Louis Bachelier's Theory of Speculation
The Origins of Modern Finance
Seiten
2006
Princeton University Press (Verlag)
978-0-691-11752-2 (ISBN)
Princeton University Press (Verlag)
978-0-691-11752-2 (ISBN)
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. This book provides a translation of Bachelier's seminal work.
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 "far away from those usually considered by our candidates," 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.
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 "far away from those usually considered by our candidates," 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.
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".
Foreword vii Preface xiii Chapter One: Mathematics and Finance 1 Chapter Two: Theorie de la Speculation 15 Chapter Three: From Bachelier to Kreps, Harrison and Pliska 80 Chapter Four: Facsimile of Bachelier's Original Thesis 116 References 183
| Erscheint lt. Verlag | 25.9.2006 |
|---|---|
| Übersetzer | Mark Davis, Alison Etheridge |
| Vorwort | Paul A. Samuelson |
| Zusatzinfo | 17 line illus. |
| Verlagsort | New Jersey |
| Sprache | englisch |
| Maße | 152 x 235 mm |
| Gewicht | 425 g |
| Themenwelt | Literatur ► Biografien / Erfahrungsberichte |
| Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Wirtschaft | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| ISBN-10 | 0-691-11752-7 / 0691117527 |
| ISBN-13 | 978-0-691-11752-2 / 9780691117522 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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