Mark Kac (1914–1984, pronounced "Kats") was a Polish-American mathematician and one of the great popularisers of probability. Warm, witty and famous for his lecturing, he had a knack for asking questions so simple and vivid that they became instantly famous — like "Can you hear the shape of a drum?"
Kac spotted a stunning bridge between two worlds that seem to have nothing to do with each
other: the deterministic differential equations of physics, and the random wandering of
particles. Team up with the physicist
In finance, this is exactly why an option's price can be found by simulating thousands of random market scenarios and simply taking the average payoff.
The story goes that Kac was in the audience at a seminar where Feynman described his new "sum over paths" way of thinking about quantum mechanics. Kac, sitting there as a probabilist, realised with a jolt that Feynman was unknowingly describing something very close to a tool he already knew from random walks. He put the two ideas together — and so a physicist and a probabilist who approached the world from opposite ends ended up sharing a single, elegant formula that neither could have written alone.