Rama CONT: Research Publications

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Books:

  1. R Cont & P Tankov: Financial modelling with jump processes, Chapman and Hall/ CRC Press, 2003.
  2. R Cont (Editor in Chief): Encyclopedia of Quantitative Finance Wiley (2010).
  3. R Cont (ed.) : Frontiers in Quantitative Finance: credit risk and volatility modeling, Wiley, 2008.
  4. R Bruyère, R Cont, R Copinot, C Jaeck, L Féry, T Spitz: Credit Derivatives, Wiley, 2005.

Recent working Papers

  1. Mimicking the marginals of a semimartingale, 2009. With: Amel BENTATA.
  2. Resilience to contagion in financial networks, 2010. With: A Minca and H Amini.
  3. Short-time asymptotics for marginal distributions of semimartingales, 2012. With: Amel BENTATA.
  4. Martingales and functional differential equations, 2010. With: David FOURNIE.
  5. Fire sale forensics: measuring endogenous risk. With: Lakshithe Wagalath.
  6. Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
  7. Central Clearing of interest rate swaps: a comparison of offerings, 2011. With: YuHua YU and Radu MONDESCU.
  8. Loss-based risk measures, 2011. With: Romain DEGUEST and XueDong HE.
  9. Price dynamics in a Markovian limit order book market, 2010. With: Adrien de LARRARD.
  10. Order book dynamics in liquid markets: limit theorems and diffusion approximations, 2011. With: Adrien de LARRARD.
  11. The price impact of order book events, 2010. With: Arseniy KUKANOV and Sasha STOIKOV.
  12. Measuring systemic risk, Working Paper, 2009.
  13. Too interconnected to fail: contagion and systemic risk in financial networks. With: Amal MOUSSA.
  14. Price dynamics in limit order markets: linking volatility with order flow, 2012. With: Adrien de LARRARD.
  15. Local vs non-local forward equations for option prices, 2012. With: Yu GU.
  16. Central Clearing of OTC Derivatives: bilateral vs multilateral netting, 2011. With: Thomas KOKHOLM.

Publications in scientific journals (by year of publication)

2012

  1. Functional Ito calculus and stochastic integral representation of martingales, 2009. To appear in: Annals of Probability, 2012. With: David FOURNIE
  2. Stress testing the resilience of financial networks, International Journal of Theoretical and applied finance, Vol 15, 2012. With: A Minca and H Amini.
  3. Network structure and systemic risk in banking systems. With: Edson Bastos Santos and Amal Moussa.
    in: JP Fouque & J Langsam (eds.): Handbook of Systemic Risk, Cambridge University Press, 2012.
  4. Running for the exit: short selling and endogenous correlation in financial markets. With: Lakshithe Wagalath. To appear in: Mathematical Finance.
  5. Recovering Portfolio Default Intensities Implied by CDO Quotes, 2008. With: Andreea MINCA. To appear in: Mathematical Finance (2012).
  6. A Consistent Pricing Model for Index Options and Volatility Derivatives, 2009. To appear in: Mathematical Finance (2011). With: Thomas Kokholm.
  7. Equity correlations implied by index options: estimation and model uncertainty , 2010. With: R Deguest. To appear in: Mathematical Finance.
  8. Forward equations for option prices in semimartingale models, 2009. With: Amel Bentata. To appear in: Finance & Stochastics.
  9. Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis, 2009. To appear in: Quantitative Finance. With: Cathrine Jessen.
  10. Benoit Mandelbrot et la modélisation mathématique en finance, Gazette des Mathématiciens (2012).

2011

  1. Dynamic hedging of portfolio credit derivatives. SIAM Journal for Financial Mathematics, Vol 2 (2011), 112-140. With : Yu Hang KAN.
  2. A reduced basis method for option pricing, SIAM Journal for Financial Mathematics, Vol 2 (2011), 287-316. With: N Lantos and Olivier Pironneau.
  3. Nonparametric tests for the pathwise properties of semimartingales, Bernoulli, Vol 17, No 2, 781-813 (2011). With: Cecilia Mancini.
  4. Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges. IEEE Signal Processing, Volume 28, No 5, p 16-25.
  5. Recovering Portfolio Default Intensities Implied by CDO Quotes, 2008. With: Andreea MINCA. To appear in: Mathematical Finance (2011).

2010

  1. A functional extension of the Ito formula , Comptes Rendus Mathématiques de l'Académie des Sciences, Volume 348, Issues 1-2, January 2010, Pages 57-61. With: David FOURNIE.
  2. Change of variable formulas for non-anticipative functional on path space, Journal of Functional Analysis, 259 (2010) 1043–1072. With: David FOURNIE.
  3. Credit default swaps and financial stability, Financial Stability Review (Banque de France), No 14, 35-43, July 2010.
  4. A stochastic model for order book dynamics, Operations Research, Volume 58, 549-563, 2010. With: S Stoikov and R Talreja.
  5. 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.
  6. Social distance, heterogeneity and social interactions. Journal of Mathematical Economics, Volume 46, 572-590, 2010. With: Matthias Löwe.
  7. 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 Yu Hang KAN.
  8. Model Calibration, in: Encyclopedia of Quantitative Finance, Wiley (2010), pages 1210-1219.
  9. Credit Default Swaps, in: Encyclopedia of Quantitative Finance, Wiley (2010), pages 424-431.

