From the problem of the points to value an option, then no one knows: a Journey whitout ending

From the problem of the points to value an option, then no one knows: a Journey whitout ending

This article seeks to commemorate the 100th anniversary of Japanese Kiyosi Itô’s (1915-2008) birth, whose research in the field of mathematics has had an unexpected impact on different areas of human life, for example, biology, economics, engineering, finance and physics. This essay, rather than carry out a detail review of the different jobs that Itô has made throughout his lifetime, intends to make a tribute to some researchers and their developments from the past. Researchers, whose work sometimes remained forgotten for a while and thanks to a new stream of researchers interested in history and the stories of the development of finance knowledge, rediscovered and brought it again to light. As a consequence of this archeological work, it... Ver más

Guardado en:

Revista ODEON

1794-1113

2346-2140

Avellaneda Hortúa, Mauricio

UNIVERSIDAD EXTERNADO DE COLOMBIA

10.18601/17941113.n10.03

2016-10-06

29

64

Colombia

History of modern finance

history of contingent pricing

http://purl.org/coar/access_right/c_abf2

info:eu-repo/semantics/openAccess

id 734775d3c1ecbd38fc27447d78b0f96c
record_format ojs
spelling From the problem of the points to value an option, then no one knows: a Journey whitout ending
Mathematical Society of Japan (1987). Encyclopedic Dictionary of Mathematics: (2 ed.). T. M. Press.
Pulskamp, R. J. (2009). Summa de Arithmetica Geometria Proportioni et Proportionalita. Cincinnati: Xavier University, Department of Mathematics and Computer Science.
Powles, J. G. (1978). Brownian motion - june 1827 (for teachers). Physics Education, 13(5), 310-312.
Pochet, L. (1873). Géométrie des jeux de bourse. En Journal des Actuaries Francais, 153-160.
Pacioli, L. (2010). The Rules of Double-Entry Bookkeeping. USA: M. Schemmann.
Pacioli, L. (1494). Summa de Arithmetica Geometria Proportioni et Proportionalita. Venice: P. Paganini.
McKean, H. P. (1969). Stochastic Integrals. New York: A. Press. Nelson, E. (2001). Dynamical Theories of Brownian Motion (2 ed.). Princeton: Princeton University Press.
Mathematical Society of Japan (1993). Encyclopedic Dictionary of Mathematics (Vol. 1, K. Itô, ed.). Cambridge MA.
Maistrov, L. (1974). Probability Theory. A Historical Sketch. New York: Academic Press.
Shreve, S. E. (2004). Stochastic Calculus for Finance II. Continuous Time Models. Springer.
Lucretius (2001). On the Nature of Things. Indianapolis: Hackett Publishing.
Levèvre, H. (1874). Physologie et mecánique sociales. En Journal del Actuaries Francais, 93-118.
Lefèvre, H. (1873). Physiologie et mécanique sociales. En Journal des Actuaries Francais, 2, 211-250, 351-388).
King, B. (1965). Book Review. the Random Character of Stock Market Prices. Journal of Finance, 20(3), 547-548.
Jovanovic, F., & Le Gall, P. (2001). Does God practice a random walk? The ‘financial physics’ of a nineteenth-century forerunner, Jules Regnault. The European Journal of the History of Economic Though, 8(3), 332-62. doi:10.1080/09672560110062960
Jovanovic, F. (2006). Economic Instruments and Theory in the Construction of Henri Lefèvre’s “Science of the Stock Market”. En G. Poitras (ed.). Pioneers of Financial Economics, 1, 169-190.
Jovanovic, F. (2004). Éléments biographiques inédits sur Jules Regnault (1834-1894), inventeur du modèle de marché aléatoire pour représenter les variations boursières. Revue d’Histoire des Sciences Humaines, 11(2), 215-230. doi:10.3917/rhsh.011.0215
Regnault, J. (1863). Calcus des Chances et Philosphie de la Bourse. Paris. Rubinstein, M. (2006). A History of the Theory of Investments. My annotated bibliography. New Jersey: John Wiley & Sons.
