SERVING THE QUANTITATIVE FINANCE COMMUNITY

tynashy
Topic Author
Posts: 1
Joined: July 10th, 2011, 3:41 pm

### Wiener process

Who introduced the Wiener Process into Finance

ACD
Posts: 107
Joined: April 19th, 2004, 8:09 am

### Wiener process

I would guess it's Bachelier:Louis Bachelier

acastaldo
Posts: 1416
Joined: October 11th, 2002, 11:24 pm

### Wiener process

ACD is right of course, but Bachelier's contribution was somewhat forgotten for a while. The idea was re-introduced by Osborne in 1959:Osborne M.F.M. "Brownian Motion in the Stock Market." Operations Research, 10, 345-379 (1959).and after that was always part of the mainstream of Finance.
Last edited by acastaldo on February 2nd, 2012, 11:00 pm, edited 1 time in total.