Louis Bachelier's Theory of Speculation: The Origins of Modern Finance by Louis Bachelier (Hardback, 2006)
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- DescriptionMarch 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 ting 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 w kwn 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 ecomics, 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 ecomic side of Bachelier's work was igred until its rediscovery by financial ecomists 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.
- Author BiographyMark 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 .
- Author(s)Louis Bachelier
- PublisherPrinceton University Press
- Date of Publication05/09/2006
- SubjectBiography: General
- Place of PublicationNew Jersey
- Country of PublicationUnited States
- ImprintPrinceton University Press
- Content Note17 line illus.
- Weight428 g
- Width152 mm
- Height229 mm
- Spine12 mm
- Foreword byPaul A. Samuelson
- Format DetailsWith printed dust jacket
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