Rama CONT's Research Publications (by topic)

Research interests

Stochastic analysis / Functional Ito calculus

Systemic Risk

Complex networks

Mathematical modeling in finance:

Stochastic analysis

  1. Functional Ito calculus and stochastic integral representation of martingales, 2009. With: David FOURNIE
  2. 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.
  3. Change of variable formulas for non-anticipative functional on path space, Journal of Functional Analysis, 259 (2010) 1043–1072. With: David FOURNIE.
  4. Mimicking the marginals of a semimartingale, 2009. With: Amel BENTATA.
  5. Forward equations for option prices in semimartingale models, 2009. With: Amel Bentata. To appear in: Finance & Stochastics.

Systemic Risk

  1. Network structure and systemic risk in banking systems.  With: Edson Bastos Santos and Amal Moussa.
  2. Resilience to contagion in financial networks, 2010. With: A Minca and H Amini.
  3. Running for the exit: short selling and endogenous correlation in financial markets (2010). To appear in: Mathematical Finance. With: Lakshithe Wagalath.
  4. Stress testing the resilience of financial networks, International Journal of Theoretical and applied finance, Vol 14, 2011. With: A Minca and H Amini.
  5. Credit default swaps and financial stability, Financial Stability Review, No 14, 35-43, July 2010.
  6. Measuring systemic risk, Working Paper, 2009.
  7. Too interconnected to fail: contagion and systemic risk in financial networks. With: Amal MOUSSA.

Limit order markets

  1. A stochastic model for order book dynamics, Operations Research, Volume 58, 549-563, 2010. With: S Stoikov and R Talreja.
  2. Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges, IEEE Signal Processing, Volume 28.
  3. Price dynamics in a Markovian limit order market, 2010. With: Adrien de LARRARD.
  4. Order book dynamics in liquid markets: heavy traffic limits and jump-diffusion approximations, 2010. With: Adrien de LARRARD.
  5. Price dynamics in limit order markets: linking volatility with order flow, 2011. With: Adrien de LARRARD.
  6. The price impact of order book events, 2010. With: Arseniy KUKANOV and Sasha STOIKOV.

Credit Risk modeling

  1. Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
  2. Recovering Portfolio Default Intensities Implied by CDO Quotes, 2008. With: Andreea MINCA. To appear in: Mathematical Finance (2011).
  3. Dynamic hedging of portfolio credit derivatives. SIAM Journal of Financial Mathematics, Vol 2 (2011), 112-140. With : Yu Hang KAN.
  4. Credit default swaps and financial stability, Financial Stability Review (Banque de France), No 14, 35-43, July 2010.
  5. 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.
  6. Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis, 2009. To appear in: Quantitative Finance. With: Cathrine Jessen.
  7. 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.
  8. R Cont (ed.) : Frontiers in Quantitative Finance: credit risk and volatility modeling, Wiley, 2008.
  9. R Bruyère, R Cont, R Copinot, C Jaeck, L Féry, T Spitz: Credit Derivatives, Wiley, 2005.

Computational finance: Option pricing and model calibration

  1. Equity correlations implied by index options: estimation and model uncertainty, 2010. With: R Deguest. To appear in: Mathematical Finance.
  2. Recovering Portfolio Default Intensities Implied by CDO Quotes, 2008. With: Andreea MINCA. To appear in: Mathematical Finance (2011).
  3. A reduced basis method for option pricing, SIAM Journal of Financial Mathematics, Vol 2 (2011), 287-316. With: N Lantos and Olivier Pironneau.
  4. 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.
  5. Finite difference methods for option pricing in jump-diffusion and exponential Levy models. SIAM Journal of Numerical Analysis (2006), Vol 43, No. 4,  pp. 1596-1626. With: E Voltchkova.
  6. Recovering volatility from option prices by evolutionary optimization. Journal of Computational Finance (2005), Volume 8, No 3. With: S Ben Hamida.
  7. Retrieving Lévy processes from option prices: regularization of a nonlinear inverse problem. SIAM Journal of Control and Optimization, 45, 1, p 1-25 (2005). With: P Tankov.
  8. Nonparametric calibration of jump-diffusion processes,  Journal of Computational Finance (2004), Vol .7, No 3, pp 1-49. With: P Tankov.
  9. R Cont & P Tankov: Financial modelling with jump processes, Chapman and Hall/ CRC Press, 2003

Complex networks

  1. Small world graphs: characterization and alternative constructions, Advances in Applied Probability, Volume 40, no 4 (December 2008), 939-965. With: E Tanimura.
  2. Network structure and systemic risk in banking systems.  With: Edson Bastos Santos and Amal Moussa.
  3. Resilience to contagion in financial networks, 2010. With: A Minca and H Amini.

