Black, Fischer

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Fischer Black (1938 - August 30, 1995) was an American economist, best known as one of the discoverers of the Black-Scholes equation.


Black received a Ph.D. in Applied Mathematics from Harvard University in 1964. 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.


Black's work in economics and in finance was underpinned by his belief in the capital asset pricing model. With his colleagues Myron Scholes and Robert C. Merton he developed the Black-Scholes equation for valuing derivatives, published after much debate in 1973. The key insight in their analysis was that inherently risky options could be made risk free by hedging them with the underlying asset.

Black's 1976 work on commodity derivatives has become market standard for the pricing of many fixed-income contracts. This model is known as Black 76.

Black was also co-developer 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.


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.

In 1997 the Nobel Prize in Economics was awarded to Myron Scholes and Robert C. Merton for their work in option pricing. This prize is not given posthumously, so was not awarded to Black, however the Nobel committee did prominently mention Black's key role in the work.

In 2003, the American Finance Association created the Fischer Black Prize in his honor. The award is given bienially to a young researcher whose body of work "best exemplifies the Fischer Black hallmark of developing original research that is relevant to finance practice."


Literature on Fischer Black

  • Fischer Black and the Revolutionary Idea of Finance, by Perry Mehrling, published by Wiley, August 2005, ISBN 0-471-45732-9

Publications by Fischer Black

  • Fischer Black, Myron Scholes, & Michael Jensen, "The Capital-Asset Pricing Model: Some empirical tests", in Jensen, editor, Studies in the Theory of Capital Markets (1972).
  • Fischer Black & Myron Scholes, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy (1973).
  • F. Black & M. Scholes, "The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns", Journal of Financial Economics (1974).
  • F. Black, "Fact and Fantasy in the Use of Options", Financial Analysts Journal 31, pp36-41, 61-72 (July/August 1975).
  • F. Black, "The Pricing of Commodity Contracts", 1976, Journal of Financial Economics.
  • F. Black, "Noise", Journal of Finance, vol. 41, pp. 529-543 (1986).
  • F. Black, E. Derman, & W. Toy, "A One-Factor Model of Interest Rates and its Application to Treasury Bond Options", Financial Analyst Journal (1990).
  • Fischer Black, Exploring General Equilibrium, MIT Press, 1995.