Stanford University (1978). Memoria Resolution. Paul H Cootner (1930-1978). Stanford.
Itô, K. (1998). My Sixty Years along the Path of Probability Theory.
info:eu-repo/semantics/article
Text
http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
http://purl.org/coar/version/c_970fb48d4fbd8a85
info:eu-repo/semantics/publishedVersion
http://purl.org/redcol/resource_type/ARTREF
http://purl.org/coar/resource_type/c_6501
Weatherall, J. O. (2013). The Physics of Wall Street. A Brief History of Predicting the Unpredictable. New York: H. H. Company.
Stringham, E. (2003). The extralegal development of securities trading in seventeenthcentury Amsterdam. The Quarterly Review of Economics and Finance, 43(2), 321- 344.
van der Pas, P. E. (1971). The discovery of the brownian motion. Scientiarum historia, 13, 27-35.
University of York (s. f.). Fermat and Pascal on Probability. University of York.
Turvey, C. G. (2010). Biography: Kiyosi Itô and his influence on the study of agricultural finance and economics. Agricultural Finance Review, 70(1), 5-20. doi:10.1108/00021461011042602
Thiele, T. N. (1880). Sur la Compensation de Quelques Erreurs quasi-Systématiques par La Méthode des Moindres Carrés. Copenhague C. A. Reitzel, Libraire-Editeur.
The Prize in Economics Science 1997 Press Release (17 de October de 1997).
Taqqu, M. S. (2001). Bachelier and his Times: A Conversation with Bernard Bru. Boston: Boston University, Department of Mathematics.
Szpiro, G. G. (2011). Pricing the Future. Finance, Physics, and the 300-year journey to the Black-Scholes Equation. New York: B. B. Group.
Jarrow, R., & Protter, P. (2004). A short history of stochastic integration and mathematical finance the early years, 1880-1970. Lecture Notes Monograph Series, Cornell University. doi:10.1214/lnms/1196285381
Itô, K. (1944). Stochastic Integral. Proceedings of the Imperial Academy, 20(8), 519-524.
Publication
Aristotle (2000). Politics. New York: Mineloa, USA.
This article seeks to commemorate the 100th anniversary of Japanese Kiyosi Itô’s (1915-2008) birth, whose research in the field of mathematics has had an unexpected impact on different areas of human life, for example, biology, economics, engineering, finance and physics. This essay, rather than carry out a detail review of the different jobs that Itô has made throughout his lifetime, intends to make a tribute to some researchers and their developments from the past. Researchers, whose work sometimes remained forgotten for a while and thanks to a new stream of researchers interested in history and the stories of the development of finance knowledge, rediscovered and brought it again to light. As a consequence of this archeological work, it would be possible for a new wave of researchers to analyze their progress and may be find unanticipated applications to such efforts.
Avellaneda Hortúa, Mauricio
History of modern finance
history of contingent pricing
10
Núm. 10 , Año 2016 : Enero-Junio
Artículo de revista
Universidad Externado de Colombia
ODEON
https://revistas.uexternado.edu.co/index.php/odeon/article/view/4646
Itô, K. (1941). On stochastic processes. Infinitely divisible laws of probability. Japenese Journal of Mathematics, 18, 261-301.
https://creativecommons.org/licenses/by-nc-sa/4.0/
Español
Bachelier, L. (2006). Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance. New Jersey: Princeton University Press.
Brown, R. (September de 1828). A brief account of microscopical observations made in the months of June, July and August, 1827 on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. In Taylor, R., & Phillips, R. (eds.). The Philosophical Magazine, or annals of chemistry, mathematics, Astronomy, Natural History, and general science, 4(21), 161-173.
