SERVING THE QUANTITATIVE FINANCE COMMUNITY

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

Wiener process

February 3rd, 2012, 12:12 pm

Who introduced the Wiener Process into Finance
 
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ACD
Posts: 107
Joined: April 19th, 2004, 8:09 am

Wiener process

February 3rd, 2012, 12:27 pm

I would guess it's Bachelier:Louis Bachelier
 
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acastaldo
Posts: 1416
Joined: October 11th, 2002, 11:24 pm

Wiener process

February 3rd, 2012, 12:58 pm

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.
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