The Bachelier Finance Society


The Bachelier Finance Society came into being in June 1996 by the initiative of a group of mathematical finance researchers who found the need of an organization where academia and practitioners could meet and exchange ideas. The aim of the Bachelier Finance Society is, through international contacts, the advancement of the discipline of finance under the application of the theory of stochastic processes, statistical and mathematical theory.

Activities will include:

  • seeking individuals and institutions who will organize international conferences, including the official BFS conference held every second year;
  • assisting participants in attending the meetings;
  • supporting relevant publications;
  • establishing interrelationships between industry and academia; and,
  • offering BFS members favorable subscription rates on a number of worthwhile journals.

The address of the Executive Secretary of the Bachelier Finance Society is

Ernst Eberlein
University of Freiburg (Germany)
eberlein @ stochastik.uni-freiburg.de

Any person supportive of the objectives of the Society may become a member by writing a letter to the Executive Secretary expressing his or her desire to become a member and willingness to pay the dues.

Books


  • Richard Flavell, Swaps and Other Derivatives, 2nd Edition, John Wiley & Sons, Inc. (2009), ISBN-13:9780470721919
  • Paul P. Wilmott, Frequently Asked Questions in Quantitative Finance, 2nd Edition, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470748756
  • Wim Schoutens, Jessica Cariboni, Levy Processes in Credit Risk, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470743065
  • Shayne Fletcher, Christopher Gardner, Financial Modelling in Python, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470987841
  • Damir Filipovic, Term-Structure Models, A Graduate Course, Springer Verlag (2009), ISBN-13: 9783540097266
  • Conrad Gardner (Ed.), Qfinance: The Ultimate Resource, Bloomsbury Information Ltd (2009), ISBN-10: 1-84930-000-3, ISBN-13: 9781849300001
  • Privault, Nicolas, An Elementary Introduction to Stochastic Interest Rate Modeling, World Scientific Publishing (2008), ISBN-10: 9812832734, ISBN-13: 9789812832733
  • René Carmona (Ed.), Indifference Pricing: Theory and Applications, Princeton University Press (2008), ISBN-10: 0-691-13883-4, ISBN-13: 9780691138831
  • Damien Lamberton, Bernard Lapeyre, Introduction to Stochastic Calculus Applied to Finance, Second Edition, Series: Financial Mathematics Series Volume: 11, Chapman & Hall/CRC (2007), ISBN-10: 1584886269, ISBN-13: 9781584886266
  • Alan Brace, Engineering BGM, Series: Financial Mathematics Series Volume: 10, Chapman & Hall/CRC (2007), ISBN-10: 1584889683, ISBN-13: 9781584889687
  • René A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Paris-Princeton Lectures on Mathematical Finance 2004 (Lecture Notes in Mathematics No. 1919), Springer (2007), ISBN-10: 3-540-73326-4, ISBN-13: 9783540733263
  • John Miller, David Edelman, John Appleby, Numerical Methods for Finance, Series: Financial Mathematics Series Volume: 8, Chapman & Hall/CRC (2007), ISBN 10: 158488925X, ISBN-13: 9781584889250
  • Jean-Luc Prigent, Portfolio Optimization and Performance Analysis, Series: Financial Mathematics Series Volume: 7, Chapman & Hall/CRC (2007), ISBN 10: 1584885785, ISBN-13: 9781584885788
