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Book Review

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Erratum: Bull. Amer. Math. Soc. 45 (2008) 661--674.
Full text of review: PDF   This review is available free of charge.
Book Information:

Author: Mark Davis and Alison Etheridge
Title: Louis Bachelier's Theory of speculation: The origins of modern finance
Additional book information: Princeton University Press, Princeton and Oxford, 2006, 188+xvi pp., ISBN 978-0-691-11752-2, US$35.00

References [Enhancements On Off] (What's this?)

  • 1. Peter L. Bernstein, Capital Ideas: The Improbable Origins of Modern Wall Street, The Free Press, New York, 1993.
  • 2. J-M. Courtault, Y. Kabanov, B. Bru, P. Crépel, I. Lebon, and A. Le  Marchand, ``Louis Bachelier: On the Centenary of Théorie de la Speculation'' Mathematical Finance, 10 (2000), 341-353. MR 1800320 (2001i:91004)
  • 3. Quoted in Bernstein, page 18.
  • 4. P. Cootner, editor, The Random Character of Stock Market Prices, MIT Press, Cambridge, MA, 1964.
  • 5. R. Jarrow and P. Protter, ``A Short History of Stochastic Integration and Mathematical Finance: The Early Years, 1880-1970'' in the Herman Rubin Festschrift, IMS Lecture Notes 45 (2004), 75-91. MR 2126888 (2006a:60005)
  • 6. B. Mandelbrot, The Fractal Geometry of Nature, W.H. Freeman and Co, 1982. MR 665254 (84h:00021)
  • 7. M. Taqqu, ``Bachelier and his times: A conservation with Bernard Bru'' Finance and Stochastics, 5 (2001), 3-32. MR 1807874 (2001i:01043)

Review Information:

Reviewer: Philip Protter
Affiliation: Cornell University
Journal: Bull. Amer. Math. Soc. 45 (2008), 657-660
MSC (2000): Primary 60H30, 91B28, 60H05, 58J35, 90B99
DOI: https://doi.org/10.1090/S0273-0979-08-01188-9
Published electronically: June 27, 2008
Additional Notes: Supported in part by NSF grant DMS-0604020 and NSA grant H98230-06-1-0079
Review copyright: © Copyright 2008 Philip Protter
American Mathematical Society