Vincent Bronzin
Vinzenz Bronzin (Italian Vincenzo; born May 4, 1872 in Rovigno in Istria , † December 20, 1970 in Trieste ) was an Austrian-Italian mathematician .
Bronzin studied with the famous Austrian physicist Ludwig Boltzmann , among others . Under Eugenio Gelcich (Jelcic) Bronzin was initially professor of "political arithmetic" at the royal and imperial trade and nautical academy in Trieste before becoming its director around 1910. With his book Theory of Premium Businesses , published in 1908, he is, along with Louis Bachelier, an important early pioneer of modern option price theory .
To evaluate options contracts , Bronzin used the probability theory , which was only rudimentarily founded in the first decade of the 20th century, to model future prices of risky securities . He proceeded from the requirement (preference) of risk neutrality :
"... that at the moment each transaction is concluded, both counterparties have exactly the same opportunities, so that neither profit nor loss can be assumed in advance for either of them; So we imagine every transaction concluded under such conditions that the total hope values of profit and loss are equal to each other at the moment of the contract, or, regarding the loss as a negative profit, that the total hope value of profit for both counterparties is equal to zero must. "
For this reason, the option price formulas developed by Bronzin already correspond to the valuation formulas that are still valid today and which are based on the work of Fischer Black , Myron S. Scholes and Robert C. Merton . However, Black and Scholes' option pricing model does not use any preferences, in particular not the requirement of risk neutrality, but is based solely on the rational argument that there is no arbitrage . The justification of option prices on the basis of no arbitrage goes back to Merton. Bronzin's work, on the other hand, does not allow the conclusion that he was already aware of the argument that there was no arbitrage.
Web links
Individual evidence
- ^ Theory of premium deals. Franz-Deuticke-Verlag, Vienna 1908.
| personal data | |
|---|---|
| SURNAME | Bronzin, Vincent |
| ALTERNATIVE NAMES | Bronzin, Vincenzo |
| BRIEF DESCRIPTION | Austrian-Italian mathematician |
| DATE OF BIRTH | May 4, 1872 |
| PLACE OF BIRTH | Rovigno , Istria |
| DATE OF DEATH | 20th December 1970 |
| Place of death | Trieste |