References for Fischer Black

Version for printing
    Comprehensive list of eighty three publications, two books and two unpublished manuscripts authored, or co-authored, by Fischer Black


  1. Black F. (1987), Business Cycles and Equilibrium, Basil Blackwell, New York.
  2. Black F. (1995), Exploring General Equilibrium, MIT Press, Cambridge, Massachusetts.


  1. Black F. (1965), Styles of Programming in LISP, pp 96-107 in The Programming of LISP: Its Operation and Applications, eds. Berkeley E. C. and Bobrow D. G., MIT Press, Cambridge Massachusetts.
  2. Black F. (1968), Deductive Question Answering System, pp 354-402 in Semantic Information Processing, ed. Minsky M., MIT Press, Cambridge, Massachusetts.
  3. Black F. (1970), Banking and Interest Rates in a World without Money: The Effects of Uncontrolled Banking, Journal of Banking Research, 1, 8-20. (Reprinted as Ch. 1 in [1])
  4. Black F. (1971a), Implications of the Random Walk Hypothesis for Portfolio Management, Financial Analysts Journal, 27(2), 16-22.
  5. Black F. (1971b), Toward a Fully Automated Stock Exchange, Financial Analysts Journal, 27(1), 28-35 and 44 and 27(2), 24-28 and 86-87.
  6. Black F and Treynor, J. L. (1972), Portfolio Selection using Special Information, under the assumptions of the Diagonal Model, with Mean-Variance Portfolio Objectives, and without constraints, pp 367-384 in Mathematical Methods in Investment and Finance, 4, eds. Szego G. P. and Shell K., North Holland, Amsterdam.
  7. Black F. (1972a), Capital Market Equilibrium with restricted Borrowing, Journal of Business, 45(3), 444-455.
  8. Black F. (1972b), Equilibrium in the Creation of Investment Goods under Uncertainty, pp 249-265 in Studies in the Theory of Capital Markets, ed. Jensen M. C., Praeger, New York.
  9. Black F. (1972c), Active and Passive Monetary Policy in a Neoclassical Model, Journal of Finance, 27, 801-814. (Reprinted as Ch. 2 in [1]).
  10. Black F., Jensen M.C. and Scholes M. (1972), The Capital Asset Pricing Model: Some Empirical Tests, pp 79-121 of Studies in the Theory of Capital Markets, ed. Jensen M. C., Praeger, New York.
  11. Black F. and Scholes M. (1972), The Valuation of Option Contracts and a Test of Market Efficiency, Journal of Finance, 27(2), 399-418.
  12. Black F. and Treynor J. L. (1973), How to Use Security Analysis to Improve Portfolio Selection, Journal of Business, 46(1), 66-86.
  13. Black F. and Scholes M. (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3), 637-54.
  14. Black F. (1973), Yes, Virginia, There is Hope: Tests of the Value Line Ranking System, Financial Analysts Journal, 29(5), 10-14.
  15. Black F. and Scholes M. (1974a), The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Return, Journal of Financial Economics, 1(1), 1-22.
  16. Black F., and Scholes M. (1974b), From Theory to a New Financial Product, Journal of Finance, 29(2), 399-412.
  17. Black F. (1974a), Uniqueness of the Price Level in Monetary Growth Models with Rational Expectations, Journal of Economic Theory, 7, 53-65. (Reprinted as Ch. 4 in [1])
  18. Black F. (1974b), Can Portfolio Managers outrun the Random Walkers?, Journal of Portfolio Management, 1, 32-36.
  19. Black F. (1974d), International Capital Market Equilibrium with Investment Barriers, Journal of Financial Economics, 1(4), 337-352.
  20. Black F. (1975a), Fact and Fantasy in the use of Options and Corporate Liabilities, Financial Analysts Journal, 31(4), 36-41 and 61-72.
  21. Black F. (1975b), Bank Funds Management in an Efficient Market, Journal of Financial Economics, 2(4), 323-339.
  22. Black F. and Treynor J. L. (1976), Corporate Investment Decisions, pp 310-327 in Modern Developments in Financial Management, ed. Myers S. C., Praeger, New York.
  23. Black F. and Cox J. C. (1976), Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Finance, 31(2), 351-368.