2009

  1. 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.
  2. Les statistiques face aux événements extremes (in French) Pour La Science, Dec 2009.

2008

  1. Small world graphs: characterization and alternative constructions, Advances in Applied Probability, Volume 40, no 4 (December 2008), 939-965. With: E Tanimura.
  2. Forward equations for portfolio credit derivatives, published in: Chapter 11, R Cont (ed.): Frontiers in Quantitative Finance: credit risk and volatility modeling, Wiley, 2008. With: Ioana SAVESCU.
  3. La modélisation mathématique des risques financiers (in French) Pour La Science , Dec 2008, p 24-27.

2007

  1. Hedging with options in presence of jumps, in : Benth, F.E.; Di Nunno, G.; Lindstrom, T.; Øksendal, B.; Zhang, T. (Eds.) Stochastic Analysis and Applications: The Abel Symposium  2005 in honor of Kiyosi Ito,  Springer 2007, pages 197-218. With: P Tankov, E Voltchkova.
  2. Volatility clustering in financial markets, in:  A Kirman & G Teyssiere (Eds.): Long memory in economics,  Springer (2007), 289-310.
  3. Model-free representation of pricing rules as conditional expectations, in: Stochastic processes and applications to mathematical finance, Proceedings of the 6th Ritsumeikan International Symposium, World Scientific (2007), p 53-66. With: Sara Biagini.
  4. La notation de credit des produits structures (in French) Echanges , Dec 2007, 69-72.

2006

  1. Model uncertainty and its impact on derivative instruments. Mathematical Finance, Vol 16, 519-542,  July 2006.
  2. Retrieving Lévy processes from option prices: regularization of a nonlinear inverse problem. SIAM Journal of Control and Optimization, 45, 1, p 1-25 (2006). With: P Tankov.
  3. Finite difference methods for option pricing in jump-diffusion and exponential Levy models. SIAM Journal of Numerical Analysis, Vol 43, No. 4,  pp. 1596-1626. With: E Voltchkova.

2005

  1. Modeling term structure dynamics: an infinite dimensional approach,  International Journal of Theoretical and Applied Finance, Vol 8, No 3, p 1-24 (2005).
  2. Recovering volatility from option prices by evolutionary optimization. Journal of Computational Finance, Vol .8, No 3. With: S Ben Hamida.
  3. Integrodifferential equations for option prices in exponential Lévy models, Finance & Stochastics, Volume 9, Number 3, pages 299-325 (2005). With: E Voltchkova.
  4. Long range dependence in financial time series, in:  Fractals in Engineering,  E Lutton & J Levy Vehel (Eds.), Springer (2005).
  5. Heterogeneity and feedback in an agent-based market model, Journal of Physics: Condens. Matter 17 (2005) S1259-S1268. With: F Ghoulmie and JP Nadal.

2004

  1. Nonparametric calibration of jump-diffusion processes,  Journal of Computational Finance, Vol .7, No 3, pp 1-49. With: P Tankov.
  2. Option pricing models with jumps: integrodifferential equations and inverse problems.  in: P Neittanmaki et al (Eds.): ECCOMAS 2004. With: E Voltchkova, P Tankov.

2002

  1. Stochastic models of implied volatility surfaces, Economic Notes, vol. 31, No. 2, 361 - 377 (2002). With: Jose da Fonseca & Valdo Durrleman.
  2. Dynamics of implied volatility surfaces,  Quantitative Finance, Vol 2, No 2, ( 2002 ) 45-60. With: Jose da Fonseca.

2001

  1. Empirical properties of asset returns: stylized facts and statistical issues in: Quantitative Finance, Vol 1, No 2, (March 2001) 223-236.

2000

  1. Herd behavior and aggregate fluctuations in speculative markets, Macroeconomic dynamics, Vol. 4, No.2, June 2000 (With: J.P. Bouchaud).

1999

  1. "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.
  2. Are financial crashes predictable?, Europhysics Letters, Vol. 45, No. 1, pp. 1-5 (1999). With: JP Bouchaud, M Potters and L Laloux.

1998

  1. Modeling economic randomness: statistical mechanics of market phenomena, in: M Batchelor, L Wille (Eds.): Statistical Physics in the 21st century, World Scientific: 1998.
  2. "A Langevin approach to stock market fluctuations and crashes", European Physical Journal B 6 (1998) 4, 543-550.
  3. Des marches aléatoires aux marches aléatoires: modelisation statistique des fluctuations boursieres. Doctoral thesis, Université de Paris IX.

1997

  1. 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).
  2. Scaling in stock market data: stable laws and beyond, in: B. Dubrulle, F. Graner, D. Sornette (Eds.):Scale invariance and beyond, Springer, 1997.