Serving the Quantitative Finance Community
Benoît Mandelbrot 1924-2010
Benoît Mandelbrot 1924-2010
Benoît Mandelbrot 1924-2010
W - Benoit MandelbrotThe mathematician, the father of fractal mathematics, and advocate of more sophisticated modelling in quantitative finance, died on 14th October 2010 aged 85. Wilmott magazine has often featured Mandelbrot, his ideas, and the work of others inspired by his fundamental insights.
Benoît Mandelbrot 1924-2010
This paper was published in 1963, a decade before Black-Scholes. Taleb was just 3 years old. I quote:?? the stable Paretian model may be considered as predicting the occurance of phenomena likely to force the market to close. In a Gaussian model such large changes are so extremely unlikely that the occasional closure of markets must be explained by non-stochastic considerations.?
Benoît Mandelbrot 1924-2010
Truly sad. I just talked to him a few weeks ago. Rest in Peace