Louis Bachelier

Infobox Scientist
name = Louis Bachelier
box_width = 26em


image_width = 225
caption = Louis Bachelier, aged 15
birth_date = March 11 1870
birth_place = Le Havre, France
death_date = death date and age|1946|4|28|1870|3|11
death_place = Saint-Servan-sur-Mer, France
residence =
citizenship =
nationality =
ethnicity =
field = Mathematics
Mathematical Finance
work_institutions = La Sorbonne
Université de Franche-Comté (Besançon)
Université de Dijon
Université de Rennes
alma_mater = La Sorbonne
doctoral_advisor =
doctoral_students =
known_for = PhD thesis on Mathematical Finance

Louis Jean-Baptiste Alphonse Bachelier (March 11, 1870 - April 28, 1946) [harvnb|Felix|1970|pp=366-367] was a French mathematician at the turn of the 20th century. He is credited with being the first person to model Brownian motion, which was part of his PhD thesis "The Theory of Speculation", (published 1900).

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.

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 bachelor's degree, 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

Historians argue Bachelier's thesis was not appropriately received, resulting in Academia blackballing. However, his instructor, Henri Poincaré is recorded to have 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 note of "honorable," and was accepted for publication in the prestigious "Annales Scientifiques de l’École Normale Supérieure". The fact that it did not receive a mark of "très honorable", despite its ultimate importance, is still interpreted as an appreciation for his contribution. Jean-Michel Courtault et al. point out in [http://www.ifa.com/Media/Images/PDF%20files/Bachelier100years.pdf "On the Centenary of "Theorie de la Speculation"] 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." Positive feedback from Poincaré can be attributed to the mathematician's 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 Risk), 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. After the war, he found a position in Besançon, replacing a regular professor on leave. 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.

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 Pierre 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.

Also notable is that Bachelier's work on random walks predated Einstein's celebrated study of Brownian motion by five years.

Works

*Harvnb|Bachelier|1900a, "Théorie de la spéculation":Also published as a book, Harvnb|Bachelier|1900b:Republished in a book of combined works, Harvnb|Bachelier|1995:Translated into English, Harvnb|Cootner|1964|pp=17-78:Translated into English with additional commentary and background, Harvnb|Bachelier|Samuelson|Davis|Etheridge|2006
*Harvnb|Bachelier|1901, "Théorie mathématique du jeu":Republished in a book of combined works, Harvnb|Bachelier|1995
*Harvnb|Bachelier|1906, "Théorie des probabilités continues"
*Harvnb|Bachelier|1908a, "Étude sur les probabilités des causes"
*Harvnb|Bachelier|1908b, "Le problème général des probabilités dans les épreuves répétées"
*Harvnb|Bachelier|1910a, "Les probabilités à plusieurs variables"
*Harvnb|Bachelier|1910b, "Mouvement d’un point ou d’un système matériel soumis à l’action de forces dépendant du hasard"
*Harvnb|Bachelier|1912, (Book) "Calcul des probabilités":Republished, Harvnb|Bachelier|1992
*Harvnb|Bachelier|1913a, "Les probabilités cinématiques et dynamiques"
*Harvnb|Bachelier|1913b, "Les probabilités semi-uniformes"
*Harvnb|Bachelier|1914, (Book) "Le Jeu, la Chance et le Hasard":Republished, Harvnb|Bachelier|1993
*Harvnb|Bachelier|1915, "La périodicité du hasard"
*Harvnb|Bachelier|1920a, "Sur la théorie des corrélations"
*Harvnb|Bachelier|1920b, "Sur les décimales du nombre $\{pi\}$"
*Harvnb|Bachelier|1923, "Le problème général de la statistique discontinue"
*Harvnb|Bachelier|1925, "Quelques curiosités paradoxales du calcul des probabilités"
*Harvnb|Bachelier|1937, (Book) "Les lois des grands nombres du Calcul des Probabilités" (Book)
*Harvnb|Bachelier|1938, (Book) "La spéculation et le Calcul des Probabilités"
*Harvnb|Bachelier|1939, (Book) "Les nouvelles méthodes du Calcul des Probabilités"
*Harvnb|Bachelier|1941a, "Probabilités des oscillations maxima":Erraturm, Harvnb|Bachelier|1941b

ee also

* Black-Scholes
* Martingale
* Random walk
* Brownian Motion
* Henri Poincaré

Citations

References

*Philip Ball, "Critical Mass" Random House, 2004 ISBN 0-09-945786-5, pp238-242.

