| IEOR Dept Columbia University 500 West 120th Street, Mail Code 4704 New York, NY 10027-6699. |
Laboratoire
de Probabilités et Modeles Aléatoires |
Born in Tehran, Iran.
Europlace Institute Research Grant for project on "Measuring systemic risk", 2010.
Grand Prix Louis Bachelier (French Academy of Sciences, SMAI and Natixis Foundation), 2010.
Best paper in Mathematical Finance 2006, Europlace Institute of
Finance.
Europlace Institute Research prize for project on "Model uncertainty and its impact on derivative
instruments" (2003).
Winner of "Concours National 2003 Creation d'Entreprises de Technologie
Innovantes"
(French ministry for Research and Technology prize) for the project
"MODELRISK: new numerical tools for risk management".
BOOK: R Cont - P Tankov Financial modelling with jump processes, Chapman and Hall/ CRC Press, 2003.
BOOK: R Cont (ed.): Frontiers in Quantitative Finance: credit risk and volatility modeling, Wiley, 2008.
BOOK: R Bruyère, R Cont, R Copinot, C Jaeck, L Féry, T Spitz: Credit Derivatives, Wiley, 2005.
BOOK: R Cont (ed.) Encyclopedia of Quantitative Finance,
Wiley, 2010.
BOOK: R Bruyère, R Cont, R Copinot, C Jaeck, L Féry, T Spitz: Les produits dérivés de
crédit, Economica, 2004.
A
functional extension of the Ito formula , Comptes Rendus
Mathematiques de l'Academie des Sciences Ser. I, Vol. 348, 57-61 (2010).
With: David FOURNIE.
Functional Ito
calculus and stochastic integral representation of martingales , 2010. To
appear in: Annals of Probability. With: David FOURNIE.
Change of variables formulas for
non-anticipative functionals on path space, Journal of Functional
Analysis Vol. 259 (2010), . With: David FOURNIE.
Resilience to contagion financial networks. With: Hamed AMINI & Andreea MINCA.
Statistical modeling of high-frequency financial data, IEEE Signal Processing, Vol 28, No 5, 16-25 (2011).
Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
Running for the exit: short selling and endogenous correlation in financial markets (2010). To appear in: Mathematical Finance. With: Lakshithe Wagalath.
Stress testing the resilience of financial networks, International Journal of Theoretical and Applied Finance, Vol 14 (2011). With: Hamed AMINI & Andreea MINCA.
Recovering Portfolio Default Intensities Implied by CDO Quotes, 2008. With: Andreea MINCA. To appear in: Mathematical Finance, 2011.
Price dynamics in a Markovian limit order market (2010). With: Adrien de Larrard.
A reduced basis method for option pricing, SIAM Journal of Financial Mathematics, Vol 2 (2011). With: N Lantos and Olivier Pironneau.
Credit
default swaps and financial stability, Financial
Stability Review (Banque de France), No 14, 35-43, July 2010.
Forward equations
for option prices in semimartingale models, 2009. With: A Bentata.
Mimicking the
marginal distributions of a semimartingale , 2009. With: A Bentata.
Equity
correlations implied by index options: estimation and model uncertainty
analysis , 2010. With: Romain DEGUEST.
A Consistent
Pricing Model for Index Options and Volatility Derivatives , 2009.
Forthcoming in: Mathematical Finance. With: Thomas Kokholm.
Matching marginal
distributions of a semimartingale with a Markov process , Comptes Rendus
Mathematiques, 2009. With: A Bentata.
Too interconnected to fail: credit contagion and systemic risk in financial
networks (2009). With: Amal Moussa.
Default
Intensities implied by CDO Spreads: Inversion Formula and Model Calibration
, SIAM Journal of Financial
Mathematics, Volume 1, pp. 555-585 (2010). With: R Deguest and YuHang
Kan.
A closer look at CDO ratings (2008). With: Amal Moussa.
Robustness and
Sensitivity Analysis of Risk Measurement Procedures , Quantitative Finance,
Vol. 10, No. 6, June–July 2010, 593–606 . With: R Deguest and G
Scandolo.
Constant
Proportion Debt Obligations (CPDOs), 2008. With: Cathrine Jessen.
A stochastic model
for order book dynamics, Operations Research,
Volume 58, No. 3 (2010), 549-563. With: S Stoikov and R Talreja.
Small
world graphs: characterization and alternative constructions, Advances
in Applied Probability, Volume 40, no 4 (December 2008). With: E
Tanimura.
Constant Proportion Portfolio
Insurance in presence of jumps in asset prices, Mathematical
Finance, Vol. 19, Issue 3, pp. 379-401, July
2009.. With: P Tankov
Finite difference
methods for option pricing in jump-diffusion models. SIAM Journal of
Numerical Analysis, Vol 43, No. 4, pp. 1596-1626. With: E Voltchkova.
Retrieving Levy processes from option prices: regularization of a nonlinear
inverse problem. SIAM Journal of Control and Optimization,
45, 1 (2006). With: P Tankov.
Option pricing models with jumps:
integrodifferential equations and inverse problems. in: P Neittanmaki et
al (Eds.): ECCOMAS 2004. With: E Voltchkova, P Tankov.
