BFS 2002

Contributed Talk

On Bachelier's predecessors

Hans-Joachim Girlich

Recent papers by Jean-Michel Cortault et al. (2000) and Murad S. Taqqu (2001) have cast new light on Bachelier's work and his time. In both articles Bernard Bru's research seems to be the most influential. In the case of Louis Bachelier and his area of activity the dominant French point of view is the most natural thing in the world and every body is convinced by the results. The aim of the present paper is to add a few tesseras from other countries to the picture which is known about the birth of mathematical finance and its probabilistic environment. Franck Jovanovic and Philippe LeGall (2000) investigated the work of Bachelier's French predecessors Jules Regnault and Henri Lefevre. In our talk we discuss and compare especially the contributions to finance and stochastics made by Charles Castelli (1871, 1882), Francis Ysidro Edgeworth (1886, 1888), and Gustav Theodor Fechner (1860, 1897).