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Author ID: cont.rama Recent zbMATH articles by "Cont, Rama"
Published as: Cont, Rama; Cont, R.
Homepage: http://rama.cont.perso.math.cnrs.fr/
External Links: MGP · ORCID · Wikidata · ResearchGate · dblp · GND · IdRef · theses.fr

Publications by Year

Citations contained in zbMATH Open

52 Publications have been cited 2,643 times in 2,211 Documents Cited by Year
Financial modelling with jump processes. Zbl 1052.91043
Cont, Rama; Tankov, Peter
2004
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
160
2001
A finite difference scheme for option pricing in jump diffusion and exponential Lévy models. Zbl 1101.47059
Cont, Rama; Voltchkova, Ekaterina
146
2005
Functional Itō calculus and stochastic integral representation of martingales. Zbl 1272.60031
Cont, Rama; Fournié, David-Antoine
90
2013
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
86
2006
A stochastic model for order book dynamics. Zbl 1232.91719
Cont, Rama; Stoikov, Sasha; Talreja, Rishi
84
2010
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
81
2010
Herd behavior and aggregate fluctuations in financial markets. Zbl 1060.91506
Cont, Rama; Bouchaud, Jean-Philipe
71
2000
Change of variable formulas for non-anticipative functionals on path space. Zbl 1201.60051
Cont, Rama; Fournié, David-Antoine
66
2010
Price dynamics in a Markovian limit order market. Zbl 1288.91092
Cont, Rama; de Larrard, Adrien
64
2013
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
61
2005
Nonparametric tests for pathwise properties of semimartingales. Zbl 1345.62074
Cont, Rama; Mancini, Cecilia
39
2011
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
37
2016
A functional extension of the Ito formula. Zbl 1202.60082
Cont, Rama; Fournie, David
28
2010
Retrieving Lévy processes from option prices: regularization of an ill-posed inverse problem. Zbl 1110.49033
Cont, Rama; Tankov, Peter
28
2006
Scaling in stock market data: Stable laws and beyond. Zbl 0979.91037
Cont, Rama; Potters, Marc; Bouchaud, Jean-Philippe
27
1997
Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020
Cont, Rama
25
2005
Hedging with options in models with jumps. Zbl 1151.91496
Cont, Rama; Tankov, Peter; Voltchkova, Ekaterian
25
2007
Long range dependence in financial markets. Zbl 1186.91230
Cont, Rama
24
2005
A consistent pricing model for index options and volatility derivatives. Zbl 1262.91132
Cont, Rama; Kokholm, Thomas
22
2013
Fire sales forensics: measuring endogenous risk. Zbl 1348.91291
Cont, Rama; Wagalath, Lakshithe
22
2016
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
21
2002
Forward equations for option prices in semimartingale models. Zbl 1325.60115
Bentata, Amel; Cont, Rama
18
2015
Constant proportion portfolio insurance in the presence of jumps in asset prices. Zbl 1168.91381
Cont, Rama; Tankov, Peter
18
2009
Volatility clustering in financial markets: empirical facts and agent-based models. Zbl 1181.91341
Cont, Rama
17
2007
Running for the exit: distressed selling and endogenous correlation in financial markets. Zbl 1275.91057
Cont, Rama; Wagalath, Lakshithe
17
2013
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
14
2014
Stress testing the resilience of financial networks. Zbl 1236.91137
Amini, Hamed; Cont, Rama; Minca, Andreea
14
2012
Recovering portfolio default intensities implied by CDO quotes. Zbl 1282.91354
Cont, Rama; Minca, Andreea
14
2013
Credit default swaps and systemic risk. Zbl 1406.91471
Cont, Rama; Minca, Andreea
13
2016
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
12
1999
Encyclopedia of quantitative finance. 4 Volumes. Zbl 1185.91001
Cont, Rama
12
2010
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
11
2013
A reduced basis for option pricing. Zbl 1227.91033
Cont, Rama; Lantos, Nicolas; Pironneau, Olivier
10
2011
