LEADER 04007nam 2200685Ia 450 001 9910454919603321 005 20200520144314.0 010 $a1-282-29829-1 010 $a9786612298295 010 $a1-4008-2930-5 024 7 $a10.1515/9781400829309 035 $a(CKB)1000000000804109 035 $a(EBL)457701 035 $a(OCoLC)521210612 035 $a(SSID)ssj0000339955 035 $a(PQKBManifestationID)11231961 035 $a(PQKBTitleCode)TC0000339955 035 $a(PQKBWorkID)10387026 035 $a(PQKB)10072325 035 $a(MiAaPQ)EBC457701 035 $a(OCoLC)899264826 035 $a(MdBmJHUP)muse36452 035 $a(DE-B1597)446349 035 $a(OCoLC)979968416 035 $a(DE-B1597)9781400829309 035 $a(Au-PeEL)EBL457701 035 $a(CaPaEBR)ebr10333496 035 $a(CaONFJC)MIL229829 035 $a(EXLCZ)991000000000804109 100 $a20060927d2006 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aLouis Bachelier's theory of speculation$b[electronic resource] $ethe origins of modern finance /$ftranslated and with commentary by Mark Davis and Alison Etheridge 205 $aCourse Book 210 $aPrinceton, NJ. ;$aOxford $cPrinceton University Press$dc2006 215 $a1 online resource (206 p.) 300 $aDescription based upon print version of record. 311 $a0-691-11752-7 320 $aIncludes bibliographical references. 327 $tFront matter --$tContents --$tForeword /$rSamuelson, Paul A. --$tPreface --$tChapter One. Mathematics and Finance --$tChapter Two. Théorie de la Spéculation --$tChapter Three. From Bachelier to Kreps, Harrison and Pliska --$tChapter Four. Facsimile of Bachelier's Original Thesis --$tReferences 330 $aMarch 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 1980's 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. 606 $aSpeculation$xMathematical models 606 $aFinance$xMathematical models 608 $aElectronic books. 615 0$aSpeculation$xMathematical models. 615 0$aFinance$xMathematical models. 676 $a332.645015118 700 $aBachelier$b Louis$fb. 1870.$01034558 701 $aDavis$b M. H. A$01034559 701 $aEtheridge$b Alison$060921 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910454919603321 996 $aLouis Bachelier's theory of speculation$92453772 997 $aUNINA