A04: Fractals markets

Document description

Benoit Mandelbrot passed away on 14 October 2010. He left a legacy of work on fractals, whose usefulness in financial modelling is hotly contested. Alongside the better publicised ideas of action at a distance and models with infinite variance, more conventional models such as CGMY (also known as Kobol) also have fractal properties. This workshop explains the approaches and invites a discussion of the role fractals may have in actuarial modelling.