This list of references includes, as well as published material, a number of unpublished documents from the following sources




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References


This list of references includes, as well as published material, a number of unpublished documents from the following sources:


Black papers (Fischer Black papers, MC505, Institute Archives and Special Collections, MIT Libraries, Cambridge, MA)

Chicago Mercantile Exchange archive

Fouse papers (private papers of William L. Fouse, Chairman Emeritus, Mellon Capital Management)

Samuelson papers (private papers of Paul A. Samuelson, MIT)

Treynor papers (private papers of Jack Treynor, Treynor Capital Management, Inc.)


Items from the Black papers are located by box number and file name. Material from the other sources was provided by Katie Dishman, archivist of the Chicago Mercantile Exchange, and by the individuals concerned.

Abolafia, Mitchel Y. 1996. Making Markets: Opportunism and Restraint on Wall Street. Cambridge, Mass.: Harvard University Press.

Aitchison, John, and J.A.C. Brown. 1957. The Lognormal Distribution, with Special Reference to its Uses in Economics. Cambridge: Cambridge University Press.

Alchian, Armen A. 1950. "Uncertainty, Evolution, and Economic Theory." Journal of Political Economy 58:211-221.

Allen, R.G.D. 1953. "[Vote of thanks to M.G. Kendall]." Journal of the Royal Statistical Society series A, 116:25-26.

Anders, George. 1987. "Portfolio Insurance Proved Cold Comfort: Some Suggest Hedge Slicked Skids in Crash." Wall Street Journal October 28:6.

Anon. 2000. "Risk Managers of the Year: LTCM Oversight Committee." Risk 13:32-33.

Anon. 1987a. "Dow takes Worst Fall to Date." Financial Times October 17:11.

—. 1987b. "Repeating the 1920s? Some Parallels but some Contrasts." Wall Street Journal October 19:15.

—. 1988a. "The Equity Market Crash." Bank of England Quarterly Bulletin 28:51-58.

—. 1988b. "Think Twice about your Plans to Reform the Market." Corporate Finance April: 45.

Armatte, Michel. 1998. "Robert Gibrat and the Law of Proportional Effect." Pp. 94-111 in European Economists of the Early Twentieth Century, Volume 1. Cheltenham: Elgar.

Arthur, W. Brian. 1984. "Competing Technologies and Economic Prediction." Options April:10-13.

Austin, J.L. 1962. How to Do Things With Words. Oxford: Clarendon.

—. 1970. Philosophical Papers. Oxford: Clarendon, second edition.

Bachelier, Louis. 1900. "Théorie de la spéculation." Annales de l'Ecole Normale Supérieure third series 17:22-86.

—. 1964. "Theory of Speculation,” trans. A. James Boness. Pp. 17-78 in The Random Character of Stock Market Prices, edited by P.H. Cootner. Cambridge, Mass.: MIT Press.

Baker, Wayne E. 1981. "Markets as Networks: A Multimethod Study of Trading Networks in a Securities Market." PhD thesis: Northwestern University.

—. 1984a. "The Social Structure of a National Securities Market." American Journal of Sociology 89:775-811.

—. 1984b. "Floor Trading and Crowd Dynamics." Pp. 107-128 in The Social Dynamics of Financial Markets, edited by Patricia A. Adler and Peter Adler. Greenwich, Conn.: JAI Press.

Ball, Ray, and Phillip Brown. 1968. "An Empirical Evaluation of Accounting Income Numbers." Journal of Accounting Research 6:159-178.

Bank for International Settlements. 2003. "OTC Derivatives Market Activity in the First Half of 2003." Basel, Switzerland: Bank for International Settlements. Available at www.bis.org, accessed April 28, 2004.

Barberis, Nicholas, and Richard H. Thaler. 2002. "A Survey of Behavioral Finance." Cambridge, MA: National Bureau of Economic Research, Working Paper 9222.

