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by: Louis Bachelier
List Price: $37.50Amazon.com's Price: $30.00 You Save: $7.50 (20%)Prices subject to change. Availability: Usually ships in 24 hours
Binding: Hardcover
Dewey Decimal Number: 332
EAN: 9780691117522
ISBN: 0691117527
Label: Princeton University Press
Manufacturer: Princeton University Press
Number Of Items: 1
Number Of Pages: 192
Publication Date: September 05, 2006
Publisher: Princeton University Press
Sales Rank: 109187
Studio: Princeton University Press
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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.
Customer Reviews
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Rating: - Thank you Davis and Etheridge
Finally, a worthy title, a worthy edition and binding, and worthy translation of the forgotten paper that transformed the world of finance long after its genius author had passed from this mortal coil. Louis Bachelier's "The Theory of Speculation" was previously only available in French (online at NUMDAM, under Théorie de la spéculation. Annales scientifiques de l'École Normale Supérieure) and in English in the obscure 1971 book "The Random Character of the Stock Market" edited by MIT's Paul ... Read More
Rating: - Speculations on the "Theory of Speculation"
This is an excellent book on the origins of computational finance. It discusses the academic beginnings in the early twentieth century. Finance is a strange subject that is hard to study because people are usually not too willing to share their discoveries- they would rather make massive profits off of them! This book discusses Bachelier's incredible thesis on several levels. He has some very interesting stochastic analysis, but more importantly he discovered a method for the valuation of options ... Read More
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