Louis Bachelier's Theory of Speculation

Book Name : Louis Bachelier's Theory of Speculation_x000D_
The Origins of Modern Finance

By by Louis Bachelier, Mark Davis, Alison Etheridge, Paul A. Samuelson

Sub Title : The Origins of Modern Finance

Written by : by Louis Bachelier, Mark Davis, Alison Etheridge, Paul A. Samuelson

Subject Category : Biography & Autobiography Business

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about this book

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 Théorie de la Spéculation 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. Princeton University Press; December 2011 ISBN 9781400829309 Read online, or download in secure PDF or secure EPUB format Title: Louis Bachelier's Theory of Speculation Author: Louis Bachelier; Mark Davis (ed.); Alison Etheridge (ed.); Paul A. Samuelson (other) Imprint: Princeton University Press Subject categories Biography & Autobiography Business > Finance Business > Information Management Business > Investments & Securities Mathematics History > Modern ISBNs 1400829305 9780691117522 9781400829309 In The Press "Mark Davis and Alison Etheridge have done a splendid job in translating the Bachelier thesis, thus making it accessible to a wide audience. Apart from the thesis itself, they provide the reader with institutional information, a biography of Bachelier, and a short history of the development of stochastic analysis and mathematical finance. The result is a nice slim volume that will certainly be on the bookshelves of everyone interested in the subject."—Tomas Björk, Professor of Mathematical Finance, Stockholm School of Economics About The Author 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.

About The authore

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.

Related subjects

Biography & Autobiography Business - Finance Business - Information Management Business - Investments & Securities Mathematics History - Modern

ISBN

1400829305 - 9780691117522 - 9781400829309

In The Press:

"Mark Davis and Alison Etheridge have done a splendid job in translating the Bachelier thesis, thus making it accessible to a wide audience. Apart from the thesis itself, they provide the reader with institutional information, a biography of Bachelier, and a short history of the development of stochastic analysis and mathematical finance. The result is a nice slim volume that will certainly be on the bookshelves of everyone interested in the subject."—Tomas Björk, Professor of Mathematical Finance, Stockholm School of Economics

Imprint

Princeton University Press

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