  • Louis Bachelier, Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance, translated and with an introduction by Mark Davis & Alison Etheridge, with a foreword by Paul A. Samuelson, Princeton University Press (2006), ISBN-10: 0-691-11752-7, ISBN13: 978-0-691-11752-2
  • Yuri Kabanov, Robert Lipster, Jordan Stoyanov (Eds.), From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, Springer Berlin (2006), ISBN-10: 3-540-30782-6, ISBN-13: 9783540307822
  • Christian Bluhm, Ludger Overbeck , Structured Credit Portfolio Analysis, Baskets and CDOs, Series: Financial Mathematics Series Volume: 5 Chapman & Hall/CRC (2006), ISBN-10: 1584886471, ISBN-13: 9781584886471
  • Eckhard Platen, David Heath, A Benchmark Approach to Quantitative Finance, Springer Verlag (2006), ISBN-10: 3-540-26212-1, ISBN-13: 9783540262121
  • Williams, R. J., Introduction to the Mathematics of Finance, American Mathematical Society (2006), ISBN-10: 0-8218-3903-9, ISBN-13: 9780821839034
  • Kerry Back, A Course in Derivative Securities. Introduction to Theory and Computation, Springer (2005), ISBN 3-540-25373-4, ISBN-13: 9783540253730
  • Jerome Detemple, American-Style Derivatives: Valuation and Computation, Series: Financial Mathematics Series Volume: 4, Chapman & Hall/CRC (2005), ISBN-10: 158488567X, ISBN-13: 9781584885672
  • Matthias R. Fengler, Semiparametric Modeling of Implied Volatility, Springer (2005), ISBN-10: 3-540-26234-2, ISBN-13: 9783540262343
  • Attilio Meucci, Risk and Asset Allocation, Springer (2005), ISBN-10: 3-540-22213-8, ISBN-13: 9783540222132
  • Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press (2005), ISBN-10: 0-691-12255-5, ISBN-13: 9780691122557
  • Steven E. Shreve, Stochastic Calculus for Finance I. The Binomial Asset Pricing Model, Springer (2005), ISBN-10: 0-387-24968-0, ISBN-13: 9780387249681
  • Jeff Cash (Ed.), Stochastic analysis with applications to mathematical finance, The Royal Society (2004) (pdf)
  • Jaksa Cvitanic, Fernando Zapatero,
    Introduction to the Economics and Mathematics of Financial Markets, MIT Press Ltd (2004), ISBN-10: 0-262-03320-8, ISBN-13: 9780262033206
  • Mark S. Joshi, The Concepts and Practice of Mathematical Finance,  Cambridge University Press ( 2003), ISBN-10: 0-521-82355-2
  • Wim Schoutens, Lévy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons Ltd. (2003), ISBN-10: 0-470-85156-2
  • Christian Bluhm, Ludger Overbeck, Christoph Wagner, An Introduction to Credit Risk Modeling, Chapman & Hall / CRC (2002), ISBN-10: 1-5848-8326X
  • Jean-Michel Courtault, Youri Kabanov, Louis Bachelier Aux origines de la finance mathématique, Presses Universitaires Franc-Comtoises (2002), ISBN-10: 2-84627-064-3
  • Hélyette Geman, Dillip Madan, Stan Pliska,Ton Vorst (Eds.), Mathematical Finance - Bachelier Congress 2000, Selected Papers from the First World Congress of the Bachelier Finance Society, Held in Paris, June 29-July 1, 2000, Springer (2002), ISBN-10: 3-540-67781-X
  • Masaaki Kijima, Stochastic Processes with Applications to Finance, Chapman & Hall / CRC (2002), ISBN-10: 1-5848-8224-7
  • Glenn Shafer, Vladimir Vovk, Probability and Finance: It’s Only a Game!, John Wiley & Sons, Inc. (2001), ISBN-10: 0-471-40226-5
  • Dominique Guégan, Les chaos en finance : Approche statistique, Ed. Economica, Paris, Collection Statistique Mathématique et Probabilité, ISBN-10: 271784595X, ISBN-13: 9782717845952
  • William T. Ziemba (Ed.), Handbooks in Finance, book series from Elsevier Science / North-Holland

