|
|
Usually ships within 1 to 3 working days
|
- Product code: 150881
- ISBN: 0691117527,
ISBN13: 9780691117522,
192 pages, hardback
Published by Princeton University Press, annotated edition edition, 2006
If you have an opinion on this book, we'd love to hear your review - please Email us
|
|
|
|
|
Description of Louis Bachelier's Theory of Speculation
|
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.
|
Contents of Louis Bachelier's Theory of Speculation |
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
|
About Louis Bachelier, Mark Davis (Editor) and Alison Etheridge (Editor) |
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".
|
|
|
Shopping Basket
