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Bachelier and his times: A conversation with Bernard Bru

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Author Info
Murad S. Taqqu () (Boston University, Department of Mathematics, 111 Cummington Street, Boston, MA 02215-2411, USA Manuscript)
Abstract

Louis Bachelier defended his thesis "Theory of Speculation" in 1900. He used Brownian motion as a model for stock exchange performance. This conversation with Bernard Bru illustrates the scientific climate of his times and the conditions under which Bachelier made his discoveries. It indicates that Bachelier was indeed the right person at the right time. He was involved with the Paris stock exchange, was self-taught but also took courses in probability and on the theory of heat. Not being a part of the "scientific establishment," he had the opportunity to develop an area that was not of interest to the mathematicians of the period. He was the first to apply the trajectories of Brownian motion, and his theories prefigure modern mathematical finance. What follows is an edited and expanded version of the original conversation with Bernard Bru.

Bernard Bru is the author, most recently, of Borel, LÊvy, Neyman, Pearson et les autres. He is a professor at the University of Paris V where he teaches mathematics and statistics. With Marc Barbut and Ernest Coumet, he founded the seminars on the history of Probability at the EHESS (êcole des Hautes êtudes en Sciences Sociales), which bring together researchers in mathematics, philosophy and the humanities.

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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 5 (2001)
Issue (Month): 1 ()
Pages: 3-32
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Handle: RePEc:spr:finsto:v:5:y:2001:i:1:p:3-32

Note: received: August 2000; final version received: October 2000
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Related research
Keywords: Louis Bachelier;

Find related papers by JEL classification:
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2009-12-22.

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