Mathematics of Financial Markets

Mark Davis

A chapter in Mathematics Unlimited — 2001 and Beyond, 2001, pp 361-380 from Springer

Abstract: Abstract Mathematical finance is a child of the 20th century. It was born on 29 March 1900 with the presentation of Louis Bachelier’s doctoral dissertation Théorie de la speculation [1]. Now, one hundred years later, it is the basis of a huge industry, at the centre of modern global economic development, and the source of a great deal of interesting mathematics. Further, the theory and applications have proceeded in parallel in an unusually closely-linked way. This article aims to give the flavour of the mathematics, to describe how the confluence of mathematical ideas, economic theory and computer technology proved so effective, and to indicate how the theory relates to the practice of ‘financial engineering’.

Date: 2001
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DOI: 10.1007/978-3-642-56478-9_16

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