然而,故事講的不是費希爾·布萊克,而是他的導師傑克·特雷諾(Jack Treynor)的故事。寫某人的傳記,開篇洋洋灑灑講的卻是另一個人的故事,實在令人匪夷所思。還有一個令人想不通的地方,就是梅林在講述事件的時候,感覺好象他在推斷過去發生了什麼一樣。“兩人在ADL自助餐廳共進午餐。費希爾本來還打算說說自己剛剛完成的福特基金會(Ford Foundation)項目。”

  也許這就是學者的謹慎,但對讀者來說就像透過玻璃管窺布萊克的一生一樣,仍有很多未解之謎。這並非全是梅林的錯。布萊克本身是個很值得挖掘的題材,特別是他年輕時曾沉迷於濫性和致幻藥物,但他仍有很多未解之謎。正如梅林所言:“費希爾甚至在與其最親密的朋友在一起時,也總是表現得非常封閉,看重個人隱私,理智而孤僻、漠然、冷淡。”

  梅林將布萊克比作性情古怪的鋼琴家格倫·古德爾(Glenn Gould),他彈奏的約翰·塞巴斯蒂安·巴赫(J.S.Bach)的《哥德堡變奏曲》(Goldberg Variations),改變了人們對巴赫音樂的認識。同樣,布萊克的觀點由於與主流相去甚遠,以至於難以發表。布萊克和斯科爾斯有關期權定價的論文,在得到芝加哥大學的支持前,曾兩次遭到退稿。

  一個問題是,在布萊克以及威廉·夏普(William Sharpe)、保羅·薩繆爾森(Paul Samuelson)等人於1960至1970年代,從事金融學的開創性工作時,金融並不為巨集觀經濟學家視為一門真正的學科。“金融一度被我當作周日的繪畫消遣,”薩繆爾森曾經寫道。在當時,甚至布萊克自己也認為,布萊克--斯科爾斯公式不會引起多大關註。

  然而,這個一度被當作消遣的經濟學分支卻後來居上。這要歸功於布萊克和華爾街中一些開明的企業主管等人物。時任高盛交易業務主管的羅伯特·魯賓(Robert Rubin),曾吸引布萊克加盟,希望他能夠使高盛從另外的角度看待風險和回報。

  布萊克認為高盛遠比大學有助於發揮他的創造性,但經他考慮過後認為,“英國投資銀行的市場效率遠比美國的要高。”

  除了期權定價以外,布萊克還有很多著作都走在了他所處時代的前面。他於1971年開發出一個全自動的股票交易所模型,並辯稱,養老基金應進行固定收收益投資,以實現資產負債的匹配。

  “長期資本管理”基金的倒閉,使參與該公司的先鋒人物備受奚落,布萊克在此基金倒閉前辭世。安然(Enron)公司倒閉等不幸事件,使投資者對衍生品交易中存在的欺詐風險警覺起來。然而這無法抹煞他們的成就:如今再退回到費希爾·布萊克以前的時代,已經變得不可想象。

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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