Louis Bachelier's Theory of Speculation

The Origins of Modern Finance

Author: Louis Bachelier

Publisher: Princeton University Press

ISBN: 9781400829309

Category: Business & Economics

Page: 208

View: 8713

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.

The Efficient Market Hypothesists

Bachelier, Samuelson, Fama, Ross, Tobin and Shiller

Author: Colin Read

Publisher: Springer

ISBN: 1137292210

Category: Business & Economics

Page: 222

View: 2004

Describes the lives, theories, and legacies of six great minds in finance who changed the way we look at financial markets and equilibrium. Bachelier, Samuelson, Fama, Ross, Tobin, and Shiller; proponents and critics of the market efficiency theories who redefined modern finance, creating the foundation on which all financial analysis rests.

Financial Engineering and Computation

Principles, Mathematics, Algorithms

Author: Yuh-Dauh Lyuu

Publisher: Cambridge University Press

ISBN: 9780521781718

Category: Business & Economics

Page: 627

View: 7895

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Forerunners of Modern Financial Economics

A Random Walk in the History of Economic Thought

Author: Donald Stabile

Publisher: Edward Elgar Publishing

ISBN: 9781781951170

Category: Business & Economics

Page: 173

View: 3613

The economists who began using statistics to analyze financial markets in the 1950s have been credited with revolutionizing the scholarship of investing and with inaugurating modern financial economics. By examining the work of economists who used statistics to analyze financial markets before 1950, Donald Stabile provides evidence about the forerunners of modern financial economics. In studying these predecessors, this innovative book reveals that, starting around 1900, there were economists in the United States who believed that changes in stock prices could be treated as a random variable to be analyzed with statistical methods, and who used early versions of the efficient markets theory to justify their belief. Although they did not call themselves Bayesians, the author explores how they adhered to a philosophy consistent with Bayesian statistics. A concluding epilogue considers the linkages between the forerunners of modern finance, its innovators and modern successors. An original work in the history of economic thought, Forerunners of Modern Financial Economics will be of great interest to both economists and historians interested in the development of statistical finance and economic thought, as well as to statisticians, financial analysts, and advanced undergraduate and graduate students studying financial economics.

Börsenerfolg ist kein Zufall

die besten Investmentstrategien für das neue Jahrtausend

Author: Burton G. Malkiel

Publisher: FinanzBuch Verlag

ISBN: 9783932114342

Category: Investments

Page: 411

View: 1937

Grundbegriffe der Wahrscheinlichkeitsrechnung

Author: A. Kolomogoroff

Publisher: Springer-Verlag

ISBN: 3642498884

Category: Mathematics

Page: 62

View: 5742

Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.

Erfolgsfaktor Risiko-Management 2.0

Methoden, Beispiele, Checklisten. Praxishandbuch für Industrie und Handel

Author: Frank Romeike,Peter Hager

Publisher: Springer-Verlag

ISBN: 9783834908957

Category: Business & Economics

Page: 528

View: 686

Ein praxisorientierter Leitfaden zum Risikomanagement im Unternehmen. Mit vielen Checklisten und einem ausführlichen Glossar. Besonders nützlich: OnlinePlus mit hilfreichen Tools. Jetzt in der 2., überarbeiteten und erweiterten Auflage.

Mathematics of Derivative Securities

Author: Stanley R. Pliska

Publisher: Cambridge University Press

ISBN: 9780521584241

Category: Business & Economics

Page: 582

View: 4719

During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.

Telegraph Processes and Option Pricing

Author: Alexander D. Kolesnik,Nikita Ratanov

Publisher: Springer Science & Business Media

ISBN: 3642405266

Category: Mathematics

Page: 128

View: 9511

The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finite-velocity counterpart of the classical Einstein-Smoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed. The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.

Einsteins Uhren, Poincarés Karten

Die Arbeit an der Ordnung der Zeit

Author: Peter Galison

Publisher: S. Fischer Verlag

ISBN: 3105609040

Category: Science

Page: 382

View: 9484

Peter Galison zeigt, wie eng die Grundgedanken der »Speziellen Relativitätstheorie« mit gleichzeitigen Entwicklungen in Gesellschaft, Wirtschaft und Technologie verknüpft waren. Eine fundamentale Theorie der Physik bekommt ihren reichen weltlichen Kontext zurück. (Dieser Text bezieht sich auf eine frühere Ausgabe.)