Ikeda, N., Watanabe, S., Fukushima, M., & Kunita, H. (eds.) (1996). Itô’s Stochastic Calculus and Probability Theory. Tokyo: Springer.
Hull, J. C. (2005). Fundamentals of Futures and Options Markets (5 ed.). New Jersey: P. P. Hall.
García Cruz, J. A. (Febrero de 2000). Historia de un problema: el reparto de la apuesta. Suma. Revista para la enseñanza y el aprendizaje de las matemáticas(33), 25-36.
Gaarder Haug, E. (2007). The Complete Guide to Option Pricing Formulas (2 ed.). New York: McGraw Hill.
Evening Mail (1858, June 18). The Late Mr. Robert Brwon (13,807), p. 8. Fama, E. (1970). Efficient Capital Markets: A review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Devlin, K. (2008). The unfinished game. Pascal, Fermat, and the Seventeenth-Century Letter that Made the World Modern. New York: B. B. Group.
Bru, B., & Yor, M. (2002). Comments on the life and mathematical legacy of Wolfgang Doeblin. Finance and Stochastics, 6(1), 3-47.
Baskin, J. B., & Miranti, P. J. (2003). A History of Corporate Finance. Cambridge UK: Cambridge University Press.
Brown, R. (September de 1829). Additional Remarks on Active Molecules. The Philosophical Magazine, as annals of Chemistry, Mathematics, astronomy, natural history, and general science, 6(33), 161-6.
Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The Journalist Political Economy, 81(3), 637-654.
Black, F. (1989). How we came up with the option formula. Journal of Portfolio Management, 15(2), 4-8.
Bernstein, P. L. (1998). Against the Gods. the remarkable story of risk. USA: John Wiley & Sons.
Journal article
From the problem of the points to value an option, then no one knows: a Journey whitout ending
1794-1113
2346-2140
2016-10-06
2016-10-06T00:00:00Z
2016-10-06T00:00:00Z
10.18601/17941113.n10.03
https://doi.org/10.18601/17941113.n10.03
29
64
institution UNIVERSIDAD EXTERNADO DE COLOMBIA
thumbnail https://nuevo.metarevistas.org/UNIVERSIDADEXTERNADODECOLOMBIA/logo.png
country_str Colombia
collection Revista ODEON
title From the problem of the points to value an option, then no one knows: a Journey whitout ending
spellingShingle From the problem of the points to value an option, then no one knows: a Journey whitout ending
Avellaneda Hortúa, Mauricio
History of modern finance
history of contingent pricing
title_short From the problem of the points to value an option, then no one knows: a Journey whitout ending
title_full From the problem of the points to value an option, then no one knows: a Journey whitout ending
title_fullStr From the problem of the points to value an option, then no one knows: a Journey whitout ending
title_full_unstemmed From the problem of the points to value an option, then no one knows: a Journey whitout ending
title_sort from the problem of the points to value an option, then no one knows: a journey whitout ending
title_eng From the problem of the points to value an option, then no one knows: a Journey whitout ending
description This article seeks to commemorate the 100th anniversary of Japanese Kiyosi Itô’s (1915-2008) birth, whose research in the field of mathematics has had an unexpected impact on different areas of human life, for example, biology, economics, engineering, finance and physics. This essay, rather than carry out a detail review of the different jobs that Itô has made throughout his lifetime, intends to make a tribute to some researchers and their developments from the past. Researchers, whose work sometimes remained forgotten for a while and thanks to a new stream of researchers interested in history and the stories of the development of finance knowledge, rediscovered and brought it again to light. As a consequence of this archeological work, it would be possible for a new wave of researchers to analyze their progress and may be find unanticipated applications to such efforts.
