Vinzenz Bronzin’s Option Pricing Models – Exposition and Appraisal

Vinzenz Bronzin's Option Pricing Models

About the Book

In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled “Theorie der Pramiengeschafte” (“Theory of Premium Contracts”) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin’s work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin’s early work to light again and adds an almost forgotten piece of research to the theory of option pricing.

Wolfgang Hafner and Heinz Zimmermann (eds), Springer 2009


„Monatshefte für Mathematik und Physik A Showcase of the Culture Mathematicians in the Habsburgian-Hungarian Empire; during the from 1890 until 1914“ Chapter 10 „The Contribution of the Social-Economic Environment to the Creation of Bronzin’s „Theory of Premium Contracts“, Chapter 7


“The volume offers contribution to the scientific, historical and socio- economic background of Bronzin’s work, as well as papers covering the history of derivative markets and option pricing. … The present book demonstrates that Bronzin’s treatise should be numbered among them. Because of this and due to including the additional chapters representing original contributions, the book can be recommended as particularly relevant for those interested in the history of option pricing and hedging.” (Ryszard Doman, Zentralblatt MATH, Vol. 1184, 2010)

„Hafner, Zimmermann, and their contributors tell a fascinating story, one that few if any readers will already know. Bronzin’s remarkable 1908 analysis of option pricing, which looks so modern in retrospect, was (unless de Finetti knew Bronzin’s work) even more isolated than Bachelier (1900), which at least influenced de Montessus (1908) and Alfred Barriol, and was followed by four decades of further publications by Bachelier on probability such as Bachelier (1912), which influenced Andrei Kolmogorov. The editors are to be commended for the definitive reference on Bronzin, and the publisher reproved for not giving this very expensive reference work an index.“ (Robert W. Dimand, History of Economics Review, Winter 2011))

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Secondary Literature