Barcellos, Anthony. 1985. "Benoit Mandelbrot." Pp. 205-225 in Mathematical People: Profiles and Interviews, edited by Donald J. Albers and G.L. Alexanderson. Boston: Birkhäuser.

Barnes, Barry. 1974. Scientific Knowledge and Sociological Theory. London: Routledge & Kegan Paul.

—. 1982. T.S. Kuhn and Social Science. London and Basingstoke: Macmillan.

—. 1983. "Social Life as Bootstrapped Induction." Sociology 17:524-545.

—. 1988. The Nature of Power. Cambridge: Polity.

—. 1992. "Status Groups and Collective Action." Sociology 26:259-270.

—. 1995. The Elements of Social Theory. London: UCL Press.

Barnes, Barry, David Bloor, and John Henry. 1996. Scientific Knowledge: A Sociological Analysis. London: Athlone and Chicago: Chicago University Press.

Bashe, Charles J., Lyle R. Johnson, John H. Palmer, and Emerson W. Pugh. 1986. IBM's Early Computers. Cambridge, MA: MIT Press.

Basle Committee on Banking Supervision. 1996. Amendment to the Capital Accord to Incorporate Market Risks. Basle: Bank for International Settlements.

Bates, David S. 2000. "Post-'87 Crash Fears in the S&P 500 Futures Option Market." Journal of Econometrics 94:181-238.

—. 2003. "Empirical Option Pricing: A Retrospection." Journal of Econometrics 116:387-404.

Baumol, W.J. , B.G. Malkiel, and R.E. Quandt. 1966. "The Valuation of Convertible Securities." Quarterly Journal of Economics 80:48-59.

Begg, David, Stanley Fischer, and Rudiger Dornbusch. 1997. Economics. New York: McGraw-Hill, fifth edition.

Bernstein, Peter L. 1992. Capital Ideas: The Improbable Origins of Modern Wall Street. New York: Free Press.

Bernstein, Peter L., and Barbara S. Bernstein. 1988. "Where the Postcrash Studies Went Wrong." Institutional Investor April:173-177.

Beunza, Daniel, and David Stark. 2004. "Tools of the Trade: The Socio-Technology of Arbitrage in a Wall Street Trading Room." Industrial and Corporate Change 13:in press.

Bijker, Wiebe E., Thomas P. Hughes, and Trevor Pinch (Eds.). 1987. The Social Construction of Technological Systems: New Directions in the Sociology and History of Technology. Cambridge, MA: MIT Press.

Black, Fischer. 1964. "A Deductive Question Answering System." PhD thesis: Harvard University.

—. 1982. "The Trouble with Econometric Models." Financial Analysts Journal 38/2 (March-April):29-37.

—. 1986. "Noise." Journal of Finance 41:529-543.

—. 1988a. "The Holes in Black-Scholes." Risk 1/4 (March):30-32.

—. 1988b. "An Equilibrium Model of the Crash." NBER Macroeconomics Annual, 1988:269-275.

—. 1989. "How we came up with the Option Formula." Journal of Portfolio Management 15 (Winter):4-8.

—. 1990. "Living up to the Model." Risk 3/3 (March):11-13.

Black, Fischer, Michael C. Jensen, and Myron Scholes. 1972. "The Capital Asset Pricing Model: Some Empirical Tests." Pp. 79-121 in Studies in the Theory of Capital Markets, edited by Michael C. Jensen. New York: Praeger.

Black, Fischer, and Myron Scholes. 1970a. "A Theoretical Valuation Formula for Options, Warrants, and other Securities." Unpublished typescript in the personal files of Stewart Myers, MIT.

—. 1970b. "A Theoretical Valuation Formula for Options, Warrants, and other Securities.” Financial Note no. 16B, 1 October 1970. Black papers, box 28, Working Paper Masters #2.

—. 1971. "Capital Market Equilibrium and the Pricing of Corporate Liabilities.” Financial Note no. 16C, January 1971. Black papers, box 28, Working Paper Masters #2.

—. 1972. "The Valuation of Option Contracts and a Test of Market Efficiency." Journal of Finance 27:399-417.

—. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81:637-654.

—. 1974. "From Theory to a New Financial Product." Journal of Finance 29:399-412.

Blattberg, Robert, and Thomas Sargent. 1971. "Regression with Non-Gaussian Stable Disturbances: Some Sampling Results." Econometrica 39:501-510.

Bloom, Murray Teigh. 1971. Rogues to Riches: The Trouble with Wall Street. New York: Putnam's.

Bloor, David. 1973. "Wittgenstein and Mannheim on the Sociology of Mathematics." Studies in the History and Philosophy of Science 4:173-191.

—. 1976. Knowledge and Social Imagery. London: Routledge & Kegan Paul.

—. 1978. "Polyhedra and the Abominations of Leviticus." British Journal for the History of Science 11:245-272.

Blume, Marshall E., Mackinlay, A. Craig, and Bruce Terker. 1989. "Order Imbalances and Stock Price Movements on October 19 and 20, 1987." Journal of Finance 44:827-848.

Bodie, Zvi, and Robert C. Merton. 1995. "The Informational Role of Asset Prices: The Case of Implied Volatility." Pp. 197-224 in The Global Financial System: A Functional Perspective, edited by Dwight B.Crane et al. Boston, MA: Harvard Business School Press.

Boness, A. James. 1964. "Elements of a Theory of Stock-Option Value." Journal of Political Economy 72:163-175.

Booth, Tamzin. 1998. "Why Costas Kaplanis had to sell." Institutional Investor October:12-16.

Borsellino, Lewis J. 1999. The Day Trader: From the Pit to the PC. New York: Wiley.

Brady Commission. 1988. "Report of the Presidential Task Force on Market Mechanisms." Washington, D.C.: U.S. Government Printing Office.

Branch, Ben. 1977. "A Tax Loss Trading Rule." Journal of Business 50:198-207.

Brealey, Richard A., and Stewart C. Myers. 2000. Principles of Corporate Finance. Boston: McGraw-Hill.

Brennan, Michael J., and Eduardo S. Schwartz. 1976. "The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee." Journal of Financial Economics 3:195-213.

Breslau, Daniel, and Yuval Yonay. 1999. "Beyond Metaphor: Mathematical Models in Economics as Empirical Research." Science in Context 12:317-332.

Brooks, John. 1973. The Go-Go Years. New York: Weybright and Talley.

Brown, Marilyn V. 1977. "Prudence under ERISA: What the Regulators Say." Financial Analysts Journal January-February:33-39.

Bruck, Connie. 1989. The Predators' Ball: The Inside Story of Drexel Burnham and the Rise of the Junk Bond Raiders. New York: Penguin.

Brügger, Urs. 2000. "Speculating: Work in Financial Markets." Pp. 229-255 in Ökonomie und Gesellschaft, edited by Herbert Kalthoff, Richard Rottenburg, and Hans-Jürgen Wagener. Marburg: Metropolis.

Butler, Judith. 1997. Excitable Speech: A Politics of the Performative. London: Routledge.

Callon, Michel (Ed.). 1998. The Laws of the Markets. Oxford: Blackwell.

Callon, Michel, and Fabian Muniesa. 2002. "Economic Markets as Calculative and Calculated Collective Devices." Paper presented to Columbia University Conference on Social Studies of Finance, May 3-4.

Camic, Charles. 1987. "The Making of a Method: A Historical Reinterpretation of the early Parsons." American Sociological Review 52:421-439.

Campbell, John Y., Andrew W. Lo, and A. Craig Mackinlay. 1997. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.

Carrier, James G., and Daniel Miller (Eds.). 1998. Virtualism: A New Political Economy. Oxford: Berg.

Castelli, Charles. 1877. The Theory of “Options” in Stocks and Shares. London: Mathieson.

Clark, Peter K. 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica 41:135-155.