Congresses and Conferences about Mathematical Finance


  • Seventh World Congress
    of the Bachelier Finance Society in Sydney, Australia (2012)
    June 19–22, 2012
  • Sixth World Congress
    of the Bachelier Finance Society in Toronto, Ontario, Canada (2010)
    June 22–26, 2010
  • Fifth World Congress
    of the Bachelier Finance Society, London, United Kingdom (2008)
    July 15–19, 2008
    Mark Davis and Lane Hughston, Organizers
  • Fourth World Congress
    of the Bachelier Finance Society in Tokyo, Japan (2006)
    August 17–20, 2006
    Ryozo Miura, Head of the Organizing Committee
  • Third World Congress
    of the Bachelier Finance Society in Chicago, USA (2004)
    July 21–24, 2004 at the Intercontinental Hotel, Chicago, USA
    Stanley R. Pliska, Head of the Organizing Committee
  • Second World Congress
    of the Bachelier Finance Society on Crete, Greece (2002)
    June 12–15, 2002
    Thaleia Zariphopoulou, Organizer
  • First World Congress
    of the Bachelier Finance Society in Paris, France (2000)
    June 28–July 1, 2000
    Helyette Geman, Organizer
    Bachelier Congress Volume:
    Mathematical Finance – Bachelier Congress 2000
    Geman, H.; Madan, D.; Pliska, S: R.; Vorst, T. (Editors)
    Springer (2002),
    ISBN: 978-3-540-67781-9

Conferences in 2011

Conferences in 2010

Conferences in 2009

Conferences in 2008

Conferences in 2007

Conferences in 2006

Conferences in 2005

Conferences in 2004

Executive Committee and Council


The Executive Committee consists until December 2011 of
President
Tomas Björk
Department of Finance
Stockholm School of Economics
P.O. Box 6501, SE-11383 Stockholm
Sweden		 Vice-President
Nizar Touzi
Centre de Mathématiques Appliquées
Ecole Polytechnique
UMR CNRS 7641
91128 Palaiseau Cedex
France
Tel. +46-8-736-9162 Tel. +33-(0)1-69-33-46-12
Fax +46-8-312-327 Fax +33-(0)1-69-33-30-11
e-mail Tomas.Bjork @ hhs.se e-mail nizar.touzi @ polytechnique.edu
Executive Secretary
Ernst Eberlein
Department of Mathematical Stochastics
University of Freiburg
Eckerstr. 1
D-79104 Freiburg i. Br.
Germany		 Treasurer
Peter Carr
MD, Global Head of Market Modeling
Morgan Stanley
1585 Broadway
New York NY 10036
USA
Tel. +49-761-203-5660 Tel. +1-212-761-5846
Fax +49-761-203-5661 Fax +1-212-507-2636
e-mail eberlein @ stochastik.uni-freiburg.de e-mail pcarr @ nyc.rr.com
Past-President
Steven E. Shreve
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA 15213-3890
USA		 Peter Carr
