Starting with his 1970 doctoral dissertation and continuing to today, Robert C. Merton has revolutionized the theory and practice of finance. In 1997, Merton shared a Nobel Prize in Economics “for a new method to determine the value of derivatives.” His contributions to the science of finance, however, go far beyond that. In this article I describe Merton's main contributions. They include the following: 1.  The introduction of continuous-time stochastic models (the Ito calculus) to the theory of household consumption and investment decisions. Merton's technique of dynamic hedging in continuous time provided a bridge between the theoretical complete-markets equilibrium model of Kenneth Arrow and the real world of personal financial planning and management. 2.  The derivation of the multifactor Intertemporal Capital Asset Pricing Model (ICAPM). The ICAPM generalizes the single-factor CAPM and explains why that model might fail to properly account for observed market excess returns. It also provides a theory to identify potential forward-looking risk premia for use in factor-based investment strategies. It is therefore both a positive and normative theory. 3.  The invention of Contingent Claims Analysis (CCA) as a generalization of option pricing theory. CCA applies the technique of dynamic replication to the valuation and risk management of a wide range of corporate and government liabilities. Merton's CCA model for the valuation and analysis of risky debt is known among scholars and practitioners alike as the Merton Model. 4.  The development of financial engineering, which employs CCA to design and produce new financial products. Merton was the first to apply CCA to analyze government guaranty programs such as deposit insurance, and to suggest improvements in the way those programs are managed. He and his students have applied his insights at both the micro and macro policy levels. 5.  And finally, the development of a theory of financial intermediation that explains and predicts how financial systems differ across countries and change over time. Merton has applied that theory, called functional and structural finance, to guide the design and regulation of financial systems at the levels of the firm, the industry, and the nation. He has also used it to propose reforms in pensions, sovereign wealth funds, and macrostabilization policy. This article is one of a pair of articles published in this volume about Robert C. Merton's contributions to the science of financial economics. This article was originally published in Volume 11 of the Annual Review of Financial Economics. The other article in this pair is “ Robert C. Merton: The First Financial Engineer ” by Andrew W. Lo.

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Robert C. Merton 和金融科学

从他 1970 年的博士论文开始，一直持续到今天，罗伯特·C·默顿彻底改变了金融的理论和实践。1997 年，默顿因“一种确定衍生品价值的新方法”而分享了诺贝尔经济学奖。然而，他对金融科学的贡献远不止于此。在这篇文章中，我描述了默顿的主要贡献。它们包括以下内容： 1. 将连续时间随机模型（伊藤演算）引入家庭消费和投资决策理论。默顿的连续时间动态对冲技术在 Kenneth Arrow 的理论完全市场均衡模型与个人财务规划和管理的现实世界之间架起了一座桥梁。2. 多因素跨期资本资产定价模型（ICAPM）的推导。ICAPM 概括了单因素 CAPM 并解释了为什么该模型可能无法正确解释观察到的市场超额收益。它还提供了一种理论来识别潜在的前瞻性风险溢价，以用于基于因子的投资策略。因此，它既是一种积极的理论，也是一种规范的理论。3. 或有债权分析 (CCA) 作为期权定价理论的推广的发明。CCA 将动态复制技术应用于广泛的公司和政府负债的估值和风险管理。Merton 用于风险债务估值和分析的 CCA 模型在学者和从业者中被称为 Merton 模型。4.金融工程的发展，它采用 CCA 来设计和生产新的金融产品。默顿是第一个应用 CCA 来分析政府担保计划（例如存款保险）的人，并建议改进这些计划的管理方式。他和他的学生将他的见解应用于微观和宏观政策层面。5. 最后，金融中介理论的发展，解释和预测金融体系在不同国家之间的差异和随时间的变化。默顿应用了这一理论，称为功能性和结构性金融，在公司、行业和国家层面指导金融系统的设计和监管。他还用它来提议改革养老金、主权财富基金和宏观稳定政策。本文是本卷中发表的两篇关于 Robert C. Merton 对金融经济学科学的贡献的文章之一。本文最初发表于《金融经济学年度评论》第 11 卷。这对中的另一篇文章是 Andrew W. Lo 的“Robert C. Merton：第一位金融工程师”。