A New Anecdote of Antiquity in the History

A New Anecdote of Antiquity in the History

A New Anecdote of Antiquity in the History of Computational Finance John A. Dobelman Department of Statistics Rice University September 20, 2004 New Anecdote

(Fr., from Greek anekdota, unpublished items) History "There has been much discussion as to whether history should not henceforth be treated as a branch of science rather than of literature T.Roosevelt, 1912 Computational Finance

Difficult electronic calculations involving money D. Senft, 2002 James R. Thompson, Noah Harding Professor of Statistics, Rice University Dexter Senft, Managing Director, Lehman Brothers, Inc.

William Goetzmann, Yale School of Management, International Center for Finance, National Bureau of Economic Research (NBER) Canonical Milestone/Anecdote 1912 - Women Computers widely used at Harvard College Observatory

Canonical Milestone/Anecdote 1877-1900 Louis Bachelier, partially based on Charles Castellis The Theory of Options in Stocks and Shares, opens door for the Gaussian solution: 1877-1900 Castelli and Bachelier 1912 - Women Computers

widely used at Harvard College Observatory 1623 - First adding machine is made by Wilhelm Schickard 1912 - Women Computers widely used at Harvard College Observatory

1623 - First adding machine is made by Wilhelm Schickard 1570 - Forwards begin trading on Londons Royal Exchange 1200 - Modern version of the abacus appears in

China 1200 - Modern version of the abacus appears in China B.C. 500 - Counting boards used by Babylonians (The Salamis Tablet)

1200 - Modern version of the abacus appears in China B.C. 500 - Counting boards used by Babylonians (The Salamis Tablet) B.C. 600 - Greece. First option contracts (Thales the Milesian and olive

presses) B.C. 500 - Counting boards used by Babylonians (The Salamis Tablet) B.C. 600 - Greece. First option contracts (Thales the Milesian and olive presses)

B.C. 1700 - Egypt. First commodities hedge (Ge. 41) Canonical Milestone/Anecdote 20th c. BCE and Earlier? Origins of Writing! Mesopotamia

4000-3200 Uruk Period Inanna temple, Jordan (1929), SchmandtBessert(UT) Bullae contracts (no time, parties, interest) commitment 3200-2370 Jemdet Nasr/Early Dynastic

Period Pictographic tablets document econ Ante/post-deluvian Ur founded (2600) 2370 - 2112 Sargon Period Unifies Sumeria @ Akkad Sir Woolsey discovers Ur wall st.

financial empire (1922-34) 2111 - 2000 Uruk III Final flowering of Sumerians; then, Elam I destroys Ur Amorites conquer, Babylon rises. 1999- Amorites Babylon Rule

1792-1749 Hammurabi Sumerian Trailblazing Science - Business Religion Nammu (mother goddess), Ishtar or Inanna (love goddess), w/wind and thunder gods Ziggurats

Goetzmanns Anecdote(s) Ur, 1796 Dumuzi-gamil: royal baker to Rim-Sin (5000 l/mo); (1000 yrs); Borrows Ag for 5-year term, makes payday loans to fishermen 20% per month! 15 such loans Shumi-abum: 500g Ag @ 3 3/4% p.a.; sells note to other investors.

2 other investors: Collect the debt in 1791. Dumuzi-gamil fails in crash of 88 Martin Schyen and the Schyen Collection 1955: 16th c. French sermons as binding 1986: 15th c. Geraardsbergen Latin Bible 2004: 13,497+ MSS & artifacts. Thrill of

the chase Only Manuscripts in the Schyen Collection (MSC) vol. i, ii and iii (Hermes) Highlights - Earliest Known, etc. 40 fragments of Qumran DSS 2nd - 7th c. BC Buddhist texts on palm, birch and vellum

21st c. pre-Hammurabi legal code (300 yrs) 26th c. Gilgamesh Epic, Sumerian version 5th c. Babylonian ziggurat brick w/ Nebuchadezzar's name inscribed Math (cubic tables, geometry) Beer Production, Pictographic script Uruk III, Sumer, 31st c. BC

Conclusions What is it? Forward/futures contract - contract - quantity - performance period What about Price? Acknowledgements

The Schyen Collection MS 1717, used by kind permission of Martin Schyen Hope Derosette Dobelman References Goetzmann, William, Financing Civilization, book in preparation 2004. Available: http://viking.som.yale.edu/will/finciv/chapter1.htm

Senft, Dexter, A Brief History of Computational Finance, Presentation at the The Rice Center for Computational Finance and Economic Systems (CoFES) 2002 Symposium, Rice University, Houston, Texas 11/8/2002. Shanks, Hershel, "Scrolls, Scripts & Stelae", Bib. Arch. Rev., Sep/Oct 2002

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