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Louis Bachelier's Theory of Speculation: The Origins of Modern Finance
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eBay item number:166630682369
Item specifics
- Condition
- ISBN
- 0691117527
- ISBN10
- 0691117527
- ISBN13
- 9780691117522
- EAN
- 9780691117522
- MPN
- does not apply
- Brand
- Princeton University Press
- GTIN
- 09780691117522
- Publication Year
- 2006
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Publication Name
- Louis Bachelier's Theory of Speculation : the Origins of Modern Finance
- Item Height
- 0.7in
- Item Length
- 9.5in
- Publisher
- Princeton University Press
- Item Width
- 7.6in
- Item Weight
- 15 Oz
- Number of Pages
- 208 Pages
About this product
Product Information
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.
Product Identifiers
Publisher
Princeton University Press
ISBN-10
0691117527
ISBN-13
9780691117522
eBay Product ID (ePID)
53946988
Product Key Features
Publication Name
Louis Bachelier's Theory of Speculation : the Origins of Modern Finance
Format
Hardcover
Language
English
Publication Year
2006
Type
Textbook
Number of Pages
208 Pages
Dimensions
Item Length
9.5in
Item Height
0.7in
Item Width
7.6in
Item Weight
15 Oz
Additional Product Features
Lc Classification Number
Hg6015.B3313 2006
Reviews
"Louis Bachelier's thesis is a seminal work, and to have it readily accessible will be a most valuable contribution to the field. This book represents a timely look back at the scientific origins of the enormously important modern-day finance industry." --Chris Rogers, University of Cambridge, coauthor of Diffusions, Markov Processes and Martingales, Volumes 1 and 2, "This gem of a book will please many readers, including students and researchers in economics, finance, mathematics, and physics. Beyond presenting an annotated translation of Bachelier's original thesis, it also provides a historical overview of the key scientific developments in various fields related to the concepts Bachelier introduced. It reads very well and offers great insight into the historical developments of probability and mathematical finance." --Paul Embrechts, ETH Zurich, coauthor of Quantitative Risk Management, "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
Table of Content
Foreword vii Preface xiii Chapter One: Mathematics and Finance 1 Chapter Two: ThÉorie de la SpÉculation 15 Chapter Three: From Bachelier to Kreps, Harrison and Pliska 80 Chapter Four: Facsimile of Bachelier's Original Thesis 116 References 183
Copyright Date
2007
Topic
Finance / General, General, Mathematical Analysis
Lccn
2006-928917
Dewey Decimal
332.645015118
Intended Audience
College Audience
Dewey Edition
22
Illustrated
Yes
Genre
Business & Economics, Mathematics
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eBay item number:166630682369
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