Archives par mot-clé : Bachelier

Les origines de la représentation brownienne en finance / The origins of the Brownian representation in finance

Support du cours / course material :
Le modèle de marche au hasard en finance
chapitre 2 / chapter 2

Disponible en libre accès / free access (HALSHS)
Télécharger ici / download : / here.

Continuer la lecture de Les origines de la représentation brownienne en finance / The origins of the Brownian representation in finance

Bachelier 100 ans après / Bachelier 100 years after

12/11/2014, 17h-19h : Mark Davis, Professor of Mathematics at Imperial College London.

Abstract

Louis Bachelier’s 1900 PhD thesis Théorie de la Spéculation introduced mathematical finance to the world and also provided a kind of agenda for probability theory and stochastic analysis for the next 65 years or so. The agenda was carried out by succession of the 20th century’s best mathematician and physicists, but the economic side of Bachelier’s work was completely ignored until it was taken up by Paul Samuelson in the 1960s.

Continuer la lecture de Bachelier 100 ans après / Bachelier 100 years after