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Benoit Mandelbrot et la modélisation mathématique des risques financiers

Author

Listed:
  • Rama Cont

    (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique)

Abstract

Benoit Mandelbrot, mathématicien et savant multidisciplinaire, s'intéressa très tôt dans sa carrière à l'étude statistique des données économiques et financières et fut à l'origine de nombreuses idées importantes dans la modélisation statistique des risques financiers, sujet qui le passionna jusqu'à la fin de sa vie. Cette note résume les contributions principales de Mandelbrot dans ce domaine.

Suggested Citation

  • Rama Cont, 2011. "Benoit Mandelbrot et la modélisation mathématique des risques financiers," Working Papers hal-00649050, HAL.
    • Handle: RePEc:hal:wpaper:hal-00649050
    Note: View the original document on HAL open archive server: https://hal.science/hal-00649050v2
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