*Citation
last =Bachelier | first =L.
year =1900a
title =Théorie de la spéculation
periodical =Annales Scientifiques de l’École Normale Supérieure
volume =3
issue =17
pages =21-86
url =http://archive.numdam.org/article/ASENS_1900_3_17__21_0.pdf
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1900b
date =1900b
title =Théorie de la spéculation
place =
publisher =Gauthier-Villars
edition =
volume =
id =
isbn =
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1901
title =Théorie mathématique du jeu
periodical =Annales Scientifiques de l’École Normale Supérieure
volume =3
issue =18
pages =143-210
url =http://archive.numdam.org/article/ASENS_1901_3_18__143_0.pdf
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1906
title =Théorie des probabilités continues
periodical =Journal de Mathématiques Pures et Appliquées
volume =6
issue =2
pages =259-327
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1908a
title =Étude sur les probabilités des causes
periodical =Journal de Mathématiques Pures et Appliquées
volume =6
issue =4
pages =395-425
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1908b
title =Le problème général des probabilités dans les épreuves répétées
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 25 Mai 1908
issue =146
pages =1085–1088
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1910a
title =Les probabilités à plusieurs variables
periodical =Annales Scientifiques de l’École Normale Supérieure
volume =3
issue =27
pages =339-360
url =http://archive.numdam.org/article/ASENS_1910_3_27__339_0.pdf
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1910b
title =Mouvement d’un point ou d’un système matériel soumis à l’action de forces dépendant du hasard
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 14 Novembre 1910, présentée par M.H.Poincaré
issue =151
pages =852-855
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1912
date =1912
title =Calcul des probabilités
place =
publisher =Gauthier-Villars
edition =
volume =1
id =
isbn =
doi =
oclc =
url =http://historical.library.cornell.edu/cgi-bin/cul.math/docviewer?did=02250001&seq=7

*Citation
last =Bachelier | first =L.
year =1913a
title =Les probabilités cinématiques et dynamiques
periodical =Annales Scientifiques de l’École Normale Supérieure
volume =30
issue =
pages =77-119
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1913b
title =Les probabilités semi-uniformes
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 20 Janvier 1913, présentée par M.Appell
issue =156
pages =203-205
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1914
date =1914
title =Le Jeu, la Chance et le Hasard
place =
publisher =Bibliothèque de Philosophie scientifique, E. Flammarion
edition =
volume =
id =
isbn =
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1915
title =La périodicité du hasard
periodical =L’Enseignement Mathématique
volume =17
issue =
pages =5-11
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1920a
title =Sur la théorie des corrélations
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 7 Juillet 1920
issue =48
pages =42-44
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1920b
title =Sur les décimales du nombre $\{pi\}$
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 7 Juillet 1920
issue =48
pages =44-46
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1923
title =Le problème général de la statistique discontinue
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 11 Juin 1923, présentée par M.d’Ocagne
issue =176
pages =1693-1695
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1925
title =Quelques curiosités paradoxales du calcul des probabilités
periodical =Revue de Métaphysique et de Morale
volume =32
issue =
pages =311-320
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1937
date =1937
title =Les lois des grands nombres du Calcul des Probabilités
place =
publisher =Gauthier-Villars
edition =
volume =
id =
isbn =
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1938
date =1938
title =La spéculation et le Calcul des Probabilités
place =
publisher =Gauthier-Villars
edition =
volume =
id =
isbn =
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1939
date =1939
title =Les nouvelles méthodes du Calcul des Probabilités
place =
publisher =Gauthier-Villars
edition =
volume =
id =
isbn =
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1941a
title =Probabilités des oscillations maxima
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =Séance du 19 Mai 1941
issue =212
pages =836-838
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1941b
title =Probabilités des oscillations maxima (Erratum)
periodical =Comptes-rendus des Séances de l’Académie des Sciences
volume =
issue =213
pages =220
url =
doi =
oclc =

