|
Book Review
The AMS does not provide abstracts of book reviews.
You may download the entire review from the links below.
Errata:
Bull. Amer. Math. Soc. 45 (2008) 661--674.
Retrieve article in:
PDF
Book Information
Author(s):
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.,
US$35.00,
ISBN 978-0-691-11752-2
References:
-
- 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)
Additional Information:
Reviewer(s):
Philip
Protter
Affiliation:
Cornell University
Review Information:
Journal:
Bull. Amer. Math. Soc.
45
(2008),
657-660.
MSC
(2000):
Primary 60H30, 91B28, 60H05, 58J35, 90B99
DOI:
10.1090/S0273-0979-08-01188-9
PII:
S 0273-0979(08)01188-9
Posted:
June 27, 2008
Additional notes:
Supported in part by NSF grant DMS-0604020 and NSA grant H98230-06-1-0079
Copyright of article:
Copyright
2008,
Philip Protter
|
