Pricing the Future: Finance, Physics, and the 300-year Journey to the Black-Scholes Equation

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More About This Book

Overview

Options have been traded for hundreds of years, but investment decisions were based on gut feelings until the Nobel Prize–winning discovery of the Black-Scholes options pricing model in 1973 ushered in the era of the “quants.” Wall Street would never be the same.

In Pricing the Future, financial economist George G. Szpiro tells the fascinating stories of the pioneers of mathematical finance who conducted the search for the elusive options pricing formula. From the broker’s assistant who published the first mathematical explanation of financial markets to Albert Einstein and other scientists who looked for a way to explain the movement of atoms and molecules, Pricing the Future retraces the historical and intellectual developments that ultimately led to the widespread use of mathematical models to drive investment strategies on Wall Street.

Editorial Reviews

Kirkus Reviews
Mathematician and financial economist Szpiro (Numbers Rule: The Vexing Mathematics of Democracy, From Plato to the Present, 2010, etc.) chronicles the co-evolution of modern finance, physics and statistics. In 1997, the Nobel Prize was awarded to economists Myron Scholes and Robert Merton for determining "the true value of an option," just one year before the billion-dollar hedge fund they founded nearly collapsed global financial markets. The prize was based upon their discovery--along with their deceased collaborator Fischer Black--of a formula that laid the basis for computerized derivatives trading. In the author's opinion, despite the spectacular real-world failures of their model, which also contributed to the 2007 economic crisis, on a scientific level, their achievement "is a landmark achievement of the twentieth century." While this may strike readers as unwarranted hyperbole, Szpiro unravels the complexity of the Black-Scholes equation and its fascinating relationship to Einstein's application of statistics in explaining the random motion of molecules and to Norbert Wiener's discovery of Cybernetics (based on his World War II work on target acquisition). In the case of options, it is option prices rather than molecules that jiggle. The author devotes most of the text to tracing "the historical and intellectual developments that led to the options pricing formula," beginning more than 300 years ago with the tulip bubble, when frenzied speculators drove the price higher and higher until the bubble burst and buyers defaulted on future contracts. An interesting history of mathematics and its application to economics and the world of high finance.

Product Details

  • ISBN-13: 9780465022489
  • Publisher: Basic Books
  • Publication date: 11/29/2011
  • Pages: 320
  • Sales rank: 123,860
  • Product dimensions: 6.40 (w) x 9.40 (h) x 1.30 (d)

Meet the Author

George G. Szpiro is a mathematician, financial economist, and journalist. He is the Israel correspondent of the Swiss daily Neue Zürcher Zeitung and has published in Science, Nature, and the Jerusalem Report. He is the author of Kepler’s Conjecture, The Secret Life of Numbers, Poincaré’s Prize, and Numbers Rule. He lives in Switzerland.

Table of Contents

Preface ix

Introduction xi

1 Flowers and Spices 1

2 In the Beginning 21

3 From Rags to Riches 37

4 The Banker's Secretary 55

5 The Spurned Professor 73

6 Botany, Physics, and Chemistry 81

7 Disco Dancers and Strobe Lights 109

8 The Overlooked Thesis 125

9 Another Pioneer 137

10 Measuring the Immeasurable 143

11 Accounting for Randomness 161

12 The Sealed Envelope 169

13 The Utility of Logarithms 181

14 The Nobelists 195

15 The Three Musketeers 211

16 The Higher They Climb 229

17 The Harder They Fall 241

18 The Long Tail 255

Appendix 259

Notes 263

Bibliography 277

Index 283

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  • Anonymous

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    Long an wande Longer than needed

    The topic couldve been summed up in 20 pages but it was drawn out to 220. Lots of info that is not particularly memorable.

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