Integrodifferential equations for option
prices in exponential Levy models, Finance & Stochastics,
Volume 9, Number 3, pages 299-325 (2005). With: E Voltchkova.
Long range dependence in financial time series, in: Fractals in Engineering, E Lutton & J Levy Vehel (Eds.), Springer (2005).
Model uncertainty and its impact on derivative instruments. Mathematical Finance, Vol 16 Page 519-542, July 2006.
Volatility clustering in financial markets, in: Long memory in economics, A Kirman & G Teyssiere (Eds.), Springer (2005).
Heterogeneity and feedback in an agent-based
market model, Journal of Physics: Condens. Matter 17 (2005) S1259-S1268.
With: F Ghoulmie and JP Nadal
Recovering volatility from option prices by
evolutionary optimization. Journal of Computational Finance, Vol
.8, No 3. With: S Ben Hamida.
A finite difference scheme for option pricing in
exponential Levy models, in: P Neittanmaki et al (Eds.): ECCOMAS 2004.
With: E Voltchkova.
Social distance, heterogeneity and social interactions, Journal of Mathematical Economics., 2010. With: Matthias Löwe.
Nonparametric calibration of jump-diffusion
processes, Journal of Computational Finance, Vol .7, No 3, pp
1-49. With: P Tankov.
Empirical properties of asset returns, in: J.D: Farmer, J Geanakoplos (eds.):
Beyond equilibrium and efficiency, New York: Oxford University Press,
2002.
Stochastic models of implied volatility
surfaces, Economic Notes, vol. 31, No. 2, 361 - 377
(2002).With: J da Fonseca, V Durrleman.
Dynamics of implied volatility surfaces, Quantitative
Finance, Vol 2,
No 2, ( 2002 ) 45-60. With: J da Fonseca.
"Deformation of implied volatility surfaces: an
empirical study", in: Empirical Science of Financial Fluctuations,
Tokyo: Springer, 2001.With: J da Fonseca.
"Empirical
properties of asset returns: stylized facts and statistical issues" in:
Quantitative
Finance, Vol 1, No 2, (March 2001) 223-236.
A
large deviation approach to portfolio management, International
Journal of Theoretical and Applied Finance, Vol 3, No 4, 617--639 (2000).
With: R Gibson, L Gardiol, S Gyger, P A Bares.
"Modeling term structure dynamics: an infinite
dimensional approach", International Journal of Theoretical and
Applied Finance, May 2005.
Modeling economic randomness: statistical mechanics of market phenomena", in: M Batchelor, L Wille (Eds.): Statistical Physics in the 21st century: the James B McGuire Festschrift, World Scientific: 1998.
"Herd behavior and aggregate fluctuations in speculative markets", Macroeconomic dynamics, Vol. 4, No.2, ( June 2000).
"Are financial crashes predictable?", Europhysics Letters, Vol. 45, No. 1, pp. 1-5 (1999).
"A Langevin approach to stock market fluctuations and crashes", European Physical Journal B 6 (1998) 4, 543-550.
"Phenomenology of the interest rate curve: a statistical analysis of term structure deformations", Applied Mathematical Finance, Vol. 6, No. 3 (Sept 1999). With: JP Bouchaud, N ElKaroui, N Sagna, M Potters.
"Beyond implied volatility: extracting information from option prices", in: I Kondor, J Kertesz (Eds.): Econophysics: an emerging science, Kluwer Scientific: 1999.
"Scaling in stock market data: stable laws and beyond", in: B. Dubrulle, F. Graner, D. Sornette (Eds.):Scale invariance and beyond, Springer, 1997.
"Convergent multiplicative processes repelled from zero: power laws and truncated power laws", Journal de Physique I , Vol. 7, March 1997, 431-444 (with D. Sornette).
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Symposium on Risk management and regulation, INFORMS 2010, Austin (Texas),
Nov 2010.
Forum
on Systemic stability and liquidity, Fields Institute, Toronto, May
17-18, 2010.
Workshop
on Financial Networks, Fields Institute, Toronto, May 19-21, 2010.
Workshop
on Derivatives and Risk Management, Fields Institute, Toronto, May 24-28,
2010.
ICBI Global
Derivatives Conference, Paris May 18-22, 2010.
6th conference in Actuarial
Science and Finance, Samos, May 31- June 6, 2010.
Standard
and Poors Credit Risk Summit 2010, New York, April 9, 2010.28th European meeting of
Statisticians, Greece, Aug 17-22, 2010.
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Conference on Advanced Mathematical Methods in Finance, Slovenia, May
2010.
Conference on Statistical
Regularization and Qualitative Constraints, Gottingen, Germany, 20-22 Nov
2008.
Workshop on Inverse Problems:
Methodology and Applications, Linz (Austria) October 27 - 31, 2008.
Conference on Monte Carlo and Quasi Monte Carlo methods, Montreal, 2008.
Second Franco-Canadian Mathematics Congress, Montreal June 2008.
German Open conference on Probability and Statistics, Aachen, March 2008.
American Mathematical Society Joint meeting, San Diego, Jan 2008.