Pathwise integration with respect to paths of finite quadratic variation. (Intégration trajectorielle par rapport à des trajectoires de variation quadratique finie.) Zbl 1365.60056
Ananova, Anna; Cont, Rama
10
2017
Social distance, heterogeneity and social interactions. Zbl 1232.91216
Cont, Rama; Löwe, Matthias
8
2010
Equity correlations implied by index options: estimation and model uncertainty analysis. Zbl 1280.91167
Cont, Rama; Deguest, Romain
8
2013
Universal features of price formation in financial markets: perspectives from deep learning. Zbl 1420.91433
Sirignano, Justin; Cont, Rama
8
2019
Dynamic hedging of portfolio credit derivatives. Zbl 1205.91157
Cont, Rama; Kan, Yu Hang
7
2011
Optimal order placement in limit order markets. Zbl 1402.91678
Cont, Rama; Kukanov, Arseniy
7
2017
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity. Zbl 1478.60164
Cont, Rama; Perkowski, Nicolas
7
2019
Weak approximation of martingale representations. Zbl 1336.60109
Cont, Rama; Lu, Yi
7
2016
Functional Kolmogorov equations. Zbl 1372.60074
Cont, Rama; Fournié, David Antoine
5
2016
Constant proportion debt obligations (CPDOs): modeling and risk analysis. Zbl 1279.91172
Cont, Rama; Jessen, Cathrine
4
2012
Default intensities implied by CDO spreads: inversion formula and model calibration. Zbl 1205.91169
Cont, Rama; Deguest, Romain; Kan, Yu Hang
4
2010
Institutional investors and the dependence structure of asset returns. Zbl 1337.91140
Cont, Rama; Wagalath, Lakshithe
4
2016
Model-free representation of pricing rules as conditional expectations. Zbl 1211.91129
Biagini, Sara; Cont, Rama
3
2007
Pathwise calculus for non-anticipative functionals. Zbl 1371.60098
Cont, Rama
2
2016
On the support of solutions to stochastic differential equations with path-dependent coefficients. Zbl 1435.60045
Cont, Rama; Kalinin, Alexander
1
2020
On pathwise quadratic variation for càdlàg functions. Zbl 1406.60082
Chiu, Henry; Cont, Rama
1
2018
Weak functional calculus for square-integrable processes. Zbl 1371.60100
Cont, Rama
1
2016
Stochastic integration by parts and functional Itô calculus. Zbl 1341.60002
1
2016
On the support of solutions to stochastic differential equations with path-dependent coefficients. Zbl 1435.60045
Cont, Rama; Kalinin, Alexander
1
2020
Universal features of price formation in financial markets: perspectives from deep learning. Zbl 1420.91433
Sirignano, Justin; Cont, Rama
8
2019
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity. Zbl 1478.60164
Cont, Rama; Perkowski, Nicolas
7
2019
On pathwise quadratic variation for càdlàg functions. Zbl 1406.60082
Chiu, Henry; Cont, Rama
1
2018
Pathwise integration with respect to paths of finite quadratic variation. (Intégration trajectorielle par rapport à des trajectoires de variation quadratique finie.) Zbl 1365.60056
Ananova, Anna; Cont, Rama
10
2017
Optimal order placement in limit order markets. Zbl 1402.91678
Cont, Rama; Kukanov, Arseniy
7
2017
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
37
2016
Fire sales forensics: measuring endogenous risk. Zbl 1348.91291
Cont, Rama; Wagalath, Lakshithe
22
2016
Credit default swaps and systemic risk. Zbl 1406.91471
Cont, Rama; Minca, Andreea
13
2016
Weak approximation of martingale representations. Zbl 1336.60109
Cont, Rama; Lu, Yi
7
2016
Functional Kolmogorov equations. Zbl 1372.60074
Cont, Rama; Fournié, David Antoine
5
2016
Institutional investors and the dependence structure of asset returns. Zbl 1337.91140
Cont, Rama; Wagalath, Lakshithe
4
2016
Pathwise calculus for non-anticipative functionals. Zbl 1371.60098
Cont, Rama
2
2016
Weak functional calculus for square-integrable processes. Zbl 1371.60100
Cont, Rama
1
2016
Stochastic integration by parts and functional Itô calculus. Zbl 1341.60002
1
2016
Forward equations for option prices in semimartingale models. Zbl 1325.60115
Bentata, Amel; Cont, Rama
18
2015
