A framework for calculati
A framework for calculating risk capital for a firm by using the cost of its implicit guarantees to its subsidiaries was developed by Perold and this economist. The Jarrow-Turnbull model uses random interest rates to extend the framework of this man's namesake model, which uses the idea that a call option can represent a company's equity to assess its risk. The maximization of expected lifetime utility with respect to the allocation of wealth between equity and risk-free assets is known as the namesake portfolio problem of this economist. This member of the failed LTCM hedge fund may be better remembered for enhancing the option-pricing model developed by two of his colleagues. For 10 points, name this economist in mathematical finance who sometimes lends his name to the Black-Scholes model, the son of the author of Social Theory and Social Structure.
A framework for calculating risk capital for a firm by using the cost of its implicit guarantees to its subsidiaries was developed by Perold and this economist.
Robert C. Merton