High Mathematics Meets High Finance

Tom P. Davis ()
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Tom P. Davis: FactSet Research Systems Ltd.

A chapter in Handbook of the History and Philosophy of Mathematical Practice, 2024, pp 1329-1360 from Springer

Abstract: Abstract Mathematics in finance has prehistoric origins, in fact it is argued that an accounting system of clay tokens used for prehistoric commerce were precursors to both letters and numerals. Furthermore, Hammurabi’s code, the first known codified set of laws, has sections governing interest rates and banking operations. Throughout history, many mathematicians have turned their attention to finance. For instance, Fibonacci introduced the numerals to Western Europe in the thirteenth century in order to facilitate trade. Bernoulli first discovered Euler’s constant e in the seventeenth century when investigating compound interest. However it was not until the turn of the twentieth century that quantitative finance began in earnest with the doctoral dissertation of Louis Bachelier where he used Brownian motion and stochastic calculus to determine the price of stock options. The late twentieth century saw the field burgeon into a widely studied discipline after two seminal events: the publication of the Black-Scholes-Merton paper in 1972 and the cancellation of the Texas Superconducting Supercollider by the US Congress in 1993.

Keywords: Quantitative finance; Mathematical finance; Stochastic calculus; History of mathematics (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-40846-5_135

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DOI: 10.1007/978-3-031-40846-5_135

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