Download or read book Louis Bachelier s Theory of Speculation written by Louis Bachelier and published by Princeton University Press. This book was released on 2011-12-12 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Mathematical Finance Bachelier Congress 2000 written by Helyette Geman and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .

Download or read book Models of Strategic Rationality written by Reinhard Selten and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers collected in this volume relate to game theory. They aim at the elaboration and discussion of basic con cepts, at the analysis of specific applied models and at the evaluation of experimental evidence. A game is a mathematical model of a situation where several actors with different goals are engaged in strategic inter action. Game theory explores the nature and the consequence. s of rational behavior in games. With respect to several papers in this volume, it seems to be appropriate to comment on later developments. A list of some important references is given at the end of the intro duction. References already included in the collected pa pers are not repeated here. In casual conversation colleagues sometimes observe that the author on the one hand goes to extremes in the elabora tion of the consequences of Bayesian rationality and on the other hand strongly emphasizes the limited rationality of actual decision behavior. This seeming discrepancy is also expressed in the collection presented here. The author thinks that a sharp distinction should be made between nor ~ative and descriptive game theory. This position of "methodological dualism" has been expressed in a comment to Aumann's paper "What is game theory trying to accomplish?" (Aumann, 1985, Selten 1985) Normative game theory has the important task to explore the nature and the consequences of idealized full rationality in strategic interaction. This requires a thorough discuss ion of first principles. Empirical arguments are irrelevant here.

Download or read book Game Theory and Economic Behaviour written by Reinhard Selten (Economist, Germany) and published by Edward Elgar Publishing. This book was released on 1999-03-24 with total page 924 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'These two volumes constitute an impressive collection of selected path-breaking works of Professor Selten. . . . Edward Elgar Publications deserve merit for bringing out most frequently-cited and prominent articles of Professor Selten in a conveniently available package.' - K. Ravikumar, Journal of Scientific and Industrial Research In 1994, the Nobel Prize was awarded to Reinhard Selten, John Nash and John Harsanyi, for pioneering analysis in game theory. Selten was the first to refine the Nash equilibrium concept of non-cooperative games for analysing dynamic strategic interaction and to apply these concepts to analyses of oligopoly.

Download or read book Neyman written by Constance Reid and published by Springer Science & Business Media. This book was released on 1998 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Jerzy Neyman received the National Medal of Science "for laying the foundations of modern statistics and devising tests and procedures that have become essential parts of the knowledge of every statistician." Until his death in 1981 at the age of 87, Neyman was vigorously involved in the concerns and controversies of the day, a scientist whose personality and activity were integral parts of his contribution to science. His career is thus particularly well-suited for the non-technical life-story which Constance Reid has made her own in such well-received biographies of Hilbert and Courant. She was able to talk extensively with Neyman and have access to his personal and professional letters and papers. Her book will thus appeal to professional statisticians as well as amateurs wanting to learn about a subject which permeates almost every aspect of modern life.