Fischer Black

Fischer Black received a PhD in applied mathematics from Harvard University and worked at Arthur D. Little, the University of Chicago, and MIT before joining Goldman Sachs in 1984, where he became a partner and head of fixed income research. He is best known as the co-creator, with Myron Scholes and Robert Merton, of the Black-Scholes options pricing model — published in the Journal of Political Economy in 1973. The paper was initially rejected by several journals before finding a home, but its impact was immediate and transformative: by providing an analytical formula for option prices, it enabled the mathematical hedging and replication of options positions that made the explosion of derivative markets possible. Black also developed Black's Model (1976), an extension of Black-Scholes for pricing options on futures contracts, which became the standard tool for pricing interest rate options including caps, floors, and swaptions in the interest rate derivatives market. His collaboration with Robert Litterman produced the Black-Litterman portfolio model while both were at Goldman Sachs. Black died in August 1995 at age 57 from throat cancer, two years before Scholes and Merton received the Nobel Prize — which cannot be awarded posthumously. His work continues to underpin trillions of dollars of derivative contracts traded daily across global markets.