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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'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.
With a foreword by Paul A. Samuelson
| Erscheinungsjahr: | 2006 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Importe, Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9780691117522 |
| ISBN-10: | 0691117527 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Bachelier, Louis |
| Redaktion: |
Davis, Mark
Etheridge, Alison |
| Übersetzung: |
Davis, Mark
Etheridge, Alison |
| Hersteller: | Princeton University Press |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 240 x 161 x 16 mm |
| Von/Mit: | Louis Bachelier |
| Erscheinungsdatum: | 25.09.2006 |
| Gewicht: | 0,479 kg |
With a foreword by Paul A. Samuelson
| Erscheinungsjahr: | 2006 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Importe, Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9780691117522 |
| ISBN-10: | 0691117527 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Bachelier, Louis |
| Redaktion: |
Davis, Mark
Etheridge, Alison |
| Übersetzung: |
Davis, Mark
Etheridge, Alison |
| Hersteller: | Princeton University Press |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 240 x 161 x 16 mm |
| Von/Mit: | Louis Bachelier |
| Erscheinungsdatum: | 25.09.2006 |
| Gewicht: | 0,479 kg |
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