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More on models

October 19, 2010

Justin Fox asks, "Why didn't people in finance pay attention to Benoit Mandelbrot?" -- and it's a great question. His conclusion: I think it’s mainly that he didn’t provide them a handy alternative to Black-Scholes. I can’t pretend to fully understand the practical implications of his fractal view of markets, but it does seem more […]

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Benoit Mandelbrot, 1924 - 2010

October 18, 2010

Benoit Mandelbrot had a greater academic impact on my life than perhaps any other person. I was deeply saddened to learn he had passed away. The NYT has prepared an obituary.

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An interview with Mandelbrot

October 1, 2009

The FT has posted a lengthy video interview with the brilliant mathematician Benoit Mandelbrot, whose book The (Mis)behavior of Markets first inspired me to enter finance and risk management in particular. I do find  that some of John Auther's questions mar an otherwise interesting (but extremely high-level) overview of Mandelbrot's thoughts on finance. Right from […]

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When worlds collide

June 17, 2009

I just learned from Andrew Gelman that Mandelbrot wrote a paper on taxonomies... in 1955.

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