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Louis Bachelier's Theory of Speculation: The Origins of Modern Finance
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Home > Mathematics Books > Brownian Motion Books > Item 14
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Louis Bachelier's Theory of Speculation: The Origins of Modern Finance
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by Louis Bachelier, Paul A. Samuelson, Mark Davis, and Alison Etheridge
Sales Rank: 120874
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List Price: $37.50
$30.00
At Amazon
on 10-13-2008
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Hardcover: 192 pages
Publisher: Princeton University Press September 5, 2006
Language: English
ISBN-10: 0691117527
ISBN-13: 978-0691117522
Product Dimensions:
9.3 x 6.3 x 0.9 inches
Shipping Weight: 15.2 ounces
Product Review
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 Bjork, Professor of Mathematical Finance, Stockholm School of Economics )
Product 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.
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Louis Bachelier's Theory of Speculation: The Origins of Modern Finance
Available from Amazon
Price: $30.00
Updated on 10-13-2008
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