Louis Bachelier

Author: Jean-Michel Courtault,Yuri Kabanov

Publisher: Presses Univ. Franche-Comté

ISBN: 9782846270649

Category: Business mathematics

Page: 211

View: 7549

Les articles rassemblés dans ce volume pour le centenaire de la soutenance de la thèse de Louis Bachelier "Théorie de la spéculation" sont consacrés à l'exposé de la vie et de l'œuvre de ce savant peu connu considéré aujourd'hui comme le fondateur de la finance mathématique. Le présent ouvrage donne le panorama le plus complet et le plus exact à ce jour de l'un des plus grands précurseurs des mathématiques contemporaines. En replaçant son œuvre dans son cadre historique et épistémologique, et en montrant ce que sont, de nos jours, devenues ses idées ainsi que leur impact sur l'industrie financière, cet ouvrage est une clef pour comprendre l'activité financière d'aujourd'hui. Il s'adresse aussi bien au chercheur, à l'enseignant, à l'étudiant en Economie ou en Mathématiques qu'au professionnel de la Finance.

Fuzzy Portfolio Optimization

Theory and Methods

Author: Yong Fang,Kin Keung Lai,Shouyang Wang

Publisher: Springer Science & Business Media

ISBN: 3540779264

Category: Business & Economics

Page: 176

View: 1872

Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - proaches, we have to mention that the probabilistic approaches only partly capture the reality. Some other techniques have also been applied to handle the uncertainty of the ?nancial markets, for instance, the fuzzy set theory [Zadeh (1965)]. In reality, many events with fuzziness are characterized by probabilistic approaches, although they are not random events. The fuzzy set theory has been widely used to solve many practical problems, including ?nancial risk management. By using fuzzy mathematical approaches, quan- tative analysis, qualitative analysis, the experts’ knowledge and the investors’ subjective opinions can be better integrated into a portfolio selection model. The contents of this book mainly comprise of the authors’ research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors will also introduce some other important progress in the ?eld of fuzzy portfolio optimization. Some fundamental issues and problems of po- folioselectionhavebeenstudiedsystematicallyandextensivelybytheauthors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio sel- tion models are given and some of them might be more e?cient for practical applications. Some application examples are given to illustrate these models by using real data from the Chinese securities markets.

Pascal, Fermat und die Berechnung des Glücks

eine Reise in die Geschichte der Mathematik

Author: Keith J. Devlin

Publisher: C.H.Beck

ISBN: 9783406590993

Category: Wahrscheinlichkeitstheorie - Geschichte

Page: 204

View: 8658

Der Autor stellt die Entstehung der Wahrscheinlichkeitsrechnung und den damit verbundenen Wandel des menschlichen Alltagslebens dar.


Author: Friedrich A. Lutz

Publisher: Mohr Siebeck


Category: Interest

Page: 195

View: 4030

Das Zeitalter Der Fugger

Author: Richard Ehrenberg

Publisher: Рипол Классик

ISBN: 5875729430

Category: History

Page: 420

View: 7246

Das Zeitalter Der Fugger, Geldkapital und Creditverkehr im 16. Jahrhundert, Volume 1 Die Geldm?chte Des 16. Jahrhunderts.

Financial Derivatives

Author: Bishnupriya Mishra,Sathya Swaroop Debasish

Publisher: Excel Books India

ISBN: 9788174465726

Category: Finance

Page: 246

View: 4421

In the recent decade, financial markets have been marked by excessive volatility and are associated with various risks. Derivatives are the instruments for managing risks. Derivatives are financial contracts whose value/price is dependent on the behavior of the price of one or more basic underlying assets which may be commodity or financial asset. In recent years, derivatives have become increasingly important in the field of finance. The book discusses at large the meaning, basic understanding, pricing and trading strategies of the financial derivatives. Common derivatives include options, forward contracts, futures contracts, and swaps. While futures and options are now actively traded on many exchanges, forward contracts are popular on the OTC market. This book provides a broad-based introduction to the technical aspects of the main classes of derivatives, the markets in which they are traded and the underlying concepts. This book is a comprehensive, industry-independent exploration of financial derivatives which offers an insightful look inside financial derivatives that is sweeping corporate world, banks, and investment finance. From reviewing the basic building blocks of financial derivatives to systematically examining the myriad of processes involved in creating innovative financial instruments, this lucid text provides professional advice to the learners. This book is intended as a text for MBA students specializing in the area of Finance, students of CA/ICWA, students of M.Com, academicians, researchers, practitioners and investors in general.