Rama Cont - Publications

Affiliations: 
Statistics Columbia University, New York, NY 
Area:
Finance, Statistics

52 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2019 Sirignano JA, Cont R. Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning Quantitative Finance. 19: 1449-1459. DOI: 10.2139/Ssrn.3141294  0.367
2019 Cont R, Perkowski N. Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity Transactions of the American Mathematical Society. 6: 161-186. DOI: 10.1090/Btran/34  0.379
2019 Cont R, Schaanning E. Monitoring Indirect Contagion Journal of Banking and Finance. 104: 85-102. DOI: 10.1016/J.Jbankfin.2019.04.007  0.327
2018 Chiu H, Cont R. On pathwise quadratic variation for càdlàg functions Electronic Communications in Probability. 23. DOI: 10.1214/18-Ecp186  0.37
2017 Ananova A, Cont R. Pathwise integration with respect to paths of finite quadratic variation Journal De MathéMatiques Pures Et AppliquéEs. 107: 737-757. DOI: 10.1016/J.Matpur.2016.10.004  0.375
2016 Cont R, Wagalath L. Institutional Investors And The Dependence Structure Of Asset Returns International Journal of Theoretical and Applied Finance. 19: 1-37. DOI: 10.2139/Ssrn.2402006  0.34
2016 Cont R, Wagalath L. Fire Sales Forensics: Measuring Endogenous Risk: Fire Sales Forensics: Measuring Endogenous Risk Mathematical Finance. 26: 835-866. DOI: 10.1111/Mafi.12071  0.302
2016 Cont R, Kukanov A. Optimal order placement in limit order markets Quantitative Finance. 1-19. DOI: 10.1080/14697688.2016.1190030  0.709
2016 Cont R, Lu Y. Weak approximation of martingale representations Stochastic Processes and Their Applications. 126: 857-882. DOI: 10.1016/J.Spa.2015.10.002  0.418
2016 Cont R, Minca A. Credit default swaps and systemic risk Annals of Operations Research. 247: 523-547. DOI: 10.1007/S10479-015-1857-X  0.301
2015 Bentata A, Cont R. Forward equations for option prices in semimartingale models Finance and Stochastics. 19: 617-651. DOI: 10.1007/S00780-015-0265-Z  0.327
2014 Cont R, Kokholm T. Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting Statistics and Risk Modeling. 31: 3-22. DOI: 10.2139/Ssrn.2233665  0.344
2014 Cont R, Kukanov A, Stoikov S. The Price Impact of Order Book Events Journal of Financial Econometrics. 12: 47-88. DOI: 10.2139/Ssrn.1712822  0.71
2013 Cont R, Deguest R, He XD. Loss-Based Risk Measures Statistics and Risk Modeling. 30: 133-167. DOI: 10.2139/Ssrn.1755291  0.746
2013 Cont R, Fournié D. Functional Ito calculus and stochastic integral representation of martingales Annals of Probability. 41: 109-133. DOI: 10.1214/11-Aop721  0.748
2013 Guo C, Luk W, Vinkovskaya E, Cont R. Customisable pipelined engine for intensity evaluation in multivariate hawkes point processes Acm Sigarch Computer Architecture News. 41: 59-64. DOI: 10.1145/2641361.2641371  0.638
2013 Cont R, Larrard Ad. Price Dynamics in a Markovian Limit Order Market Siam Journal On Financial Mathematics. 4: 1-25. DOI: 10.1137/110856605  0.39
2013 Cont R, Wagalath L. Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets Mathematical Finance. 23: 718-741. DOI: 10.1111/J.1467-9965.2011.00510.X  0.362
2013 Cont R, Deguest R. Equity correlations implied by index options: Estimation and model uncertainty analysis Mathematical Finance. 23: 496-530. DOI: 10.1111/J.1467-9965.2011.00503.X  0.772
2013 Cont R, Kokholm T. A Consistent Pricing Model for Index Options and Volatility Derivatives Mathematical Finance. 23: 248-274. DOI: 10.1111/J.1467-9965.2011.00492.X  0.442
2013 Cont R, Minca A. Recovering Portfolio Default Intensities Implied by CDO Quotes Mathematical Finance. 23: 94-121. DOI: 10.1111/J.1467-9965.2011.00491.X  0.414
2012 Cont R, Wagalath L. Fire Sales Forensics: Measuring Endogenous Risk Mathematical Finance. 26: 835-866. DOI: 10.2139/Ssrn.2051013  0.389
2012 Cont R, Jessen C. Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis Quantitative Finance. 12: 1199-1218. DOI: 10.2139/Ssrn.1372414  0.373
2011 Cont R, Mancini C. Nonparametric tests for pathwise properties of semimartingales Bernoulli. 17: 781-813. DOI: 10.3150/10-Bej293  0.322
2011 Cont R. Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges Ieee Signal Processing Magazine. 28: 16-25. DOI: 10.2139/Ssrn.1748022  0.408
2011 Cont R, Lantos N, Pironneau O. A Reduced Basis for Option Pricing Siam Journal On Financial Mathematics. 2: 287-316. DOI: 10.1137/10079851X  0.404
