Louis Bachelier | |
|---|---|
 | |
| Born | 11 March 1870 Le Havre, France |
| Died | 28 April 1946 (aged 76) Saint-Servan-sur-Mer, France |
| Nationality | French |
| Alma mater | University of Paris |
| Known for | Pioneer in mathematical finance |
| Scientific career | |
| Fields | Mathematics |
| Institutions | University of Paris Université de Franche-Comté (Besançon) Université de Dijon University of Rennes |
| Thesis | Théorie de la spéculation (The Theory of Speculation) (1900) |
| Doctoral advisor | Henri Poincaré |
Louis Jean-Baptiste Alphonse Bachelier (French: [baʃəlje]; 11 March 1870 – 28 April 1946)[1] was a French mathematician at the turn of the 20th century. He is credited with being the first person to model the stochastic process now called Brownian motion, as part of his doctoral thesis The Theory of Speculation (Théorie de la spéculation, defended in 1900).
Bachelier's doctoral thesis, which introduced the first mathematical model of Brownian motion and its use for valuing stock options, was the first paper to use advanced mathematics in the study of finance. His Bachelier model has been influential in the development of other widely used models, including the Black-Scholes model.
Bachelier is considered as the forefather of mathematical finance and a pioneer in the study of stochastic processes.
- ^ Felix 1970, pp. 366–367