Nationality French Alma mater University of Paris Education University of Paris | Name Louis Bachelier Role Mathematician Doctoral advisor Henri Poincare | |
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Institutions University of ParisUniversite de Franche-Comte (Besancon)Universite de DijonUniversite de Rennes Books Louis Bachelier's theory of speculation People also search for Henri Poincare, Salih Neftci, Alison Etheridge | ||
March 11 astor pantale n piazzolla bobby mcferrin louis bachelier
Louis Jean-Baptiste Alphonse Bachelier ([baʃəlje]; March 11, 1870 – April 28, 1946) was a French mathematician at the turn of the 20th century. He is credited with being the first person to model the stochastic process now called Brownian motion, which was part of his PhD thesis The Theory of Speculation (Théorie de la spéculation, published 1900).
Contents
- March 11 astor pantale n piazzolla bobby mcferrin louis bachelier
- Les visionnaires louis bachelier marie brie re
- Early years
- The thesis
- Academic career
- Works
- References
His thesis, which discussed the use of Brownian motion to evaluate stock options, is historically the first paper to use advanced mathematics in the study of finance. Thus, Bachelier is considered a pioneer in the study of financial mathematics and stochastic processes.
Les visionnaires louis bachelier marie brie re
Early years
Bachelier was born in Le Havre. His father was a wine merchant and amateur scientist, and the vice-consul of Venezuela at Le Havre. His mother was the daughter of an important banker (who was also a writer of poetry books). Both of Louis' parents died just after he completed his high school diploma ("baccalauréat" in French), forcing him to take care of his sister and three-year-old brother and to assume the family business, which effectively put his graduate studies on hold. During this time Bachelier gained a practical acquaintance with the financial markets. His studies were further delayed by military service. Bachelier arrived in Paris in 1892 to study at the Sorbonne, where his grades were less than ideal.
The thesis
Defended on March 29, 1900 at the University of Paris, Bachelier's thesis was not well received because it attempted to apply mathematics to an unfamiliar area for mathematicians. However, his instructor, Henri Poincaré, is recorded as having given some positive feedback (though socially insufficient for finding an immediate teaching position in France at that time). For example, Poincaré called his approach to deriving Gauss' law of errors
The thesis received a grade of honorable, and was accepted for publication in the prestigious Annales Scientifiques de l’École Normale Supérieure. While it did not receive a mark of très honorable, despite its ultimate importance, the grade assigned is still interpreted as an appreciation for his contribution. Jean-Michel Courtault et al. point out in "On the Centenary of Théorie de la spéculation" that honorable was "the highest note which could be awarded for a thesis that was essentially outside mathematics and that had a number of arguments far from being rigorous." The positive feedback from Poincaré can be attributed to his interest in mathematical ideas, not just rigorous proof.
Academic career
For several years following the successful defense of his thesis, Bachelier further developed the theory of diffusion processes, and was published in prestigious journals. In 1909 he became a "free professor" at the Sorbonne. In 1914, he published a book, Le Jeu, la Chance, et le Hasard (Games, Chance, and Randomness), that sold over six thousand copies. With the support of the Council of the University of Paris, Bachelier was given a permanent professorship at the Sorbonne, but World War I intervened and Bachelier was drafted into the French army as a private. His army service ended on December 31, 1918. In 1919, he found a position as an assistant professor in Besançon, replacing a regular professor on leave. He married Augustine Jeanne Maillot in September 1920 but was soon widowed. When the professor returned in 1922, Bachelier replaced another professor at Dijon. He moved to Rennes in 1925, but was finally awarded a permanent professorship in 1927 at Besançon, where he worked for 10 years until his retirement.
Besides the setback that the war had caused him, Bachelier was blackballed in 1926 when he attempted to receive a permanent position at Dijon. This was due to a "misinterpretation" of one of Bachelier's papers by Professor Paul Lévy, who—to Bachelier's understandable fury—knew nothing of Bachelier's work, nor of the candidate that Lévy recommended above him. Lévy later learned of his error, and reconciled himself with Bachelier.
Although Bachelier's work on random walks predated Einstein's celebrated study of Brownian motion by five years, the pioneering nature of his work was recognized only after several decades, first by Andrey Kolmogorov who pointed out his work to Paul Lévy, then by Leonard Jimmie Savage who translated Bachelier's thesis to English and brought the work of Bachelier to the attention of Paul Samuelson.