Central clearing of OTC derivatives: bilateral vs multilateral netting. Zbl 1287.91137
Cont, Rama; Kokholm, Thomas
14
2014
Functional Itō calculus and stochastic integral representation of martingales. Zbl 1272.60031
Cont, Rama; Fournié, David-Antoine
90
2013
Price dynamics in a Markovian limit order market. Zbl 1288.91092
Cont, Rama; de Larrard, Adrien
64
2013
A consistent pricing model for index options and volatility derivatives. Zbl 1262.91132
Cont, Rama; Kokholm, Thomas
22
2013
Running for the exit: distressed selling and endogenous correlation in financial markets. Zbl 1275.91057
Cont, Rama; Wagalath, Lakshithe
17
2013
Recovering portfolio default intensities implied by CDO quotes. Zbl 1282.91354
Cont, Rama; Minca, Andreea
14
2013
Loss-based risk measures. Zbl 1267.62103
Cont, Rama; Deguest, Romain; He, Xue Dong
11
2013
Equity correlations implied by index options: estimation and model uncertainty analysis. Zbl 1280.91167
Cont, Rama; Deguest, Romain
8
2013
Stress testing the resilience of financial networks. Zbl 1236.91137
Amini, Hamed; Cont, Rama; Minca, Andreea
14
2012
Constant proportion debt obligations (CPDOs): modeling and risk analysis. Zbl 1279.91172
Cont, Rama; Jessen, Cathrine
4
2012
Nonparametric tests for pathwise properties of semimartingales. Zbl 1345.62074
Cont, Rama; Mancini, Cecilia
39
2011
A reduced basis for option pricing. Zbl 1227.91033
Cont, Rama; Lantos, Nicolas; Pironneau, Olivier
10
2011
Dynamic hedging of portfolio credit derivatives. Zbl 1205.91157
Cont, Rama; Kan, Yu Hang
7
2011
A stochastic model for order book dynamics. Zbl 1232.91719
Cont, Rama; Stoikov, Sasha; Talreja, Rishi
84
2010
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
81
2010
Change of variable formulas for non-anticipative functionals on path space. Zbl 1201.60051
Cont, Rama; Fournié, David-Antoine
66
2010
A functional extension of the Ito formula. Zbl 1202.60082
Cont, Rama; Fournie, David
28
2010
Encyclopedia of quantitative finance. 4 Volumes. Zbl 1185.91001
Cont, Rama
12
2010
Social distance, heterogeneity and social interactions. Zbl 1232.91216
Cont, Rama; Löwe, Matthias
8
2010
Default intensities implied by CDO spreads: inversion formula and model calibration. Zbl 1205.91169
Cont, Rama; Deguest, Romain; Kan, Yu Hang
4
2010
Constant proportion portfolio insurance in the presence of jumps in asset prices. Zbl 1168.91381
Cont, Rama; Tankov, Peter
18
2009
Hedging with options in models with jumps. Zbl 1151.91496
Cont, Rama; Tankov, Peter; Voltchkova, Ekaterian
25
2007
Volatility clustering in financial markets: empirical facts and agent-based models. Zbl 1181.91341
Cont, Rama
17
2007
Model-free representation of pricing rules as conditional expectations. Zbl 1211.91129
Biagini, Sara; Cont, Rama
3
2007
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
86
2006
Retrieving Lévy processes from option prices: regularization of an ill-posed inverse problem. Zbl 1110.49033
Cont, Rama; Tankov, Peter
28
2006
A finite difference scheme for option pricing in jump diffusion and exponential Lévy models. Zbl 1101.47059
Cont, Rama; Voltchkova, Ekaterina
146
2005
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
61
2005
Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020
Cont, Rama
25
2005
Long range dependence in financial markets. Zbl 1186.91230
Cont, Rama
24
2005
Financial modelling with jump processes. Zbl 1052.91043
Cont, Rama; Tankov, Peter
2004
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
21
2002
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
160
2001
Herd behavior and aggregate fluctuations in financial markets. Zbl 1060.91506
Cont, Rama; Bouchaud, Jean-Philipe
71
2000
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
12
1999
Scaling in stock market data: Stable laws and beyond. Zbl 0979.91037
Cont, Rama; Potters, Marc; Bouchaud, Jean-Philippe
27
1997
all top 5

