Louis Bachelier's Theory of Speculation
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A01=Louis Bachelier
Annuity
Arbitrage
Asset
Author_Louis Bachelier
Brownian motion
Calculation
Call option
Category=DNBB
Category=KFFM
Coefficient
Commodity
Common stock
Credit risk
Current Price
Deposit account
Differential equation
Economics
Economist
eq_bestseller
eq_biography-true-stories
eq_business-finance-law
eq_isMigrated=0
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Exchange rate
Expected value
Finance
Financial economics
Forward contract
Geometric Brownian motion
Government bond
Government debt
Gresham's law
Interest
Interest rate
Investment
Investor
Lecture
Leverage (finance)
Louis Bachelier
Markov chain
Markov process
Markov property
Martingale (probability theory)
Mathematician
Myron Scholes
Norbert Wiener
Option contract
Partial differential equation
Paul Samuelson
Payment
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
Series expansion
Share price
Speculation
Spot contract
Square root
Stochastic calculus
Stochastic differential equation
Stochastic process
Stock exchange
Strike price
Suggestion
Theorem
Theory
Time series
Trading strategy
Valuation (finance)
Product details
- ISBN 9780691117522
- Weight: 425g
- Dimensions: 152 x 235mm
- Publication Date: 25 Sep 2006
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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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 "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".