  24. Black F. (1976a), The Pricing of Commodity Contracts, Journal of Financial Economics, 3, 167-79.
  25. Black F. (1976b), The Dividend Puzzle, Journal of Portfolio Management, 2(2),5-8.
  26. Black F. (1976c), The Investment Policy Spectrum: Individuals, Endowment Funds and Pension Funds, Financial Analysts Journal, 32(1), 23-31.
  27. Black F. (1976d), The Accountant's Job, Financial Analysts Journal, 32(5), 18.
  28. Black F. (1976e), Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section, 177-181.
  29. Black F. (1976f), Comment [on Professor Stem], pp 336-337, in Eurocurrencies and the International Monetary System, eds. Stem C.H., Makin J.H. and Logue D.E. American Enterprise Institute for Public Policy Research, Washington, D.C.
  30. Black F. (1977), What should we do about the Fools and the Gamblers? ,Journal of Portfolio Management, 3, 71-73.
  31. Black F., Miller M. H. and Posner R. A. (1978), An Approach to the Regulation of Bank Holding Companies, Journal of Business, 51(3), 379-412.
  32. Black F. (1978a), The Ins and Outs of Foreign Investment, Financial Analysts Journal, 34(5), 25-32.
  33. Black F. (1978b), Global Monetarism in a World of National Currencies, Columbia Journal of World Business, 51, 27-32. (Reprinted as Ch. 9 in [1])
  34. Black F. (1980a), The Magic in Earnings: Economic Earnings Versus Accounting Earnings, Financial Analysts Journal, 36(6), 19-24.
  35. Black F. (1980b), The Tax Consequences of Long-Run Pension Policy, Financial Analysts Journal, 36(4), 21-28.
  36. Black F. (1981a), The ABCs of Business Cycles, Financial Analysts Journal, 37(6), 75-80. (Reprinted as Ch. 10 in [1])
  37. Black F. (1981b), An Open Letter to Jack Treynor, Financial Analysts Journal, 37(4), 14.
  38. Black, F. and Dewhurst M. P. (1981), A new investment strategy for pension funds, Journal of Portfolio Management, 7(4), 26-34.
  39. Black F. (1982a), The Trouble with Econometric Models, Financial Analysts Journal, 38(2), 29-37. (Reprinted as Ch. 12 in [1])
  40. Black F. (1982b), Comment: A new investment strategy for pension funds, Journal of Portfolio Management, 8(4), 74-76.
  41. Black F. and Glasser P. (1982), Comment: A New Investment Strategy for Pension Funds, Journal of Portfolio Management, 8(4), 74-76.
  42. Black F. (1983), Comment [on Investing for the Short and Long Term], pp223-230 in Financial Aspects of the U.S. Pension System, eds. Bodie Z. and Shoven J.B.,University of Chicago Press, Chicago.
  43. Black F. (1985a), The Future for Financial Services, pp 223-230 in Managing the Service Economy, ed. Inman R. P., Cambridge University Press, New York.
  44. Black F. (1985b), Contingent Claims Valuation of Corporation Liabilities: Theory and Empirical Tests : Comment, pp262-263 in Corporate Capital Structure in the United States, ed. Friedman B. M., University of Chicago Press, Chicago.
  45. Black F. (1985c), Introduction, Journal of Finance, 40(3), 619.
  46. Black F. (1986), Noise, Journal of Finance, 41, 529-543.
  47. Black F. and Jones R. (1987), Simplifying portfolio insurance, Journal of Portfolio Management, 14(1), 48-51.
  48. Black F. and Jones R. (1988), Simplifying portfolio insurance for corporate pension plans, Journal of Portfolio Management, 14(4), 33-37.
  49. Black F. (1988a), The Holes in Black-Scholes, RISK Magazine, 1(4), 30-33.
  50. [Black F. (1988b), Individual Investment and Consumption under Uncertainty, pp 207-225 in Portfolio Insurance: A Guide to Dynamic Hedging, edited by Luskin D. L., New York: Wiley.
  51. Black F. (1988c), A Simple Discounting Rule, Financial Management, 17(2), 7-11.
  52. Black F. (1988d), An Equilibrium Model of the Crash, pp 269-275 in NBER Macroeconomics Annual, ed. Fischer S., MIT Press, Cambridge, Massachusetts.
  53. Black F. (1988e), On Robert C. Merton, MIT Management, 28.
  54. Black F. (1989a), How we came up with the Option Formula, Journal of Portfolio Management, 15, 4-8,
