You don't remember? It was July 12, 2019, 10:03 pm, PDT.
Emanuel Derman: "Trading Volatility"
And the follow-up, from Inference Review, December, 2019:
On Louis Bachelier
"Pricing the Future: Finance, Physics, and the 300-Year Journey to the Black-Scholes Equation "To the editors:In Emanuel Derman’s essay on the Black–Scholes Equation, the French mathematician Louis Jean-Baptiste Alphonse Bachelier is mentioned in passing. Published at the turn of the twentieth century, Bachelier’s PhD thesis was the foundation for the later work of Fischer Black, Myron Scholes, and Robert Merton.1 Scholes and Merton were jointly awarded the 1997 Nobel Prize in Economics for developing “a pioneering formula for the valuation of stock options.”2 Black had passed away in 1995. While brief sketches of Bachelier’s life can be found, no one, as far as I know, has written a full biography. Since Bachelier’s only lasting contribution to mathematics seems to have been his thesis, it is not clear what one would say in such a biography. It is a curious and rather sad story.
Bachelier was born in Le Havre on March 11, 1870.3 His father was a wine merchant. Bachelier would certainly have been headed for one of the grandes écoles, but in 1889 both his parents died. He took over the family wine business and then did his compulsory military service. It was not until 1892 that he was able to begin his studies at the Sorbonne. During this period, he may have worked at the Bourse, although the details remain elusive. In any event, he became interested in the question of how to predict the future price of a stock. It is not clear whether he had heard of Brownian motion, or if he simply invented the idea for himself. He assumed that, on its next move, it was equally likely for the price of a stock to go up or go down. This is Brownian motion. Upon hearing of it for the first time, a natural reaction is to inquire how the price goes anywhere. Of course, after the first move, it is as likely for a price to advance further as it is to go backwards. This results in the random walk that is characteristic of Brownian motion....MORE
Variables: σ = volatility of returns of the underlying asset/commodity; S = its spot (current) price; δ = rate of change; V = price of financial derivative; r = risk-free interest rate; t = time.
Finally a cautionary tale from a very smart guy:
"Volatility as the new Black-Scholes" (VIX; VXX; CVOL)