Cited by 3,122 Authors

23 Cont, Rama
23 Forsyth, Peter A.
18 Wang, Ruodu
17 Figueroa-López, José E.
16 Jakobsen, Espen Robstad
14 Schied, Alexander
14 Siu, Tak Kuen
13 Tankov, Peter
12 Meyer-Brandis, Thilo
12 Pistorius, Martijn R.
11 Dang, Duy Minh
11 Minca, Andreea
10 Klüppelberg, Claudia
10 Russo, Francesco
9 Benth, Fred Espen
9 Company, Rafael
9 Glau, Kathrin
9 Ros-Oton, Xavier
9 Scherer, Matthias
9 Yin, George Gang
9 Zhang, Jianfeng
8 Detering, Nils
8 Elliott, Robert James
8 Jódar Sanchez, Lucas Antonio
8 Li, Lingfei
8 Mancini, Cecilia
8 Schwab, Christoph
8 Sornette, Didier
8 Vanduffel, Steven
8 Vetzal, Kenneth R.
8 Westerhoff, Frank H.
7 Bayraktar, Erhan
7 Belomestny, Denis
7 Biagini, Francesca
7 Delong, Łukasz
7 Di Persio, Luca
7 Fu, Ke’ang
7 Grabchak, Michael
7 Heß, Markus
7 Kuznetsov, Alexey
7 Levendorskiĭ, Sergeĭ Zakharovich
7 Lillo, Fabrizio
7 Mai, Jan-Frederik
7 Schoutens, Wim
7 Swishchuk, Anatoliy
7 Touzi, Nizar
7 Vanmaele, Michèle
7 Wagalath, Lakshithe
7 Yamazaki, Akira
6 Amini, Hamed
6 Barndorff-Nielsen, Ole Eiler
6 Bouchaud, Jean-Philippe
6 Ekren, Ibrahim
6 Fabozzi, Frank J.
6 Fakharany, M.
6 Feinstein, Zachary
6 Glasserman, Paul
6 Itkin, Andrey
6 Jaimungal, Sebastian
6 Kallsen, Jan
6 Khedher, Asma
6 Kudryavtsev, Oleg
6 Kyprianou, Andreas E.
6 Leisen, Fabrizio
6 Lijoi, Antonio
6 Liu, Zhi
6 Madan, Dilip B.
6 Muthukumar, Palanisamy
6 Obloj, Jan K.
6 Oosterlee, Cornelis Willebrordus
6 Overbeck, Ludger
6 Panagiotou, Konstantinos D.
6 Pham, Huyên
6 Rosenbaum, Mathieu
6 Rüschendorf, Ludger
6 Saporito, Yuri F.
6 Sgarra, Carlo
6 Teng, Kaimin
6 Todorov, Viktor
6 Wang, Jun
6 Yang, Yang
5 Annunziato, Mario
5 Ballestra, Luca Vincenzo
5 Barrios Barrera, Begoña
5 Bäuerle, Nicole
5 Bernard, Carole L.
5 Bignozzi, Valeria
5 Carr, Peter P.
5 Chiarella, Carl
5 Cifani, Simone
5 Cordoni, Francesco Giuseppe
5 Di Nunno, Giulia
5 Eberlein, Ernst W.
5 Fusai, Gianluca
5 Gajda, Janusz
5 Gan, Siqing
5 Gerhold, Stefan
5 Hausenblas, Erika
5 Jacquier, Antoine
5 Korn, Ralf
...and 3,022 more Authors
all top 5