  55. Black F. (1989b), How to Use the Holes in Black-Scholes, Journal of Applied Corporate Finance, 1(4), 67-73.
  56. Black F. (1989c), Should You Use Stocks to Hedge Your Pension Liability, Financial Analysts Journal, 45(1), 10-12.
  57. Black F. (1989d), Does Technology Matter?, pp 151-152 in The Challenge of Information Technology for the Securities Markets: liquidity, volatility, and global trading, eds. Lucas H. C., Jr. and Schwartz R. A., Dow Jones-Irwin, Homewood, Illinois.
  58. Black F. (1989e), Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios, Financial Analysts Journal, 45(4), 16-22.
  59. Black, F., and Rouhani R. (1989), Constant Proportion Portfolio Insurance and the Synthetic Put Option: A Comparison. pp 695-708 in Investment Management, ed. by Fabozzi F. J., Ballinger, Cambridge, Massachusetts.
  60. Black F. and Hakanoglu E. (1989), Simplifying Portfolio Insurance for the Seller, pp 709-726 in Investment Management, ed. by Fabozzi F. J., Ballinger Cambridge, Massachusetts.
  61. Black F. (1990a), How I Discovered Universal Hedging, Investing [Japan], 4, 60-64.
  62. Black F. (1990b), Living up to the Model, RISK, 3(3), 11-13.
  63. Black F. (1990c), Mean Reversion and Consumption Smoothing, Review of Financial Studies, 3(1), 107-114.
  64. Black F. (1990d), Equilibrium Exchange Rate Hedging, Journal of Finance, 45(3), 899-907.
  65. Black F. (1990e), Why Firms Pay Dividends, Financial Analysts Journal, 46, 5.
  66. Black F., Derman E. and Toy W. (1990), A One-Factor Model of Interest Rates and its Application to Treasury Bond Options, Financial Analysts Journal, 46, 33-39.
  67. Black F. and Karasinski P. (1991), Bond and Option Prices when Short Rates are Lognormal, Financial Analysts Journal, 47, 52-59.
  68. Black F. and Litterman R. (1991), Asset Allocation: Combining Investor Views with Market Equilibrium, Journal of Fixed Income, 1, 7-18.
  69. Black F. and Litterman R. (1992), Global Portfolio Optimization, Financial Analysts Journal, 48, 28-43.
  70. Black F., and Perold A. F. (1992), Theory of Constant Proportion Portfolio Insurance, Journal of Economic Dynamics and Control, 16, 403-426.
  71. Black F., Derman E. and Kani I. (1992), A Two-Factor Model of Interest Rates, Working Paper, Goldman Sachs, New York.
  72. Black F. (1992a), Doctoral Education, the Business School and the University, unpublished manuscript.),
  73. Black F. (1992b), Global Reach, RISK Magazine, 5(11), 27-32.
  74. Black F. (1993a), Beta and Return, Journal of Portfolio Management, 20(1), 8-18.
  75. Black F. (1993b), Estimating Expected Return, Financial Analysts Journal, 49(5), 36-38.
  76. Black F. (1993c), Choosing Accounting Rules, Accounting Horizons, 7(4), 1-17.
  77. Black F. (1993d), U.S. Commercial Banking: Trends, Cycles, and Policy: Comment, pp 368-371 in NBER Macroeconomics Annual, eds. Blanchard O. J. and Fischer F, MIT Press, Cambridge, Massachusetts.
  78. Black, F., Derman E., Toy W. and Francis J.C. (1994), Using a One-Factor Model to Value Interest Rate-Sensitive Securities: with an Application to Treasury Bond Options, pp 302-320 in The Handbook of Interest Rate Risk Management, eds. by Francis J. C. and Avner O., Irwin Professional Publishing, Burr Ridge, Illinois.
  79. Black F. (1995a), Interest Rates as Options, Journal of Finance, 50(7), 1371-76.
  80. Black F. (1995b), Equilibrium Exchanges, Financial Analysts Journal, 51(3), 23-29.
  81. Black F. (1995c), Hedging, Speculation, and Systemic Risk, Journal of Derivatives, 2, 6-8.
  82. Black F. (1995d), The Plan Sponsor's Goal, Financial Analysts Journal, 51(4), 6-7.
  83. Black F. (1995e), The Many Faces of Derivatives, foreward to Handbook of Derivatives, eds. Francis J., Toy W. and Whittaker J. G., John Wiley, New York.
  84. Black F. (1995f), Neutral Technical Change, unpublished memorandum.
  85. Black F. (1997), Fischer Black's Brave New World, Risk, 10(11), 44-45