Colander, David. 1988. "The Evolution of Keynesian Economics: From Keynesian to New Classical to New Keynesian." Pp. 92-100 in Keynes and Public Policy after Fifty Years. Vol. 1: Economics and Policy, edited by Omar F. Hamouda and John N. Smithin. New York: New York University Press.

—. 1989. "Research on the Economics Profession." Journal of Economic Perspectives 3/4:137-148.

Collins, Harry M. 1990. Artificial Experts: Social Knowledge and Intelligent Machines. Cambridge, MA: MIT Press.

—. 1991. "The Meaning of Replication and the Science of Economics." History of Political Economy 23:123-142.

Committee on the Global Financial System. 1999. A Review of Financial Market Events in Autumn 1998. Basle: Bank for International Settlements.

Cootner, Paul (Ed.). 1964. The Random Character of Stock Market Prices. Cambridge, MA: MIT Press.

Cootner, Paul L. 1977. "The Theorems of Modern Finance in a General Equilibrium Setting: Paradoxes Resolved." Journal of Financial and Quantitative Analysis 12:553-562.

CBOE/OCC (Chicago Board Options Exchange and Options Clearing Corporation). 1998a. Listed Options: 25 Years of Investment Success. Chicago: CBOE/OCC.

—. 1998b. "Twenty-Five Years of Options." Chicago: CBOE/OCC, videotape.

Courtault, Jean-Michel et al. 2000. "Louis Bachelier on the Centenary of Théorie de la Spéculation." Mathematical Finance 10:341-353.

Cowles, Alfred. 1933. "Can Stock Market Forecasters Forecast?" Econometrica 1:309-324.

Cowles, Alfred, and Herbert E. Jones. 1937. "Some A Posteriori Probabilities in Stock Market Action." Econometrica 5:280-294.

Cox, D.R. , and H.D. Miller. 1965. The Theory of Stochastic Processes. London: Methuen.

Cox, John C., Jonathan Ingersoll, and Stephen A. Ross. 1985. "A Theory of the Term Structure of Interest Rates." Econometrica 53:386-407.

Cox, John C., and Stephen A. Ross. 1976. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics 3:145-166.

Cox, John C., Stephen A. Ross, and Mark Rubinstein. 1979. "Option Pricing: A Simplified Approach." Journal of Financial Economics 7:229-263.

Cronon, William. 1991. Nature's Metropolis: Chicago and the Great West. New York: Norton.

Cusick, Philip A. 2001. "Price Effects of Addition or Deletion from the Standard & Poor's 500 Index: Evidence of Increasing Market Efficiency." New York: New York University, Stern School of Business.

David, Paul A. 1992. "Heroes, Herds and Hysteresis in Technological History: Thomas Edison and 'The Battle of the Systems' Reconsidered." Industrial and Corporate Change 1:129-180.

Davis, Gerald F., and Tracy A. Thompson. 1994. "A Social Movement Perspective on Corporate Control." Administrative Science Quarterly 39:141-173.

de la Vega, Joseph. 1957. Confusion de Confusiones, trans. Hermann Kellenbenz. Boston: Baker Library, Harvard Graduate School of Business Administration.

De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldman. 1990. "Noise Trader Risk in Financial Markets." Journal of Political Economy 98:703-738.

Dewing, Arthur Stone. 1953. The Financial Policy of Corporations. New York: Ronald, fifth edition.

Douglas, Mary. 1970a. Natural Symbols: Explorations in Cosmology. London: Barrie & Rockliff.

—. 1970b. Purity and Danger: An Analysis of Concepts of Pollution and Taboo. Harmondsworth, Middlesex: Penguin.

Duffie, Darrell. 1996. Dynamic Asset Pricing Theory. Princeton, NJ: Princeton University Press.

Dunbar, Nicholas. 2000. Inventing Money: The Story of Long-Term Capital Management and the Legends Behind it. Chicester, West Sussex: Wiley.

Durand, David. 1952. "Costs of Debt and Equity Funds for Business: Trends and Problems of Measurement." Pp. 215-247 in
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