Mild vs. wild randomness: Focusing on those risks that matter

The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice

Volumn , Issue , 2010, Pages 47-58

  Mandelbrot, Benoit B ^a,b   Taleb, Nassim Nicholas ^c,d  

^a YALE UNIVERSITY   (United States)

^b IBM RESEARCH   (United States)

^c Decision Science Laboratory   (United States)

^d LONDON BUSINESS SCHOOL   (United Kingdom)

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[No Author keywords available]

Indexed keywords

EID: 80052768489     PISSN: None     EISSN: None     Source Type: Book    
DOI: None     Document Type: Chapter

References (8)

1. Cont R., and P. Tankov (2003). Financial Modelling with Jump Processes. Chapman & Hall / CRC Press.
2. Mandelbrot, B. (1963). The variation of certain speculative prices, Journal of Business 36, 394-419; reprinted in P. H. Cootner, ed., The Random Character of Stock Market Prices, Cambridge, MA, 1964, 307-32.
3. Mandelbrot, B. (1967). Sur l'épistémologie du hasard dans les sciences sociales: invariance des lois et vérification des hypothèses, Encyclopédie de la Pléiade (Gallimard). Logique et Connaissance Scientifique (Dirigé par J. Piaget), 1097-113.
4. Mandelbrot, B. (1997). Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. New York: Springer-Verlag. Reproduces earlier classic papers.
5. Mandelbrot, B. (2001). Stochastic volatility, power-laws and long memory. Quantitative Finance 1, 558-59.
6. Mandelbrot, B., R. L. Hudson (2004). The (Mis)behavior of Markets: A Fractal View of Risk, Ruin, and Reward. New York: Basic Books.
7. Taleb, N. N. (2007a). Scale Invariance in Practice, Working Paper.
8. Taleb, N. N. (2007b). The Black Swan: The Impact of the Highly Improbable, New York: Random House and London: Penguin.