Mathematics and Finance : From Bachelier to Harrison, Kreps and Pliska

COLLEGE D’ETUDES MONDIALES, FONDATION MAISON DES SCIENCES DE L’HOMME
Bâtiment Le France, 190-198 avenue de France, 75648 Paris Cedex 13, FRANCE
Tél. : 01 49 54 21 00

http://www.college-etudesmondiales.org

Prochaine séance du séminaire :

Mercredi 10 décembre 2014
17 heures à 19 heures
Fondation Maison des Sciences de l’homme
Salle 638
190 avenue de France, 75013 Paris.
(Métro : Quai de la Gare)

Mark Davis

Imperial College London

Interviendra sur le thème :

Mathematics and Finance : From Bachelier to Harrison, Kreps and Pliska

Résumé :

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. By that time the mathematics—which certainly was not developed with any view towards applications in economics—was in perfect shape to solve Samuelson’s problems, and quickly led to the Black-Scholes formula, the watershed event in financial economics. The aim of this talk is to give some account of this twin-track development, based on the discussion in the recent book Davis and Etheridge (2006).

Page du séminaire : http://finethics.hypotheses.org/397