Format du dépôt |
Fichier |
Type de dépôt |
Autre publication scientifique |
Résumé |
en
We propose a revisited view of Louis Bachelier's contribution to economic analysis. Conventional wisdom presents Bachelier as the founding father of modern financial theory. We show that Bachelier's work is constructed to respond to a gap in the Walrasian general equilibrium, where the options market is verbosely introduced but not modeled. By providing a price formation theory for the missing options market, Bachelier undoubtedly presents himself as the heir apparent of the mathematical economics tradition founded by Walras. Indeed, Bachelier's methodological stance is clearly formed on the "rational method" of Walras, proceeding by mathematical demonstration from postulates that we make explicit. We show additionally how Walras and Bachelier in pre-WW2 France reached to the same audience. We propose to name this augmented general equilibrium model the Walras-Bachelier model of intertemporal general equilibrium in the presence of risk. This theory prefigures the Arrow-Debreu model, with some differences which we make clear.
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Titre |
en
Louis Bachelier's Théorie de la spéculation : The missing piece in Walras' general equilibrium
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Auteur(s)
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Nicole El Karoui
1
, Antoine Parent
2, 3, 4
, Pierre-Charles Pradier
5
1
LPSM (UMR_8001) -
Laboratoire de Probabilités, Statistique et Modélisation
( 1004954 )
- Campus Jussieu Tour 16-26, 1er étage 4, Place Jussieu 75005 Paris /
Bâtiment Sophie Germain 5ème étage Avenue de France 75013 Paris
- France
-
Sorbonne Université UMR_8001 ( 413221 )
;
-
Centre National de la Recherche Scientifique UMR8001 ( 441569 )
;
-
Université Paris Cité UMR_8001 ( 557826 )
2
LED -
Laboratoire d'Economie Dionysien
( 173249 )
- Université Paris 8 Vincennes-Saint-Denis - 2 rue de la Liberté - 93526 Saint-Denis cedex
- France
-
Université Paris 8 Vincennes-Saint-Denis EA3391 ( 11141 )
3
OFCE -
Observatoire français des conjonctures économiques (Sciences Po)
( 250936 )
- 10 place de Catalogne - 75014 Paris
- France
4
CAC-IXXI, Complex Systems Institute
( 493380 )
- France
5
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
-
Université Paris 1 Panthéon-Sorbonne UMR8174 ( 7550 )
;
-
Centre National de la Recherche Scientifique UMR8174 ( 441569 )
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Langue du document |
Anglais
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Commentaire |
Nom de la revue |
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Vulgarisation |
Non
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Date de publication |
2022-10
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Description |
Documents de travail du Centre d'Economie de la Sorbonne 2022.19 - ISSN : 1955-611X
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Domaine(s) |
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Sciences de l'Homme et Société/Economies et finances
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Mots-clés (JEL) |
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B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B1 - History of Economic Thought through 1925/B.B1.B13 - Neoclassical through 1925 (Austrian, Marshallian, Walrasian, Wicksellian)
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B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B1 - History of Economic Thought through 1925/B.B1.B16 - Quantitative and Mathematical
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B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B3 - History of Economic Thought: Individuals/B.B3.B31 - Individuals
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C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C02 - Mathematical Methods
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C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C62 - Existence and Stability Conditions of Equilibrium
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D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets
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G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing
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Référence interne |
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Éditeur scientifique |
-
Centre d'Economie de la Sorbonne (CES UMR 8174)
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Mots-clés |
en
General equilibrium, Financial markets, Option pricing, Bachelier, Walras
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