Louis Bachelier's Theory of Speculation The Origins of Modern Finance

ISBN-10: 0691117527
ISBN-13: 9780691117522
Edition: 2006
List price: $78.50 Buy it from $66.39
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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 thesisTheacute;orie de la Speacute;culationat the Sorbonne. The jury, while noting  More...

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Book details

List price: $78.50
Copyright year: 2006
Publisher: Princeton University Press
Publication date: 9/25/2006
Binding: Hardcover
Pages: 208
Size: 6.25" wide x 9.25" long x 0.75" tall
Weight: 0.990

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 thesisTheacute;orie de la Speacute;culationat 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.

Paul Samuelson was the first American recipient of the Nobel Prize in economics. Born in Indiana, he did his undergraduate work at the University of Chicago and earned a Ph.D. at Harvard University, where he studied with Alvin Hansen. He taught for several decades at M.I.T. Samuelson's first major work was Foundations of Economic Analysis (1947), a mathematical treatment of economic theory and principles. Later he made extensive contributions to professional journals in virtually all areas of economic theory. Often he would be the first to offer a mathematical proof of a proposition when most other economists could sense it only intuitively. In 1948 he published the first edition of Economics, one of the most successful and influential college texts of our time. It provided an extremely comprehensive treatment of Keynesian economics and microeconomic principles, and played an important part in educating a generation of economists. Despite Samuelson's role in providing mathematical refinements for economic theory, he has always maintained a public posture, welcoming opportunities to share his views. He was an economic adviser to President John F. Kennedy and wrote a popular column for Newsweek from 1966 to 1981. He has generally favored an interventionist approach in policy matters, especially when it has involved using the tax system to battle poverty, fight inflation, or balance the budget. One of the world's most respected economists, Samuelson is responsible for rewriting considerable parts of economic theory. He has, in several areas, achieved results that rank among the classic theorems in economics.

Foreword
Preface
Mathematics and Finance
Theacute;orie de la Speacute;culation
From Bachelier to Kreps, Harrison and Pliska
Facsimile of Bachelier's Original Thesis
References

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