wilmott.com

Go lazy!! If I could go back in time you are doing about what I would have done (if I spoke French).Thanks for your comments. I too have read the modern whitewash on Bachelier's thesis that it got the highest mark it could because it was not a pure mathmatical thesis, and tainted with practicum. This is the Bernard Bru thesis, you probably have been swayed by his view. True Poincarré did stear Bachelier to assist him getting published in a prestigious journal, but couldn't this also be explained by Poincarre trying to cover his ass that he even agreed to supervise a student thesis that eneded up not being pure math? Poincarre's fame for vanity is only exceeded by his fame as a mathematician.My (unpublished) research points to the thesis of Bachelier getting the best mark he could as being pure hogwash. During Bachelier's time there were lots of theses, on math, with engineerring implications (i.e. not "pure math"), that got the "tres honorable." Bachelier's thesis was both practical and about money. Perhaps one mortal sin is forgivable in the French math system, but not two, and hence the prejudicial grade of "honorable" for our late hero Bachelier. In addition, there also were Poincarre supervised theses that got "tres honorable" that turned out to be pure hokum and have ended unread and in the dustheap of mathematical history.The initial thesis that Bachelier was neglected and not understood will stand and emerge as correct as more scholarly work on the history of math is done. Just on my initial investigations of Bachelier's contemporaries who had the "tres honorable" blessing the sample I have examined (N>30) this more than plays out. With "pure" math dead end after dead end, with the citation trail dying out rather quickly for many "tres", while in contrast Bachelier's citations finally (and appropriately) grew and grew.In addition, much has been made over the years that Bachelier made a fatal error in that his options could have negative value. I am not so sure it is fair to project our modern standards onto his worldview. The ideas of joint stock companies where investors had unlimited liability *that even at times extended to option holders* was still not that far gone (and possibly is responsible for the colapse of the 19th century NYC options market). In addition, Lloyds insurance market had "names" pledging their entire net worth for unlimited liability in underwriting, and during that time the seperations of "this is insurance" "this is an investment" and "this is an option on equity" and "this is a pure debt instrument" were not that clean on the Paris Bourse which had perpetuities trading right next to insurance right next to equity.Bon chance with the rest of your dea. I envy you. Don't forget to send my your c.v.

Thank you for your support JamesI have been acquainted to the work of Bernard Bru only by last year and not really on Louis Bachelier. I only have a limited understanding of all the implications of Bachelier work and did only have a glimpse of Bernard Bru work on Bachelier but I should acknowledge that it was deliberate. The creation of the Bachelier Finance Society, the decision by the members of this society to reattribute a new "très honorable"mention to his work in place of the old one "honorable", all the show organized around the name of bachelier all of this was to prevent me from getting deeper into the subject. It seems to me that some people want to have a charismatic emblem for a new discipline. Some years ago when I heard of Bachelier in my Business School it was as a reference to someone who first tried to modelise the "fluctuations de la bourse" as for example Jules Regnault did" Calcul des chances et Philosophie de la Bourse". But currently I can hardly find any reference to Regnault who however did first introduce the symetric random walk that Bachelier did use in his work......Perharps my judgement is wrong but I have the feeling that the name Bachelier is currently too much used as a brand as a sort of blazon to establish the heraldy of a new discipline in the field of mathematics or even as a new trans-disciplinary field . Of course it is an evidence that as any group of inviduals when you are getting in a new domain you are willing to seek recognition and so are the "mathematical finance" professors, financial engineers doctors and so on... whom findings are as usual criticized by their colleagues of the "pure field" but was it necessary to ennoy the poor guy a second time ...even if it is for post mortem "flowers" to enlight his grave. Maybe I do express myself in a wrong way but I think you will understand. In a way it do get back to the discussion you had on the french system or napoleon 's classification of things. People need to have a secure way of thinking. There is no classification existing so we will create one. Thence the term "mathematical finance" for those coming to finance by the mathematical ship , the term "financial mathematics" for those coming to finance from other areas but with mathematical tools and so on. My final statement is that if unfortunately the work of bachelier did fall into obscurity the current coming back is a little bit glary. Anyway I will surely take the time in the future to read the original and seminal thesis of bachelier has to have a personnal view. At the same I do agree with you "Give to Caesar what is Caesar's " and so the memory of Bachelier shoiuld be restored but it is unlikely that the current spring flood of compliments has a so noble view....NB: I rather prefer the work of Bru and M. Yor on Wolfgang Doeblin and his work on the Kolmogoroff equation, very excinting! It seems Mr bru will provide Hollywood with many interesting scenarios of films on the track of John Forbes Nash....