*Citation
last =Bachelier | first =L.
year =1992
date =1992
title =Reprint of Calcul des probabilités (1912)
place =
publisher =Editions Jacques Gabay
edition =
volume =1
id =
isbn =287647090X
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1993
date =1993
title =Reprint of Le Jeu, la Chance et le Hasard (1914)
place =
publisher =Editions Jacques Gabay
edition =
volume =
id =
isbn =2876471477
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
year =1995
date =1995
title =Combined volume prints of Théorie de la spéculation (1900b) and Théorie mathématique du jeu (1901)
place =
publisher =Editions Jacques Gabay
edition =
volume =
id =
isbn =2876471299
doi =
oclc =
url =

*Citation
last =Bachelier | first =L.
last2 =Samuelson | first2 =P. A. | author2-link =Paul_Samuelson
last3 =Davis | first3 =M. | author3-link =
last4 =Etheridge | first4 =A. | author4-link =
year =2006
date =2006
title =Louis Bachelier's Theory of Speculation: The Origins of Modern Finance
place =Princeton NJ
publisher =Princeton University Press
edition =
volume =
id =
isbn =9780691117522
doi =
oclc =
url =

*Citation
last =Cootner | first =P.H. (ed.) | author-link =
year =1964
date =1964
title =The Random Character of Stock Market Prices
place =Cambridge, MA
publisher =MIT Press
edition =
volume =
id =
isbn =
doi =
oclc =
url =

*Citation
last =Courtault | first =J-M. | author-link =
last2 =Kabanov | first2 =Y. | author-link2 =
last3 =Bru | first3 =B. | author-link3 =
last4 =Crépel | first4 =P. | author-link4 =
last5 =Lebon | first5 =I. | author-link5 =
last6 =Le Marchand | first6 =A. | author-link6 =
year =2000
title =On the Centenary of Theorié de la Speculation
periodical =Mathematical Finance
volume =10
issue =3, July 2000
pages =341-353
url =http://www.stochastik.uni-freiburg.de/bfsweb/LBachelier/mafi092XX.pdf
doi =
oclc =

*Citation
last =Felix | first =L. | author-link =
year =1970
date =1970
title =Dictionary of Scientific Biography
place =New York
publisher =Charles Scribner's Sons
edition =
volume =1
id =
isbn =0684101149
doi =
oclc =
url =

*Citation
last =Taqqu | first =M.S. | author-link =
year =2001
date =2001
title =Bachlier and his Times: A Conversation with Bernard Bru
place =Boston University
publisher =
edition =
volume =
id =
isbn =
doi =
oclc =
url =http://www.stochastik.uni-freiburg.de/bfsweb/LBachelier/bachelier_kap1.pdf

External links

* [http://www.stochastik.uni-freiburg.de/bfsweb/ "Bachelier Finance Society"]
* [http://sjepg.univ-fcomte.fr/sjepgbis/libre/bachelier/page01/page01.htm "Louis Bachelier, fondateur de la finance mathématique"] Louis Bachelier webpage at the Université de Franche-Comté, Besançon / France. Text in French.
*MathGenealogy|id=87766
*MacTutor Biography|id=Bachelier

Persondata
NAME = Bachelier, Louis
ALTERNATIVE NAMES =
SHORT DESCRIPTION = Mathematician
DATE OF BIRTH = March 11, 1870
PLACE OF BIRTH = Le Havre, France
DATE OF DEATH = April 28, 1946
PLACE OF DEATH = Saint-Servan-sur-Mer, France