Louis Bachelier's Theory of Speculation (eBook)

The Origins of Modern Finance

Louis Bachelier (Autor)

eBook Download: PDF | EPUB

2011
Princeton University Press (Verlag)
978-1-4008-2930-9 (ISBN)

Infos

Mark Davis, Professor of Mathematics at Imperial College London, has written three books on stochastic modeling and control, most recently Markov Models and Optimization. Alison Etheridge, Professor of Probability at the University of Oxford, is the author of A Course in Financial Calculus and Introduction to Superprocesses.

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March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Theorie de la Speculation at the Sorbonne. The jury, while noting that the topic was "e;far away from those usually considered by our candidates,"e; appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work. Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900. Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.

Produkt-Details

• Erscheint lt. Verlag: 12.12.2011
• Übersetzer: Mark Davis, Alison Etheridge
• Vorwort: Paul A. Samuelson
• Zusatzinfo: 17 line illus.
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Literatur ► Biografien / Erfahrungsberichte
• Themenwelt: Literatur ► Romane / Erzählungen
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Wirtschaft
• Themenwelt: Mathematik / Informatik ► Mathematik ► Analysis
• Themenwelt: Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Annuity • Approximation • Arbitrage • asset • Banknote • Brownian motion • Calculation • Call Option • coefficient • Commodity • common stock • credit risk • Currency • Current Price • Deposit account • Derivative (finance) • differential equation • Economics • economist • Exchange Rate • expected value • Finance • Financial asset • Financial Economics • Forward contract • Geometric Brownian motion • G. H. Hardy • Girsanov theorem • Government bond • Government Debt • Gresham's law • Harry Markowitz • Interest • Interest Rate • Investment • investment company • Investment Fund • Investment Strategy • Investor • Kalman Filter • Langevin Equation • Lecture • Left-Hand Side • Leverage (finance) • Liability (financial accounting) • Louis Bachelier • Markov Chain • Markov process • Markov Property • Markowitz • Martingale (probability theory) • mathematician • Maurice Kendall • Max Planck • Merton Miller • Milton Friedman • money market • Myron Scholes • Noise trader • Norbert Wiener • Normal distribution • normal science • Option contract • partial differential equation • Paul Samuelson • Payment • Perfect Hedge • physicist • price change • Pricing • Probability • Probability density function • Probability Distribution • Probability Theory • Pure Mathematics • Put Option • Quantity • Random Variable • Real versus nominal value (economics) • Relative price • semimartingale • Series expansion • Share Price • Speculation • Spot contract • square root • Statistic • Stochastic Calculus • stochastic differential equation • Stochastic process • Stock exchange • Stock Market • strike price • Suggestion • Theorem • theory • Time Series • Trading Strategy • Valuation (finance) • Variance
• ISBN-10: 1-4008-2930-5 / 1400829305
• ISBN-13: 978-1-4008-2930-9 / 9781400829309