Rama Cont
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Rama Contmathematics Degrees
Mathematics
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Mathematical Finance
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#1
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Control Theory
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Probability Theory
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Mathematics
Why Is Rama Cont Influential?
(Suggest an Edit or Addition)According to Wikipedia, Rama Cont is the Professor of Mathematical Finance at the University of Oxford. He is known for contributions to probability theory, stochastic analysis and mathematical modelling in finance, in particular mathematical models of systemic risk. He was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010.
Rama Cont's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Empirical properties of asset returns: stylized facts and statistical issues (2001) (2905)
- Financial Modelling with Jump Processes (2003) (1810)
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS (1997) (830)
- A Stochastic Model for Order Book Dynamics (2008) (469)
- Network Structure and Systemic Risk in Banking Systems (2010) (466)
- Dynamics of implied volatility surfaces (2002) (441)
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005) (440)
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2004) (388)
- Robustness and sensitivity analysis of risk measurement procedures (2008) (335)
- The Price Impact of Order Book Events (2010) (333)
- A Langevin approach to stock market fluctuations and crashes (1998) (319)
- Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models. (2005) (319)
- RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS (2010) (300)
- Price Dynamics in a Markovian Limit Order Market (2011) (285)
- Functional Ito calculus and stochastic integral representation of martingales (2010) (275)
- Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws (1996) (238)
- Scaling in Stock Market Data: Stable Laws and Beyond (1997) (208)
- Change of variable formulas for non-anticipative functionals on path space ✩ (2010) (202)
- Universal features of price formation in financial markets: perspectives from deep learning (2018) (184)
- Non-parametric calibration of jump–diffusion option pricing models (2004) (178)
- Integro-differential equations for option prices in exponential Lévy models (2005) (177)
- Long range dependence in financial markets (2005) (153)
- Central clearing of OTC derivatives: Bilateral vs multilateral netting (2012) (131)
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009) (118)
- A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (2009) (116)
- Fire Sales, Indirect Contagion and Systemic Stress Testing (2017) (113)
- Financial markets as adaptive systems (1998) (111)
- Stress Testing the Resilience of Financial Networks (2010) (111)
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK (2012) (104)
- Hedging with options in models with jumps (2007) (101)
- Recovering Volatility from Option Prices by Evolutionary Optimization (2004) (101)
- Comment on "Turbulent cascades in foreign exchange markets" (1996) (98)
- Modeling Term Structure Dynamics: An Infinite Dimensional Approach (1999) (97)
- Statistical Modeling of High-Frequency Financial Data (2011) (97)
- Encyclopedia of quantitative finance (2010) (95)
- Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012) (91)
- Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem (2006) (90)
- RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS (2011) (88)
- Stochastic Models of Implied Volatility Surfaces (2002) (85)
- Nonparametric tests for pathwise properties of semimartingales (2011) (84)
- A functional extension of the Ito formula (2010) (80)
- Optimal order placement in limit order markets (2012) (74)
- Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach (2002) (71)
- Are financial crashes predictable (1998) (69)
- Measuring systemic risk (2008) (69)
- RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2008) (68)
- Phenomenology of the Interest Rate Curve (1997) (67)
- Heterogeneity and feedback in an agent-based market model (2004) (66)
- Credit default swaps and systemic risk (2014) (63)
- Scale Invariance and Beyond (1997) (62)
- The Brazilian Interbank Network Structure and Systemic Risk (2010) (61)
- Handbook on Systemic Risk: Network Structure and Systemic Risk in Banking Systems (2013) (59)
- Credit default swaps and financial stability (2010) (58)
- Dynamic Hedging of Portfolio Credit Derivatives (2008) (58)
- Monitoring Indirect Contagion (2019) (57)
- A Reduced Basis for Option Pricing (2010) (45)
- Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges (2011) (45)
- Loss-based risk measures (2011) (44)
- Statistical Modeling of Credit Default Swap Portfolios (2011) (42)
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity (2018) (39)
- The End of the Waterfall: Default Resources of Central Counterparties (2015) (37)
- Stochastic Integration by Parts and Functional Itô Calculus (2016) (37)
- Frontiers in quantitative finance : volatility and credit risk modeling (2008) (35)
- Social Distance, Heterogeneity and Social Interactions (2003) (34)
- Mimicking the marginal distributions of a semimartingale (2009) (32)
- Pathwise integration with respect to paths of finite quadratic variation (2016) (32)
- Functional Ito calculus and functional Kolmogorov equations ∗ (2020) (31)
- OPTION PRICING MODELS WITH JUMPS: INTEGRO-DIFFERENTIAL EQUATIONS AND INVERSE PROBLEMS. (2004) (27)
- Nonparametric Tests for Analyzing the Fine Structure of Price Fluctuations (2007) (26)
- Default Intensities implied by CDO Spreads: Inversion Formula and Model Calibration (2010) (26)
- Scaling and correlation in financial data (1997) (25)
- Credit derivatives and structured credit : a guide for investors (2006) (25)
- Deformation of implied volatility surfaces: an empirical analysis (2002) (23)
- Institutional Investors and the Dependence Structure of Asset Returns (2014) (21)
- Small-world graphs: characterization and alternative constructions (2008) (19)
- Transparency in Credit Default Swap Markets (2010) (18)
- Beyond Implied Volatility: Extracting Information From Option Prices (1997) (18)
- Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity (2019) (18)
- EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS (2010) (18)
- Forward Equations for Portfolio Credit Derivatives (2008) (17)
- Weak approximation of martingale representations (2015) (17)
- Nonparametric calibration of jump-diffusion option pricing models (2019) (17)
- Model-Free Representation of Pricing Rules as Conditional Expectations (2006) (16)
- Forward equations for option prices in semimartingale models (2010) (16)
- Central Clearing of Interest Rate Swaps: A Comparison of Offerings (2011) (15)
- Statistical Properties of Financial Time Series (1999) (14)
- Beyond implied volatility (1998) (14)
- Financial markets as adaptative ecosystems (1996) (14)
- Trade Duration, Volatility and Market Impact (2019) (14)
- On pathwise quadratic variation for cadlag functions (2018) (13)
- Frontiers in Quantitative Finance: credit risk and volatility modeling (2008) (13)
- Close-Out Risk Evaluation (CORE): A New Risk Management Approach for Central Counterparties (2013) (12)
- Herd behavior and aggregate uctuations in nancial markets 1 (2000) (12)
- Modified Bessel functions (2003) (11)
- Quadratic variation and quadratic roughness (2019) (11)
- Modelling COVID-19 contagion: risk assessment and targeted mitigation policies (2020) (11)
- Short-time asymptotics for marginal distributions of semimartingales (2012) (10)
- On the support of solutions to stochastic differential equations with path-dependent coefficients (2018) (10)
- Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices (2007) (10)
- A FINITE DIFFERENCE SCHEME FOR OPTION PRICING IN JUMP DIFFUSION AND EXPONENTIAL L (2005) (10)
- A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (2019) (9)
- Central Clearing and Risk Transformation (2017) (9)
- Recovering exponential Lévy models from option prices: regularization of an ill-posed inverse problem. (2004) (9)
- Scaling Properties of Deep Residual Networks (2021) (9)
- Functional Kolmogorov equations (2016) (8)
- Optimal rounding under integer constraints (2014) (8)
- Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis (2009) (8)
- Margin Requirements for Non-Cleared Derivatives (2018) (8)
- Rough Volatility: Fact or Artefact? (2022) (6)
- Causal functional calculus (2019) (6)
- A stochastic PDE model for limit order book dynamics (2019) (6)
- Multi-Asset Market Impact and Order Flow Commonality (2020) (6)
- Risk Management for Whales (2015) (6)
- Interbank lending with benchmark rates: Pareto optima for a class of singular control games (2020) (5)
- Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations (1997) (4)
- Trade Transparency in OTC Equity Derivatives Markets (2010) (4)
- Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis (2012) (4)
- A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT (2000) (4)
- Credit Default Swaps (2010) (4)
- Modelling financial time series with L´evy processes (2003) (3)
- Are Nancial Crashes Predictable? (1998) (3)
- Price Impact of Order Flow Imbalances: Multi-level, Cross-asset and Forecasting (2022) (3)
- Transparency in OTC Equity Derivatives Markets : a Quantitative Study (2011) (3)
