The Golden Age of the Mathematical Finance
Jos\'e Manuel Corcuera
TL;DR
This paper highlights the significant development of Mathematical Finance during the last quarter of the 20th century, emphasizing foundational theorems, models, and collaborations that shaped the discipline.
Contribution
It reviews the key historical advancements and foundational theorems established by leading economists and probabilists, particularly from Strasbourg's School, during this golden age.
Findings
Established the two fundamental theorems of arbitrage theory
Developed close-form formulas for options pricing
Laid the groundwork for modern mathematical finance models
Abstract
This paper is devoted to show that the last quarter of the past century can be considered as the golden age of the Mathematical Finance. In this period the collaboration of great economists and the best generation of probabilists, most of them from the Strasbourg's School led by Paul Andr\'e Meyer, gave rise to the foundations of this discipline. They established the two fundamentals theorems of arbitrage theory, close formulas for options, the main modelling a
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Taxonomy
TopicsStochastic processes and financial applications · Credit Risk and Financial Regulations · Financial Markets and Investment Strategies