Cited in 352 Serials

154 Quantitative Finance
121 International Journal of Theoretical and Applied Finance
69 Insurance Mathematics & Economics
69 Stochastic Processes and their Applications
61 Finance and Stochastics
61 SIAM Journal on Financial Mathematics
53 Journal of Computational and Applied Mathematics
48 Applied Mathematical Finance
47 European Journal of Operational Research
44 Journal of Economic Dynamics & Control
43 Physica A
33 Mathematical Finance
28 The Annals of Applied Probability
23 Statistics & Probability Letters
23 International Journal of Computer Mathematics
21 Journal of Mathematical Analysis and Applications
21 Journal of Econometrics
21 Bernoulli
20 Mathematics and Financial Economics
19 Computers & Mathematics with Applications
19 Journal of Applied Probability
19 Journal of Differential Equations
19 Annals of Operations Research
18 Journal of Multivariate Analysis
17 Applied Mathematics and Computation
17 Review of Derivatives Research
16 The Annals of Statistics
16 Operations Research
16 Stochastic Analysis and Applications
16 Methodology and Computing in Applied Probability
16 Asia-Pacific Financial Markets
16 Electronic Journal of Statistics
16 Annals of Finance
15 Journal of Statistical Physics
13 Advances in Applied Probability
13 Mathematical Methods of Operations Research
13 Discrete and Continuous Dynamical Systems. Series B
13 Decisions in Economics and Finance
13 ASTIN Bulletin
12 Applied Mathematics and Optimization
12 Applied Numerical Mathematics
12 Stochastics
11 Journal of Optimization Theory and Applications
11 SIAM Journal on Numerical Analysis
11 Journal of Industrial and Management Optimization
11 Statistics and Computing
10 Chaos, Solitons and Fractals
10 Mathematics of Operations Research
10 Numerische Mathematik
10 Operations Research Letters
10 Statistical Inference for Stochastic Processes
10 Science China. Mathematics
9 Journal of Scientific Computing
9 Abstract and Applied Analysis
9 Journal of Systems Science and Complexity
9 Stochastic Models
9 Stochastics and Dynamics
8 Communications in Statistics. Theory and Methods
8 Probability, Uncertainty and Quantitative Risk
7 Journal of Mathematical Physics
7 Theory of Probability and its Applications
7 The Annals of Probability
7 Potential Analysis
7 Discrete and Continuous Dynamical Systems
7 Communications in Nonlinear Science and Numerical Simulation
7 Scandinavian Actuarial Journal
7 International Journal of Stochastic Analysis
7 European Actuarial Journal
6 Journal of Computational Physics
6 Lithuanian Mathematical Journal
6 Journal of Functional Analysis
6 Journal of Statistical Planning and Inference
6 Mathematics and Computers in Simulation
6 SIAM Journal on Control and Optimization
6 Japan Journal of Industrial and Applied Mathematics
6 Numerical Algorithms
6 SIAM Journal on Scientific Computing
6 Applied Mathematics. Series B (English Edition)
6 Calculus of Variations and Partial Differential Equations
6 Discrete Dynamics in Nature and Society
6 The ANZIAM Journal
6 Communications on Pure and Applied Analysis
6 North American Actuarial Journal
6 Computational Management Science
6 The European Physical Journal B. Condensed Matter and Complex Systems
6 Dependence Modeling
6 Modern Stochastics. Theory and Applications
5 Optimal Control Applications & Methods
5 Journal of Theoretical Probability
5 Journal of Statistical Computation and Simulation
5 SIAM Journal on Mathematical Analysis
5 Computational Statistics and Data Analysis
5 Chaos
5 Journal of Applied Statistics
5 Econometric Theory
5 International Journal of Modern Physics C
5 Journal of Statistical Mechanics: Theory and Experiment
5 Journal of the Korean Statistical Society
5 Statistics & Risk Modeling
5 East Asian Journal on Applied Mathematics
...and 252 more Serials
all top 5

Cited in 46 Fields

1,419 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,137 Probability theory and stochastic processes (60-XX)
450 Statistics (62-XX)
329 Numerical analysis (65-XX)
316 Partial differential equations (35-XX)
149 Systems theory; control (93-XX)
110 Operations research, mathematical programming (90-XX)
92 Calculus of variations and optimal control; optimization (49-XX)
68 Integral equations (45-XX)
59 Operator theory (47-XX)
46 Statistical mechanics, structure of matter (82-XX)
44 Ordinary differential equations (34-XX)
29 Real functions (26-XX)
23 Computer science (68-XX)
21 Biology and other natural sciences (92-XX)
18 Harmonic analysis on Euclidean spaces (42-XX)
17 Combinatorics (05-XX)
13 Dynamical systems and ergodic theory (37-XX)
13 Functional analysis (46-XX)
11 Quantum theory (81-XX)
10 Approximations and expansions (41-XX)
9 Measure and integration (28-XX)
9 Integral transforms, operational calculus (44-XX)
9 Fluid mechanics (76-XX)
9 Information and communication theory, circuits (94-XX)
8 Special functions (33-XX)
7 Global analysis, analysis on manifolds (58-XX)
6 Mechanics of deformable solids (74-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Potential theory (31-XX)
4 Mathematical logic and foundations (03-XX)
3 Functions of a complex variable (30-XX)
3 Difference and functional equations (39-XX)
2 General and overarching topics; collections (00-XX)
2 History and biography (01-XX)
2 Sequences, series, summability (40-XX)
2 Convex and discrete geometry (52-XX)
2 Mechanics of particles and systems (70-XX)
2 Classical thermodynamics, heat transfer (80-XX)
1 Number theory (11-XX)
1 Algebraic geometry (14-XX)
1 Abstract harmonic analysis (43-XX)
1 Differential geometry (53-XX)
1 Algebraic topology (55-XX)
1 Relativity and gravitational theory (83-XX)
1 Geophysics (86-XX)

Citations by Year

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