2011 Cont R, Kan YH. Dynamic hedging of portfolio credit derivatives Siam Journal On Financial Mathematics. 2: 112-140. DOI: 10.1137/090750937  0.646
2011 Cont R. Statistical Modeling of High-Frequency Financial Data Ieee Signal Processing Magazine. 28: 16-25. DOI: 10.1109/Msp.2011.941548  0.383
2011 Pollak I, Avellaneda M, Bacry E, Cont R, Kulkarni S. Improving the visibility of financial applications among signal processing researchers Ieee Signal Processing Magazine. 28: 14-15. DOI: 10.1109/Msp.2011.941547  0.342
2010 Cont R, Deguest R, Scandolo G. Robustness and Sensitivity Analysis of Risk Measurement Procedures Quantitative Finance. 10: 593-606. DOI: 10.2139/Ssrn.1086698  0.742
2010 Cont R, Stoikov S, Talreja R. A Stochastic Model for Order Book Dynamics Operations Research. 58: 549-563. DOI: 10.1287/Opre.1090.0780  0.415
2010 Cont R, Deguest R, Kan YH. Default intensities implied by CDO Spreads: Inversion formula and model calibration Siam Journal On Financial Mathematics. 1: 555-585. DOI: 10.1137/09076800X  0.764
2010 Cont R, Fournié D. Change of variable formulas for non-anticipative functionals on path space Journal of Functional Analysis. 259: 1043-1072. DOI: 10.1016/J.Jfa.2010.04.017  0.746
2010 Cont R, Fournie D. A functional extension of the Ito formula Comptes Rendus Mathematique. 348: 57-61. DOI: 10.1016/J.Crma.2009.11.013  0.736
2009 Cont R, Tankov P. Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices Mathematical Finance. 19: 379-401. DOI: 10.1111/J.1467-9965.2009.00377.X  0.411
2006 Cont R, Tankov P. Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem Siam Journal On Control and Optimization. 45: 1-25. DOI: 10.1137/040616267  0.345
2006 Cont R. Model Uncertainty and its Impact on the Pricing of Derivative Instruments Mathematical Finance. 16: 519-547. DOI: 10.1111/J.1467-9965.2006.00281.X  0.431
2005 Hamida SB, Cont R. Recovering Volatility from Option Prices by Evolutionary Optimization Journal of Computational Finance. 8: 43-76. DOI: 10.2139/Ssrn.546882  0.405
2005 Cont R. Modeling Term Structure Dynamics: An Infinite Dimensional Approach International Journal of Theoretical and Applied Finance. 8: 357-380. DOI: 10.2139/Ssrn.148408  0.333
2005 Cont R, Voltchkova E. A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models Siam Journal On Numerical Analysis. 43: 1596-1626. DOI: 10.1137/S0036142903436186  0.357
2005 Ghoulmie F, Cont R, Nadal JP. Heterogeneity and feedback in an agent-based market model Journal of Physics Condensed Matter. 17: S1259-S1268. DOI: 10.1088/0953-8984/17/14/015  0.373
2005 Cont R, Voltchkova E. Integro-Differential Equations for Option Prices in Exponential Lévy Models Finance and Stochastics. 9: 299-325. DOI: 10.1007/S00780-005-0153-Z  0.36
2004 Cont R, Tankov P. Non-parametric calibration of jump–diffusion option pricing models Journal of Computational Finance. 7: 1-49. DOI: 10.21314/Jcf.2004.123  0.405
2002 Cont R, Fonseca Jd, Durrleman V. Stochastic Models of Implied Volatility Surfaces Economic Notes. 31: 361-377. DOI: 10.2139/Ssrn.317604  0.373
2002 Cont R, Avellaneda M. Introduction to the special issue on volatility modelling Quantitative Finance. 2: 6-7. DOI: 10.1088/1469-7688/2/1/602  0.313
2002 Cont R, Fonseca JD. Dynamics of implied volatility surfaces Quantitative Finance. 2: 45-60. DOI: 10.1088/1469-7688/2/1/304  0.388
2001 Cont R. Empirical properties of asset returns: stylized facts and statistical issues Quantitative Finance. 1: 223-236. DOI: 10.1080/713665670  0.359
2000 Cont R, Bouchaud J. Herd behavior and aggregate fluctuations in financial markets Macroeconomic Dynamics. 4: 170-196. DOI: 10.2139/Ssrn.58468  0.331
2000 Gardiol L, Gibson R, Bares P-, Cont R, Gyger S. A Large Deviation Approach To Portfolio Management International Journal of Theoretical and Applied Finance. 3: 617-639. DOI: 10.1142/S0219024900000140  0.35
1999 Bouchaud J, Sagna N, Cont R, El-Karoui N, Potters M. Phenomenology of the Interest Rate Curve Applied Mathematical Finance. 6: 209-232. DOI: 10.1080/135048699334546  0.385
1998 Potters M, Cont R, Bouchaud JP. Financial markets as adaptive systems Europhysics Letters. 41: 239-244. DOI: 10.1209/Epl/I1998-00136-9  0.322
1998 Bouchaud J, Cont R. A Langevin approach to stock market fluctuations and crashes European Physical Journal B. 6: 543-550. DOI: 10.1007/S100510050582  0.377
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