Courant Institute
New York University
251 Mercer Street
New York, NY 10012
USA
Tel. +1-412-268-8484 Tel. +1-212-998-3000
Fax +1-412-268-6380 Fax +1-917-369-5629
e-mail shreve @ cmu.edu e-mail pcarr @ nyc.rr.com
The Council consists until December 2011 of
Pierre Collin-Dufresne
Columbia Business School
Columbia University
3022 Broadway
Uris Hall 404
New York, NY 10027
USA		 Mark Davis
Department of Mathematics
Imperial College London
London SW7 2AZ
United Kingdom
Tel. +1-212-854-6471 Tel. +44-20-7594-8486
Fax +1-212-316-9180 Fax +44-20-7594-1191
e-mail pc2415 @ columbia.edu e-mail mark.davis @ imperial.ac.uk
Damir Filipovic
Swiss Finance Institute at EPFL
Ecole Polytechnique Fédérale de Lausanne
Quartier UNIL-Dorigny, Extranef 218
CH-1015 Lausanne
Switzerland		 Masaaki Kijima
Graduate School of Social Sciences
Tokyo Metropolitan University
1-1 Minami-Ohsawa, Hachiohji
Tokyo 192-0397
Japan
Tel. +41-21-693-01-08 e-mail kijima @ center.tmu.ac.jp
e-mail damir.filipovic @ epfl.ch
Dmitry Kramkov
Department of Mathematical Sciences
Carnegie Mellon University
Wean Hall 6126
Pittsburgh, PA, 15213-3890
USA		 David Lando
Department of Finance
Copenhagen Business School
Solbjerg Plads 3, A5
2000 Frederiksberg
Denmark
Tel. +1-412-268-5912 Tel. +45-3815-3613
e-mail kramkov @ andrew.cmu.edu Fax +45-3815-3600
e-mail dl.fi @ cbs.dk
Walter Schachermayer
Faculty of Mathematics
University of Vienna
Nordbergstrasse 15
1090 Vienna
Austria		 Wolfgang M. Schmidt
The Centre for Practical Quantitative Finance
Frankfurt School of Finance & Management
Sonnemannstr. 9-11
60314 Frankfurt
Germany
Tel. +43-1-4277-50723 Tel. +49-069-154008-707
e-mail walter.schachermayer @ univie.ac.at Fax +49-69-154008-728
e-mail w.schmidt @ frankfurt-school.de
Josef Teichmann
Department of Mathematics
ETH Zürich
Rämistrasse 101
8092 Zürich
Switzerland		 Eckhard Platen
School of Finance and Economics
University of Technology, Sydney
PO Box 123
Broadway NSW 2007
Australia
Tel. +41-44-632-31-74 Tel. +61-2-9514-2271
e-mail jteichma @ math.ethz.ch Fax +61-2-9514-2260
e-mail eckhard.platen @ uts.edu.au
Co-opted Council Member
Dmitry Kramkov
Department of Mathematical Sciences
Carnegie Mellon University
Wean Hall 6126
Pittsburgh, PA, 15213-3890
USA		 David Lando
Department of Finance
Copenhagen Business School
Solbjerg Plads 3, A5
2000 Frederiksberg
Denmark
Tel. +1-412-268-5912 Tel. +45-3815-3613
e-mail kramkov @ andrew.cmu.edu Fax +45-3815-3600
e-mail dl.fi @ cbs.dk