Conference on Credit risk, Univ of Chicago, Oct 2007.
Standard and Poors Credit Risk Summit 2007, New York, Nov 2007.
Semester on Stochastic
partial differential equations, Mittag Leffler Institute, Stockholm,
2007.
4th International
Conference on Lévy processes and applications, Copenhagen, August
2007.
Conference on Partial differential equations in finance, Stockholm, Aug
2007.
QMF 2006, Sydney, Dec 2006.
Oberwolfach Meeting on Inverse problems, Nov 2006.
Standard and Poors Credit Risk Summit 2006, New York, Oct 2006.
European Conference on Advanced Mathematical Methods in Finance (AMaMeF),
Antalya, April 2006.
IFIP 2005, Session on Inverse
Problems, Torino, July 2005.
Applied Inverse Problems 2005,
Cirencester (UK).
Workshop on Stochastic
analysis and mathematical finance, Max Planck Institute, Leipzig, April
20-22 2005.
Fifth Seminar on
Stochastic Analysis, Random Fields and Applications, Ascona, June
2005.
Daiwa International Workshop on Financial Engineering, Tokyo-Kyoto,
July 21-26 2005
QMF 2004, Sydney, Dec 2004.
Semester on Mathematical finance, Isaac Newton Institute, Cambridge
University, 2005.
Wokshop on Advanced Mathematical Methods in Finance (AMaMeF), Munich, Oct
2004.
ECCOMAS 2004, Finland, July 2004.
Workshop on Particle methods and Monte Carlo, Bernoulli Congress 2004, Barcelona.
CNRS Summer School on Complex systems in the social sciences, Ecole
Normale Supérieure, Lyon, July 2004.
International Conference on Stochastic analysis and mathematical finance,
Paris, June 2-3-4, 2004.
Program on Probability and Statistics in Complex systems, Institute of
Mathematics and Applications (IMA), Minnesota, 2004.
European Science Foundation Conference on "Arbitrage theory", Paris, June
2003.
3rd International Conference on Lévy processes and applications, Paris, June 2003.
Distinguished Lecture Series, Department of Economics, Humboldt University (Berlin), Feb 2003.
Winter School on Mathematical Finance, Stieltjes Institute (Netherlands), Dec 2002.
Bernoulli Society International Statistical Symposium, Taiwan, July 2002.
Workshop on Infinite dimensional models in mathematical finance, Warwick, May 2001.
15th Annual Conference on Options: recent advances, Warwick, Sept 2002.
Fourth Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Switzerland, May 20-24, 2002.
Workshop on Mathematical Finance, Polish Academuy of Sciences, Bedlewo, June 2001.
2nd International Workshop on Lévy processes and applications, Aarhus, Jan 2001.
MAPHYSTO Workshop on Stochastic partial differential equations, Copenhagen , Jan 2000.
American Mathematical Society - Societe Mathematique de France Joint Congress, Lyon, July 2001.
3rd Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Switzerland, 1999.
Peter TANKOV (2004) Lévy
Processes in Finance: Inverse Problems and Dependence Modelling
Currenty: Assistant professor, Ecole Polytechnique, France.
Ekaterina VOLTCHKOVA (2005) Integro-differential
evolution equations: numerical methods and applications in finance.
Currently: Assistant professor, Université de Toulouse I.
Julien HOK (2006) Volatility and information in financial markets.
Currently: Quantitative analyst, Standard Chartered Bank (London).
Moeiz ROUIS (2007) Inverse problems for partial differential equations in
finance.
Emily TANIMURA (2008): Structure and dynamics of social networks.
Currently: Assistant professor in mathematics, Universite de Paris-Sorbonne,
France).
Romain DEGUEST (2009): Model uncertainty in derivatives pricing and risk
management.
Currently: Senior Research Engineer, EDHEC ( France ).
David FOURNIE (2010): Functional Ito calculus and applications. Currently: Morgan Stanley ( New York ).
Yu Hang KAN (2011 ) : Mathematical modeling of credit derivatives. Currently: Quantitative Research, Barclays Capital (Hong Kong).
Amal MOUSSA ( 2011): Contagion and systemic risk in banking networks. Currently: Quantitative Research, JP Morgan (New York).
Andrea MINCA (2011 ) : Mathematical modeling of default contagion.
Currently: Assistant Professor, Cornell University.
Amel BENTATA ( Université de Paris VI )
JinBeom KIM ( IEOR Dept, Columbia University )
Arseniy KUKANOV ( IEOR Dept, Columbia University )
Adrien de LARRARD ( Université de Paris VI )
Ekaterina VINKOVSKAYA ( Dept of Statistics, Columbia University)
Editor in Chief, Encyclopedia of Quantitative Finance.
Editor, Statistics and Risk Modeling.
Series editor, CRC-Chapman & Hall Series in Financial
mathematics.
Associate Editor, SIAM
Journal on Financial Mathematics.
Associate Editor, International Journal of Theoretical and Applied
Finance.
Associate Editor,Operations Research.
Associate Editor,Methodology and
Computing in Applied Probability.
Associate Editor, Quantitative Finance.
Associate Editor, Asia-Pacific Financial markets.