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Finance and Stochastics
Published in: Finance and Stochastics 4/2016

01-10-2016 | Editorial

Editorial: 20th anniversary of Finance and Stochastics

Authors: Martin Schweizer, Dieter Sondermann

Published in: Finance and Stochastics | Issue 4/2016

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Excerpt

More than a century ago, Louis Bachelier published his thesis “Théorie de la spéculation”, Ann. Sci. École Norm. Sup. 3 (1900), in which he invented Brownian motion as a tool for the analysis of financial markets. A.N. Kolmogorov, in his own landmark work “Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung”, Math. Annalen 104 (1931), pp. 415–458, credits Bachelier with the first systematic study of stochastic processes in continuous time. But in addition, Bachelier’s thesis marks the beginning of the theory of option pricing, now an integral part of modern finance. Thus, the year 1900 may be considered as the birth date of both Finance and Stochastics. …
next article Liquidity management with decreasing returns to scale and secured credit line

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Metadata
Title
Editorial: 20th anniversary of Finance and Stochastics
Authors
Martin Schweizer
Dieter Sondermann
Publication date
01-10-2016
Publisher
Springer Berlin Heidelberg
Published in
Finance and Stochastics / Issue 4/2016
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI
https://doi.org/10.1007/s00780-016-0311-5

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