Statutes of the Bachelier Finance Society


Objective of the Bachelier Finance Society

The objective of the Bachelier Finance Society is, through international contacts, the advancement of the discipline of finance through the application of the theory of stochastic processes, statistics and mathematics.

Activities will include:

  • seeking individuals and institutions who will organize international conferences to achieve the above objective
  • approving plans of volunteers who wish to organize conferences or sessions at other meetings
  • choosing/approving the official list of invited speakers for the conferences
  • approving other major issues associated with the conferences, e.g. dates, venue, timing and scope of publicity, proceedings and registration fees
  • assisting participants in attending the meetings
  • supporting relevant publications
  • establishing interrelationships between industry and academia
  • offering honorary membership of the Society

The organs of the Bachelier Finance Society

  • General Assembly, composed of the individual members. Any person or institution supportive of the objectives of the Society may become a member by sending a message by mail or e-mail to the Executive Secretary expressing her or his desire to become a member. A member may end her or his membership by sending a similar message. Dues are payable in respect of any calendar year during any part of which a member shall belong to the Bachelier Finance Society. Dues for any particular year are liable on the 31rst of December of the preceding year. A member who is a year or more in arrears will be considered to have resigned from the Society. The General Assembly shall be the Society’s supreme authority. This authority shall be exercised through mail vote in the elections.
  • Council, composed of individual members. There shall be ten members of the Council. The term of office of a Council member shall be 4 years, beginning on January 1rst in an even-numbered year. One-half ordinarily retires every two years, but members may be re-elected. The Council shall formulate the policies of the Society. The Council meets at least every second year; the meetings could take place through electronic means. The Council is elected by the members of the Society. If a Council member leaves before the end of his term, the remaining Council members are empowered to co-opt a new Council member.
  • Executive Committee, composed of the officers of the Society; Past President, President, Vice-President, Executive Secretary, Treasurer and two Council members selected by the Council. Council members may only serve on the Executive Committee as co-opted Council members, but not in any of the other Executive Committee positions. If a Council member joins the Executive Committee in any position other than co-opted Council member selected by the President, the remaining Council members are empowered to co-opt a new Council member.
    The Executive Committee shall conduct the affairs of the Society in accordance with the policies established by the Council. The Executive Committee can decide on organizational issues of the Society by absolute majority of its members. The Vice-President shall be elected by the membership for two years. Thereafter he shall automatically become the President. The Executive Secretary and the Treasurer serve two year terms, beginning on January 1rst in even-numbered years. They will be selected by the Executive Committee during the year immediately preceding their term of office. In the event of a vacancy occuring in either office, a new officer shall be nominated by the President and approved by the majority of the Executive Committee. These two officers may serve several consecutive terms. At the conclusion of their term of office, it shall be the responsibility of the President and the Executive Secretary to prepare a report to the Society about its activities during the last 2 years. This report shall be presented to the General Assembly at the ordinary meeting of the Society. At this time the funds of the Society and the relevant correspondence shall be transferred to the new Treasurer and the Executive Secretary.

Election

In January of odd numbered years a Nominating Committee shall be established. The Nominating Committee consists of the Past President, the President, the Vice-President and three individual members of the Society, chosen by the Executive Committee.
The members of this Committee will be ineligible to nominate themselves. The Nominating Committee shall solicit nominations for the Council and for the Vice-Presidency, and shall ascertain from each nominee that he is willing to serve. The Nominating Committee shall, not later than April1st in the year of its constitution, present its report consisting of candidates for the Vice-Presidency and the five Council positions that will become vacant. The Nominating Committee shall thereafter automatically be dissolved. The Executive Secretary shall submit the report of the Nominating Committee to the Council. The Council may nominate additional candidates, provided that each such nomination is sponsored by at least two individual members and submitted to the Executive Secretary not later than September 1st of the odd year.
Not later than October 1st, the Executive Secretary shall submit the names of the nominated candidates to the members of the Society for a secret mail vote. However, if there is only one candidate for the Vice-Presidency, this candidate shall be declared elected without vote. If there are exactly five candidates for Council, these candidates shall be declared elected without vote. Not later than December 15, the Executive Secretary shall count the votes in the presence of two members of the Society. Candidates receiving the majority of votes shall be considered elected. The Council decides on how to resolve any ties.

Meetings of the Society

  • The Society will aim at organizing every second year an international conference on finance with invited speakers and contributed research papers in keeping with the objectives of the Society. This does not exclude meetings at a higher frequency. At these conferences, meetings of the General Assembly, the Council and the Executive Committee will be held.
  • The Society may also organize and support smaller specialized conferences. These can be either regional meetings or conferences devoted to special topics.

Finance and secretariat

  • Financial resources of the Society shall be membership dues and such donations as the Society may obtain. The acceptability of any donation shall be decided upon by the Council.
  • The Society will offer three types of memberships:
    • individual memberships
    • institutional memberships
    • sponsoring memberships
  • The membership dues shall be decided upon by the Council.
  • The Society may undertake the administration and expenditure of grants and funds to be used for the purposes included in the objective of the Society (e.g. organization of special conferences, grants for young researchers, prizes for outstanding research papers). The control and expenditure of such means shall be administered by special committees appointed by the Council.
  • The Bachelier Finance Society is a non-profit organization.
  • The address of the Society is the address of the President.

Amendments to the statutes

Proposals to amend the statutes may be made in writing to the President by the Executive Committee or by any five members of the Council or by any ten members of the Society. Any proposal for the amendment of the Statutes shall be considered by the Council. If approved by a simple majority of the Council, the proposal shall be submitted to a mail vote of the membership. Ratification by the membership will require a simple majority of all those voting. The dissolution of the Society shall be treated as an amendment of its statutes.

Last updated 12. June 2001