    Other authors

  86. Cootner P. A. (1967), The Random Character of Stock Market Prices, MIT Press, Cambridge, Massachusetts (contains the translation from French of Bachelier's doctoral thesis and contains Sprenkle's, 1961 paper).
  87. Feynman R. P. (1948), Space-time approach to non-relativistic quantum mechanics, Review of Modern Physics, 20, 367-387.
  88. Harrison J. M. and Krebs D. M. (1979), Martingales and Arbitrage in Multi-period Securities Markets, Journal for Economic Theory, 20(3), 381-408.
  89. Harrison J. M. and Pliska S. R. (1981), Martingales and Stochastic Integrals in the Theory of Continuous Trading, Stochastic Processes and their Applications, 11, 215-260
  90. Harrison J. M. and Pliska S. R. (1983) A stochastic calculus model of Continuous Trading: Complete Markets, Stochastic Processes and their Applications, 15, 313-316.
  91. Hull J. C. (2005), Options, Futures and other Derivatives, (6th Edition), Prentice Hall, New Jersey, U.S.A.
  92. Itô K. (1942), On stochastic processes (Infinitely divisible laws of probability), Japanese Journal of Mathematics.
  93. Itô K. (1951), On stochastic differential equations, Memoirs, American Mathematical Society, 4, 1-51.
  94. Itô K. (1975), Stochastic Differentials, Applied Mathematics and Optimization, 1 , 347-81.
  95. Itô K. (1984), Introduction to Probability Theory, Cambridge University Press (translated from the Japanese),
  96. Itô K. (1996), in Ikeda N, Watanabe S, Fukushima M and Kunita H (eds.), Itô's stochastic calculus and probability theory, Tokyo, ix-xiv.
  97. Kac M. (1951), On some connections between probability theory and differential and integral equations, Proceedings of the 2nd Berkeley Symposium on Mathematical Statistics and Probability, 189-215, University of California Press.
  98. Jensen M. C. ed. (1972), Studies in the Theory of Capital Markets, Praeger, New York
  99. Lehmann B. N. (2005), The Legacy of Fischer Black, Oxford University Press.
  100. Merton R. C. (1973), Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4, 141-83.
  101. Merton R. C. (1973), The Relationship between Put prices and Call prices: Comment, Journal of Finance, 28, 183-4.
  102. Nobel Organisation: official website
  103. Sharpe W. F. (1964), Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19(3), 425-442.
  104. Sprenkle C.M. (1961), Warrant Prices as Indications of Expectations and Preferences, Yale Economic Essays, 1(22), 178-231, reproduced in [88].
  105. Treynor, J. L. (1961a), Toward a Theory of Market Value of Risky Assets, Unpublished manuscript.
  106. Treynor, J. L. (1961a), Implications for the Theory of Finance, Unpublished manuscript.

    Mainly biographical

  107. Bernstein P. (1992), Capital Ideas: The improbable Origins of Modern Wall Street, Free Press, New York.
  108. Duffie D. (1998), Black, Merton and Scholes - Their Central Contributions to Economics, Scandinavian Journal of Economics, 100(2), 411-24.
  109. Figlewski S. (1995), Remembering Fischer Black, Journal of Derivatives, 3, 94-98.
  110. Mehrling P. (2005), Fischer Black and the Revolutionary Idea of Finance, John Wiley.
  111. Merton R. C. and Scholes M.S. (1995), Fischer Black, Journal of Finance, 50(5), 1359-1370.
  112. Schaefer, S. M. (1998), Robert Merton, Myron Scholes and the Development of Derivative Pricing, Scandinavian Journal of Economics, 100(2), 425-45.
  113. Various Authors (1996), A Tribute to Fischer Black, Journal of Portfolio Management, Special Issue (December) with articles by Derman E., Ingersoll J. E. Jr., Cox J.C., Litzenberger R. H. Litterman R. and Traynor J.

JOC/EFR April 2007

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