Mathematical Institute
Oxford, OX2 6GG
United Kingdom
http://https://www.maths.ox.ac.uk/people/rama.cont
LPSM
Sorbonne University
Paris
France
http://rama.cont.perso.math.cnrs.fr/
University of Oxford
CNRS
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High frequency data, limit order book, financial engineering, Laplace transform
systemic risk, default contagion, network models, macro-prudential regulation, insolvency, bank regulation
limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data
high frequency data, order book, market microstructure, queueing systems, limit order markets, transaction data, trades and quotes, heavy traffic limit, diffusion, price impact, TAQ
levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization
CCP, central clearing, central counterparty, systemic risk, liquidity risk, counterparty risk, default fund, OTC derivatives, collateral requirement, regulation, stress testing
Financial Econometrics, High Frequency Data, Machine Learning, Deep Learning, Price Formation, Market Microstructure, Intraday Data, Limit Order Book
Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models
limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process
limit order book, limit order market, queueing systems, heavy traffic limit, functional central limit theorem, diffusion limit, high-frequency data, market microstructure, point process, limit order market
variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.
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volatility derivatives, jump processes, variance swap, VIX, Levy process, affine processes
interest rate swap, central clearing, convexity, swap futures, price alignment interest, net present value effect
optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation
credit default swaps, credit risk, stylized properties, risk management, autocorrelation, heavy tails, heteroscedasticity, principal component analysis, credit events, loss distribution, Value-at-Risk, expected shortfall, CDS
systemic risk, banking network, stress test, counterparty risk, macro-prudential regulation, complex network, scale-free network
systemic risk, contagion, default, macroprudential regulation, financial stability, random graph, network model, financial networks, interconnectedness, balance-sheet contagion
File name: MAFI.pdf Size: 0K
systemic risk, default contagion, random graphs, interbank network, financial stability, macroprudential regulation
CDO, portfolio credit derivatives, model calibration, default risk, inverse problem
File name: j-9965.pdf Size: 1003K
collateralized debt obligation, duality, portfolio credit derivatives, reduced‐form models, default risk, intensity control, top‐down credit risk models, relative entropy, inverse problem, model calibration, stochastic control
central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act
hedging, portfolio credit derivatives, index default swaps, collateralized debt obligations, top-down credit risk models, default contagion, spread risk, sensitivity-based hedging, risk minimization
fire sales, distressed selling, liquidity, diffusion models, market impact, price impact, correlation, volatility
File name: j-9965.pdf Size: 1026K
systemic risk, feedback effects, volatility, endogenous risk, liquidity, fire resales, realized covariance, quadratic covariation
Implied volatility, volatility risk, risk management, portfolios of options
risk measure, Value at Risk, statistical estimation, robustness
CPDO, credit risk, top down models, credit rating, structured product, credit derivatives
systemic risk, fire sales, financial stability, contagion, macroprudential regulation, financial regulation, capital adequacy, stress testing
fire sales, endogenous risk, systemic risk, liquidity, financial econometrics, correlation, volatility
fire sales, financial contagion, feedback effects, price impact, liquidity, diffusion approximation, diffusion models, correlations, endogenous risk
systemic risk, financial network, credit derivatives, CDS, financial stability, central clearing, CCP, liquidity risk
Jump-diffusion models, integro-differential equations, finite difference methods, Levy process, jump risk, option pricing, viscosity solutions
Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche
Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality
File name: j-9965.pdf Size: 870K
correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality
model uncertainty, Knightian uncertainty, option pricing, model risk, coherent risk measures, convex risk measures
volatility clustering, long range dependence, fractal, fractional Brownian motion, artbitrage, agent-based models
credit risk, portfolio credit derivatives, CDO, derivative pricing, tranche
liquidity, liquidation, deleveraging, fire sales, London Whale, JP Morgan CIO, market impact, risk management, LVaR, liquidity-adusted Value-at-Risk
Option pricing, inverse problems, nonparametric estimation, stochastic modeling, derivatives
probabilistic, option pricing model, observed option prices, stochastic, algorithm, global minima, calibrated models, vanilla
risk measures, robustness, loss-based risk measures, quantile estimation
central clearing, CCP, systemic risk, Dodd-Frank, Basel III, EMIR, OTC markets, default risk, financial stability, regulation
CCP, central clearing, central counterparty, systemic risk, default risk, counterparty risk, default fund, OTC derivatives, mechanism design, regulation, EMIR
Risk-management, Liquidity, Central Counterparties, Central Clearing
Discrete choice models, social interactions, random utility models, aggregation, limit theorems, heterogeneity, externalities
financial econometrics, jumps, exchange rates, high-frequency data, time series
Collateral, Over-the-Counter (OTC) Derivatives, Central Clearing, Liquidity, Financial Markets, Counter Party Risk, Default Risk, Financial Regulation
Option Pricing, PDE, Numerical Methods, PIDE, Jumps, Diffusion Models
arbitrage, pricing rule, martingale, fundamental theorem of asset pricing
Institutional investors, liquidity, endogenous risk, feedback effects, correlation, dependence structure of asset returns
market impact; transaction costs; trade execution; liquidity; volatility
financial stability, price-mediated contagion, macro prudential regulation, systemic risk measurement
limit order book, volatility, market microstructure, liquidity, intraday price dynamics
File name: mafi.pdf Size: 872K
File name: mafi.pdf Size: 204K
Implied volatility, options, volatility risk, stochastic volatility, principal component analysis, random field, factor model
