Louis Bachelier's Theory of Speculation: The Origins of Modern Finance
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J.
Princeton University Press
2006
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| Schlagworte: | |
| Online-Zugang: | Volltext Volltext |
| Beschreibung: | Biographical note: 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" Main description: 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 |
| Beschreibung: | 1 Online-Ressource (208 S.) |
| ISBN: | 9781400829309 |
| DOI: | 10.1515/9781400829309 |
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Datensatz im Suchindex
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|---|---|
| any_adam_object | |
| author | Bachelier, Louis |
| author_GND | (DE-588)118605321 |
| author_facet | Bachelier, Louis |
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| author_sort | Bachelier, Louis |
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| dewey-full | 332 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332 |
| dewey-search | 332 |
| dewey-sort | 3332 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1515/9781400829309 |
| era | Geschichte 1900 gnd |
| era_facet | Geschichte 1900 |
| format | Electronic eBook |
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| spelling | Bachelier, Louis Verfasser aut Louis Bachelier's Theory of Speculation The Origins of Modern Finance Princeton, N.J. Princeton University Press 2006 1 Online-Ressource (208 S.) txt rdacontent c rdamedia cr rdacarrier Biographical note: 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" Main description: 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 Bachelier, Louis 1870-1946 (DE-588)12867704X gnd rswk-swf Geschichte 1900 gnd rswk-swf Rezeption (DE-588)4049716-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Spekulation (DE-588)4697347-3 gnd rswk-swf 1\p (DE-588)4135952-5 Quelle gnd-content Finanzmathematik (DE-588)4017195-4 s Spekulation (DE-588)4697347-3 s Geschichte 1900 z 2\p DE-604 Bachelier, Louis 1870-1946 (DE-588)12867704X p Rezeption (DE-588)4049716-1 s 3\p DE-604 Davis, Mark Sonstige oth Etheridge, Alison Sonstige oth Samuelson, Paul Anthony 1915-2009 Sonstige (DE-588)118605321 oth https://doi.org/10.1515/9781400829309 Verlag Volltext http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829309&searchTitles=true Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Bachelier, Louis Louis Bachelier's Theory of Speculation The Origins of Modern Finance Bachelier, Louis 1870-1946 (DE-588)12867704X gnd Rezeption (DE-588)4049716-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Spekulation (DE-588)4697347-3 gnd |
| subject_GND | (DE-588)12867704X (DE-588)4049716-1 (DE-588)4017195-4 (DE-588)4697347-3 (DE-588)4135952-5 |
| title | Louis Bachelier's Theory of Speculation The Origins of Modern Finance |
| title_auth | Louis Bachelier's Theory of Speculation The Origins of Modern Finance |
| title_exact_search | Louis Bachelier's Theory of Speculation The Origins of Modern Finance |
| title_full | Louis Bachelier's Theory of Speculation The Origins of Modern Finance |
| title_fullStr | Louis Bachelier's Theory of Speculation The Origins of Modern Finance |
| title_full_unstemmed | Louis Bachelier's Theory of Speculation The Origins of Modern Finance |
| title_short | Louis Bachelier's Theory of Speculation |
| title_sort | louis bachelier s theory of speculation the origins of modern finance |
| title_sub | The Origins of Modern Finance |
| topic | Bachelier, Louis 1870-1946 (DE-588)12867704X gnd Rezeption (DE-588)4049716-1 gnd Finanzmathematik (DE-588)4017195-4 gnd Spekulation (DE-588)4697347-3 gnd |
| topic_facet | Bachelier, Louis 1870-1946 Rezeption Finanzmathematik Spekulation Quelle |
| url | https://doi.org/10.1515/9781400829309 http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829309&searchTitles=true |
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