author Avellaneda Hortúa, Mauricio
author_facet Avellaneda Hortúa, Mauricio
topicspa_str_mv History of modern finance
history of contingent pricing
topic History of modern finance
history of contingent pricing
topic_facet History of modern finance
history of contingent pricing
citationissue 10
citationedition Núm. 10 , Año 2016 : Enero-Junio
publisher Universidad Externado de Colombia
ispartofjournal ODEON
source https://revistas.uexternado.edu.co/index.php/odeon/article/view/4646
language Español
format Article
rights http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/4.0/
references Mathematical Society of Japan (1987). Encyclopedic Dictionary of Mathematics: (2 ed.). T. M. Press.
Pulskamp, R. J. (2009). Summa de Arithmetica Geometria Proportioni et Proportionalita. Cincinnati: Xavier University, Department of Mathematics and Computer Science.
Powles, J. G. (1978). Brownian motion - june 1827 (for teachers). Physics Education, 13(5), 310-312.
Pochet, L. (1873). Géométrie des jeux de bourse. En Journal des Actuaries Francais, 153-160.
Pacioli, L. (2010). The Rules of Double-Entry Bookkeeping. USA: M. Schemmann.
Pacioli, L. (1494). Summa de Arithmetica Geometria Proportioni et Proportionalita. Venice: P. Paganini.
McKean, H. P. (1969). Stochastic Integrals. New York: A. Press. Nelson, E. (2001). Dynamical Theories of Brownian Motion (2 ed.). Princeton: Princeton University Press.
Mathematical Society of Japan (1993). Encyclopedic Dictionary of Mathematics (Vol. 1, K. Itô, ed.). Cambridge MA.
Maistrov, L. (1974). Probability Theory. A Historical Sketch. New York: Academic Press.
Shreve, S. E. (2004). Stochastic Calculus for Finance II. Continuous Time Models. Springer.
Lucretius (2001). On the Nature of Things. Indianapolis: Hackett Publishing.
Levèvre, H. (1874). Physologie et mecánique sociales. En Journal del Actuaries Francais, 93-118.
Lefèvre, H. (1873). Physiologie et mécanique sociales. En Journal des Actuaries Francais, 2, 211-250, 351-388).
King, B. (1965). Book Review. the Random Character of Stock Market Prices. Journal of Finance, 20(3), 547-548.
Jovanovic, F., & Le Gall, P. (2001). Does God practice a random walk? The ‘financial physics’ of a nineteenth-century forerunner, Jules Regnault. The European Journal of the History of Economic Though, 8(3), 332-62. doi:10.1080/09672560110062960
Jovanovic, F. (2006). Economic Instruments and Theory in the Construction of Henri Lefèvre’s “Science of the Stock Market”. En G. Poitras (ed.). Pioneers of Financial Economics, 1, 169-190.
Jovanovic, F. (2004). Éléments biographiques inédits sur Jules Regnault (1834-1894), inventeur du modèle de marché aléatoire pour représenter les variations boursières. Revue d’Histoire des Sciences Humaines, 11(2), 215-230. doi:10.3917/rhsh.011.0215
Regnault, J. (1863). Calcus des Chances et Philosphie de la Bourse. Paris. Rubinstein, M. (2006). A History of the Theory of Investments. My annotated bibliography. New Jersey: John Wiley & Sons.
Stanford University (1978). Memoria Resolution. Paul H Cootner (1930-1978). Stanford.
Itô, K. (1998). My Sixty Years along the Path of Probability Theory.
Weatherall, J. O. (2013). The Physics of Wall Street. A Brief History of Predicting the Unpredictable. New York: H. H. Company.
Stringham, E. (2003). The extralegal development of securities trading in seventeenthcentury Amsterdam. The Quarterly Review of Economics and Finance, 43(2), 321- 344.
van der Pas, P. E. (1971). The discovery of the brownian motion. Scientiarum historia, 13, 27-35.
University of York (s. f.). Fermat and Pascal on Probability. University of York.
