Bachelier, father of financial mathematics | Tangente

The "spiritual grandfather" of financial mathematics?

In 1900, the young French mathematician Louis Bachelier defended his doctoral thesis on Théorie de la spéculation (Theory of Speculation) at the Sorbonne.

Written by

Jacques Bair

PublishedAugust 24, 2021UpdatedMay 16, 20261 min read

The "spiritual grandfather" of financial mathematics?

In it, he presents a mathematical model of stock market prices, showing that the way a stock index evolves over time has the characteristics of Brownian motion.

Today, experts agree that modern mathematical finance was born with this doctoral thesis, and Bachelier is therefore very often regarded as the "spiritual father" of modern finance. Yet his contemporaries did not necessarily fully appreciate the value of this research. The doctoral committee, chaired by Henri Poincaré, seemed to give an unenthusiastic assessment of the work—so much so that some have questioned the chairman's perceptiveness regarding this original research.

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