- Credit default swaps and systemic risk (2015) (3)
- Stylized Properties of Asset Returns (2010) (3)
- Quadratic variation along refining partitions: Constructions and examples (2021) (3)
- A Finite Difference Scheme for Option Pricing in Jump-Diffusion and Exponential Levy Models (2003) (3)
- Modeling and Risk Analysis (2009) (3)
- Excursion Risk (2020) (2)
- Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors] (2011) (2)
- Extracting implied correlation matrices from index option prices : a statistical approach (2008) (2)
- Extracting Information from Options Prices (1998) (2)
- Interactions of market making algorithms: a study on perceived collusion (2021) (2)
- Local vs Non-local Forward Equations for Option Pricing (2014) (2)
- Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting (2021) (2)
- Asymptotic Analysis of Deep Residual Networks (2022) (2)
- Preface to the Special Issue on Systemic Risk: Models and Mechanisms (2016) (2)
- Handbook on Systemic Risk: NETWORKS (2013) (2)
- Pricing and hedging in incomplete markets (2003) (2)
- Customisable pipelined engine for intensity evaluation in multivariate hawkes point processes (2013) (2)
- Scaling and Correlation in Financial Time Series : a Study of S&p Futures Prices (1997) (2)
- Pathwise calculus for non-anticipative functionals (2016) (2)
- Introduction to the special issue on volatility modelling (2002) (1)
- Agent-based models of financial markets (2004) (1)
- Forward equations for option prices in semimartingale models (2015) (1)
- Weak functional calculus for square-integrable processes (2016) (1)
- A model‐free approach to continuous‐time finance (2022) (1)
- Functions with quadratic variation along refining partitions (2021) (1)
- Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks (2022) (1)
- Multidimensional models with jumps (2003) (1)
- Risk-neutral modelling with exponential L´evy processes (2003) (1)
- Analysis and modeling of client order flow in limit order markets (2023) (1)
- models: a robust non-parametric approach. ⁄ (2002) (1)
- Phenomenology of the interest curve (1997) (1)
- Simulation of Arbitrage-Free Implied Volatility Surfaces (2023) (1)
- Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation (2022) (1)
- Tail-GAN: Learning to Simulate Tail Risk Scenarios (2022) (0)
- PR ] 1 6 A pr 2 02 1 Quadratic variation and quadratic roughness (2021) (0)
- A Closer Look at Credit Ratings for CDOs (2008) (0)
- In memoriam: Marco Avellaneda (1955–2022) (2023) (0)
- Construction of integration by parts formulas (2016) (0)
- M3R Project in Mathematics (2014) (0)
- Credit default swaps and fi nancial stability (2010) (0)
- A Mathematical Framework for Modelling Order Book Dynamics (2023) (0)
- Have post-crisis financial reforms crimped market liquidity? (2017) (0)
- Organizing Committee Giulia Di Nunno Ryan Donnelly Damir Filipovic Yaroslav Melnyk Sergio Pulido Administrative Assistance (2015) (0)
- Cross Impact of Order Flow Imbalances: Contemporaneous and Predictive (2021) (0)
- Fractional Ito calculus (2021) (0)
- Special Issue: Monitoring Systemic Risk: Data, Models and Metrics (2017) (0)
- Measure transformations for L´evy processes (2003) (0)
- 9 60 91 72 v 1 1 8 Se p 19 96 Financial markets as adaptative ecosystems (2008) (0)
- Dynamic Calibration of Order Flow Models with Generative Adversarial Networks (2022) (0)
- Stochastic calculus for jump processes (2003) (0)
- An agent-based model of heterogeneity and feedback in speculative markets (2003) (0)
- J ul 2 01 9 Quadratic variation and quadratic roughness (0)
- Functional Itô calculus and martingale representation formula for integer-valued measures (2015) (0)
- L´evy processes: definitions and properties (2003) (0)
- Random matrix theory and estimation of high-dimensional covariance matrices (2014) (0)
- Financial Mathematics Series Series Editors Library of Congress Cataloging-in-publication Data (2004) (0)
- Simulating L´evy processes (2003) (0)
- Building L´evy processes (2003) (0)
- Functional calculus and pathwise integration. (2019) (0)
- Liquidity at Risk (2020) (0)
- Inverse problems and model calibration (2003) (0)
- Integro-di.erential equations and numerical methods (2003) (0)
- The functional Itô formula (2016) (0)
- Time inhomogeneous jump pro cesses (2003) (0)
- Monitoring Indirect Contagion∗ PRELIMINARY DRAFT DO NOT SHARE WITHOUT PERMISSION OF THE AUTHORS (2018) (0)
- DFG-SNF Research Group Opening Conference 'Statistical Regularisation' (2008) (0)
- Stochastic Market Microstructure Models of Limit Order Books (abstract only) (2020) (0)
- Financial modelling beyond Brownian motion (2003) (0)
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