Turvey, C. G. (2010). Biography: Kiyosi Itô and his influence on the study of agricultural finance and economics. Agricultural Finance Review, 70(1), 5-20. doi:10.1108/00021461011042602
Thiele, T. N. (1880). Sur la Compensation de Quelques Erreurs quasi-Systématiques par La Méthode des Moindres Carrés. Copenhague C. A. Reitzel, Libraire-Editeur.
The Prize in Economics Science 1997 Press Release (17 de October de 1997).
Taqqu, M. S. (2001). Bachelier and his Times: A Conversation with Bernard Bru. Boston: Boston University, Department of Mathematics.
Szpiro, G. G. (2011). Pricing the Future. Finance, Physics, and the 300-year journey to the Black-Scholes Equation. New York: B. B. Group.
Jarrow, R., & Protter, P. (2004). A short history of stochastic integration and mathematical finance the early years, 1880-1970. Lecture Notes Monograph Series, Cornell University. doi:10.1214/lnms/1196285381
Itô, K. (1944). Stochastic Integral. Proceedings of the Imperial Academy, 20(8), 519-524.
Aristotle (2000). Politics. New York: Mineloa, USA.
Itô, K. (1941). On stochastic processes. Infinitely divisible laws of probability. Japenese Journal of Mathematics, 18, 261-301.
Bachelier, L. (2006). Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance. New Jersey: Princeton University Press.
Brown, R. (September de 1828). A brief account of microscopical observations made in the months of June, July and August, 1827 on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. In Taylor, R., & Phillips, R. (eds.). The Philosophical Magazine, or annals of chemistry, mathematics, Astronomy, Natural History, and general science, 4(21), 161-173.
Ikeda, N., Watanabe, S., Fukushima, M., & Kunita, H. (eds.) (1996). Itô’s Stochastic Calculus and Probability Theory. Tokyo: Springer.
Hull, J. C. (2005). Fundamentals of Futures and Options Markets (5 ed.). New Jersey: P. P. Hall.
García Cruz, J. A. (Febrero de 2000). Historia de un problema: el reparto de la apuesta. Suma. Revista para la enseñanza y el aprendizaje de las matemáticas(33), 25-36.
Gaarder Haug, E. (2007). The Complete Guide to Option Pricing Formulas (2 ed.). New York: McGraw Hill.
Evening Mail (1858, June 18). The Late Mr. Robert Brwon (13,807), p. 8. Fama, E. (1970). Efficient Capital Markets: A review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Devlin, K. (2008). The unfinished game. Pascal, Fermat, and the Seventeenth-Century Letter that Made the World Modern. New York: B. B. Group.
Bru, B., & Yor, M. (2002). Comments on the life and mathematical legacy of Wolfgang Doeblin. Finance and Stochastics, 6(1), 3-47.
Baskin, J. B., & Miranti, P. J. (2003). A History of Corporate Finance. Cambridge UK: Cambridge University Press.
Brown, R. (September de 1829). Additional Remarks on Active Molecules. The Philosophical Magazine, as annals of Chemistry, Mathematics, astronomy, natural history, and general science, 6(33), 161-6.
Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The Journalist Political Economy, 81(3), 637-654.
Black, F. (1989). How we came up with the option formula. Journal of Portfolio Management, 15(2), 4-8.
Bernstein, P. L. (1998). Against the Gods. the remarkable story of risk. USA: John Wiley & Sons.
type_driver info:eu-repo/semantics/article
type_coar http://purl.org/coar/resource_type/c_6501
type_version info:eu-repo/semantics/publishedVersion
type_coarversion http://purl.org/coar/version/c_970fb48d4fbd8a85
type_content Text
publishDate 2016-10-06
date_accessioned 2016-10-06T00:00:00Z
date_available 2016-10-06T00:00:00Z
url https://revistas.uexternado.edu.co/index.php/odeon/article/view/4646
url_doi https://doi.org/10.18601/17941113.n10.03
issn 1794-1113
eissn 2346-2140
doi 10.18601/17941113.n10.03
citationstartpage 29
citationendpage 64
_version_ 1797157498653769728

Código QR

Estadísticas y Métricas Alternativas

Títulos similares