Financial Modeling with Jump processes: Lévy processes and integro-differential equations

  1. R Cont & P Tankov: Financial modelling with jump processes, Chapman and Hall/ CRC Press, 2003.
  2. Forward equations for option prices in semimartingale models, 2009. With: Amel Bentata. To appear in: Finance & Stochastics.
  3. A Consistent Pricing Model for Index Options and Volatility Derivatives , 2009. To appear in: Mathematical Finance (2011). With: Thomas Kokholm.
  4. 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.
  5. 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.
  6. Finite difference methods for option pricing in jump-diffusion and exponential Levy models. SIAM Journal of Numerical Analysis (2006), Vol 43, No. 4,  pp. 1596-1626. With: E Voltchkova.
  7. Integrodifferential equations for option prices in exponential Lévy models, Finance & Stochastics, Volume 9, Number 3, pages 299-325 (2005). With: E Voltchkova.
  8. Nonparametric calibration of jump-diffusion processes,  Journal of Computational Finance, Vol .7, No 3, pp 1-49. With: P Tankov.
  9. Option pricing models with jumps: integrodifferential equations and inverse problems.  in: P Neittanmaki et al (Eds.): ECCOMAS 2004. With: E Voltchkova, P Tankov.
  10. Scaling in stock market data: stable laws and beyond, in: B. Dubrulle, F. Graner, D. Sornette (Eds.):Scale invariance and beyond, Springer, 1997.

Quantitative risk management

  1. Loss-based risk measures, 2011. With: Romain DEGUEST and XueDong HE.
  2. Central Clearing of interest rate swaps: a comparison of offerings, 2011. With: YuHua YU and Radu MONDESCU.
  3. Dynamic hedging of portfolio credit derivatives. SIAM Journal for Financial Mathematics, Vol 2 (2011), 112-140. With : Yu Hang KAN.
  4. 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.
  5. Model uncertainty and its impact on derivative instruments. Mathematical Finance, Vol 16, 519-542,  July 2006.

Statistical Modeling of Financial Data

  1. Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
  2. Nonparametric tests for the pathwise properties of semimartingales, Bernoulli, Vol 17, No 2, 781-813 (2011). With: Cecilia Mancini.
  3. 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.
  4. Modeling term structure dynamics: an infinite dimensional approach,  International Journal of Theoretical and Applied Finance, Vol 8, No 3, p 1-24 (2005).
  5. Long range dependence in financial time series, in:  Fractals in Engineering,  E Lutton & J Levy Vehel (Eds.), Springer (2005).
  6. Volatility clustering in financial markets, in:  A Kirman & G Teyssiere (Eds.): Long memory in economics,  Springer (2007), 289-310.
  7. Stochastic models of implied volatility surfaces, Economic Notes, vol. 31, No. 2, 361 - 377 (2002). With: Jose da Fonseca & Valdo Durrleman.
  8. Dynamics of implied volatility surfaces,  Quantitative Finance, Vol 2, No 2, ( 2002 ) 45-60. With: Jose da Fonseca.
  9. Empirical properties of asset returns: stylized facts and statistical issues, in: Quantitative Finance, Vol 1, No 2, (March 2001) 223-236.
  10. 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.
  11. Scaling in stock market data: stable laws and beyond, in: B. Dubrulle, F. Graner, D. Sornette (Eds.):Scale invariance and beyond, Springer, 1997.
  12. Are financial crashes predictable?, Europhysics Letters, Vol. 45, No. 1, pp. 1-5 (1999). With: JP Bouchaud, M Potters and L Laloux.

Endogenous risk: agent-based models and nonlinear dynamics in economics

  1. Running for the exit: short selling and endogenous correlation in financial markets. To appear in: Mathematical Finance. With: Lakshithe Wagalath.
  2. Social distance, heterogeneity and social interactions. Journal of Mathematical Economics, Volume 46, 572-590, 2010. With: Matthias Löwe.
  3. Heterogeneity and feedback in an agent-based market model, Journal of Physics: Condens. Matter 17 (2005) S1259-S1268. With: F Ghoulmie and JP Nadal.
  4. Volatility clustering in financial markets, in:  A Kirman & G Teyssiere (Eds.): Long memory in economics,  Springer (2007), 289-310.
  5. Modeling economic randomness: statistical mechanics of market phenomena, in: M Batchelor, L Wille (Eds.): Statistical Physics in the 21st century, World Scientific: 1998.
  6. "A Langevin approach to stock market fluctuations and crashes", European Physical Journal B 6 (1998) 4, 543-550.
  7. Herd behavior and aggregate fluctuations in speculative markets, Macroeconomic dynamics, Vol. 4, No.2, June 2000 (With: J.P. Bouchaud).

Mathematical finance: other topics

  1. 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.

Articles non-techniques en francais (in French)

  1. La modélisation mathématique des risques financiers (in French) Pour La Science , Dec 2008, p 24-27.
  2. Les statistiques face aux événements extremes (in French) Pour La Science , Dec 2009, 24-27.
  3. La notation de credit des produits structures (in French) Echanges , Dec 2008, 69-72.

Miscellaneous

  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).