The Black Swan: The Impact of the Highly Improbable · chapter 7 · id the-black-swan-c7-07-scholes-and-merton-received-th

“Scholes and Merton received the 1997 Nobel Memorial Prize in Economics for the Black-Scholes option pricing model, and LTCM collapsed the following year in 1998 -- a timeline Taleb uses to argue that the Nobel committee effectively endorsed the very models that failed catastrophically.”

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Wikipedia: Long-Term Capital Managementsource alive

Members of LTCM's board of directors included Myron Scholes and Robert C. Merton, who in 1997 shared the Nobel Prize in Economics for having developed the Black-Scholes model of financial dynamics.

Federal Reserve History: LTCMsource alive

LTCM was founded in 1994 and initially produced impressive returns. In the wake of the Russian financial crisis of August 1998, the fund collapsed, necessitating a coordinated bailout.

PRMIA: Long-Term Capital Management Case Studysource alive

The Nobel Prize was awarded in 1997, and LTCM collapsed in 1998. The proximity of these events created lasting reputational damage to the Black-Scholes framework and to the application of academic financial theory to practice.

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