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Wiener process

Posted: February 3rd, 2012, 12:12 pm
by tynashy
Who introduced the Wiener Process into Finance

Wiener process

Posted: February 3rd, 2012, 12:27 pm
by ACD
I would guess it's Bachelier:Louis Bachelier

Wiener process

Posted: February 3rd, 2012, 12:58 pm
by acastaldo
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.