Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance

  title={Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance},
  author={M. Dempster},
  journal={Quantitative Finance},
  pages={155 - 156}
  • M. Dempster
  • Published 2011
  • Economics
  • Quantitative Finance
  • Centre for Financial Research, University of Cambridge & Cambridge Systems Associates LimitedBenoit Mandelbrot was a father of Quantitative Financein two senses.The better known – and most important – sense is ofcourse related to his fundamental insights into the realworld behaviour of asset prices – discontinuities, powerlaw tails, trading time, subordination, long memory,fractional Brownian motion, multi-fractal processes (seeMandelbrot 1997 for a detailed exposition of these ideas).In this… CONTINUE READING


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