Book Review

Pricing the Future: Finance, Physics, and the 300-year Journey to the Black-Scholes Equation By George Szpiro


This is a very entertaining book which tells the incredible stories of how all of the Black-Scholes model was put together. It takes you on a ride through 1800s France, to World War II and even all the way to Japan, before finding its place in the United States where Fischer Black, Myron Scholes and Robert Merton derived the equation that gave credence to the options market.

I’ve seen other reviews say it’s a negative that Szpiro sometimes gets off track, but I have to disagree with that being a negative. When the writer does seem to leave the confines of the rails some of us believe he should be on, it’s always for a good or interesting reason and most of the time is relegated to the notes section in the back of the book.

If there is something bad that could be said about the book is that it’s target audience is that intersection of reader that is both interested in mathematics and finance. For the pure mathematician the story will be boring and its eventual winding down to applied mathematics will seem unnecessary. The finance reader they will not find any magic trading secrets. The only thing they’ll find are the reasons financial bloggers recommend things the way they recommend things.

For someone like me that’s as interested in theory as in application then this book is exactly what I was looking for.