From a quant point of view, how would you explain Multi Fractals Models in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am missing.
What would they bring to someone who has already learned stochastic Calculus with Ito's integral?
Would they be more useful for front office or middle office?
Answer
Multi-fractal models can be applied to the modeling and forecasting of volatility. I read the following book with much interest and actually setup couple models in order to compare performance vs Garch family models and the application of multi-fractals much better captures discontinuous regime-changes than traditional volatility models.
Multifractal-Volatility Forecasting
So, I would say that multi-fractal models definitely find applicability at quant and front office desks, however, I believe it can also equally applied in risk management, such as the estimation of Value-at-Risk. Think of assets whose volatility double from one day to the next. Traditional methods would hugely trail such regime-changes while multi-fractal models look to be much more adaptive to regime switching.
Caveat: I still try to work through the last chapters with more advanced math and not everything is yet entirely clear to me. I do this more on the side so, I am not sure whether I will be able to add more value very soon. But I may be able to post some code I used to setup a few models.
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