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Rama Cont

Imperial College London

Chair of Mathematical Finance

London, SW7 2AZ

United Kingdom

http://www3.imperial.ac.uk/people/r.cont

CNRS

Laboratoire de Probabilites & Modeles aleatoires

Universite Pierre & Marie Curie (Paris VI)

Paris, 75252

France

http://rama.cont.perso.math.cnrs.fr/

Norges Bank Research

P.O. Box 1179

Oslo, N-0107

Norway

SCHOLARLY PAPERS

50

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Rank 129

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Top 129

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63,266

CITATIONS
Rank 1,348

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Top 1,348

in Total Papers Citations

413

Scholarly Papers (50)

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1.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Rama Cont, Sasha Stoikov and Rishi Talreja
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 6,055 (641)
Citation 15

Abstract:

High frequency data, limit order book, financial engineering, Laplace transform

2.

Network Structure and Systemic Risk in Banking Systems

Number of pages: 41 Posted: 02 Feb 2011 Last Revised: 25 Apr 2012
Rama Cont, Amal Moussa and Edson Bastos e Santos
Imperial College London, Columbia University and Central Bank of Brazil
Downloads 3,734 (1,166)
Citation 16

Abstract:

systemic risk, default contagion, network models, macro-prudential regulation, insolvency, bank regulation

3.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,505 (1,880)
Citation 27

Abstract:

levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization

4.

Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges

Number of pages: 12 Posted: 26 Jan 2011 Last Revised: 15 Mar 2011
Rama Cont
Imperial College London
Downloads 3,325 (1,628)
Citation 6

Abstract:

high frequency data, order book, market microstructure, queueing systems, limit order markets, transaction data, trades and quotes, heavy traffic limit, diffusion, price impact, TAQ

5.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Rama Cont, Arseniy Kukanov and Sasha Stoikov
Imperial College London, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 3,158 (1,564)
Citation 15

Abstract:

limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data

6.

Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2007-10
Number of pages: 27 Posted: 15 Oct 2007
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Downloads 2,328 (4,029)
Citation 16

Abstract:

Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models

7.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Rama Cont
Imperial College London
Downloads 2,178 (4,724)
Citation 2

Abstract:

8.

A Consistent Pricing Model for Index Options and Volatility Derivatives

Downloads 1,944 ( 5,887)
Citation 12

A Consistent Pricing Model for Index Options and Volatility Derivatives

Number of pages: 33 Posted: 19 Sep 2009 Last Revised: 26 Dec 2010
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 1,943 (5,761)
Citation 12

Abstract:

variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.

A Consistent Pricing Model for Index Options and Volatility Derivatives

Mathematical Finance, Vol. 23, Issue 2, pp. 248-274, 2013
Number of pages: 27 Posted: 06 Mar 2013
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 1 (579,951)
Citation 12
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Abstract:

volatility derivatives, jump processes, variance swap, VIX, Levy process, affine processes

9.

Price Dynamics in a Markovian Limit Order Market

Number of pages: 23 Posted: 07 Jan 2011 Last Revised: 28 Mar 2012
Rama Cont and Adrien de Larrard
Imperial College London and Université Paris VII Denis Diderot
Downloads 1,901 (5,053)
Citation 9

Abstract:

limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process

10.

Central Clearing of Interest Rate Swaps: A Comparison of Offerings

Number of pages: 25 Posted: 14 Mar 2011
Rama Cont, Radu Paul Mondescu and Yuhua Yu
Imperial College London, DRW Trading Group and DRW Trading Group
Downloads 1,569 (6,457)
Citation 1

Abstract:

interest rate swap, central clearing, convexity, swap futures, price alignment interest, net present value effect

11.

Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations

Number of pages: 40 Posted: 20 Feb 2012 Last Revised: 05 Oct 2012
Rama Cont and Adrien de Larrard
Imperial College London and Université Paris VII Denis Diderot
Downloads 1,427 (6,043)
Citation 2

Abstract:

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

12.

Resilience to Contagion in Financial Networks

Downloads 1,321 ( 11,286)
Citation 8

Resilience to Contagion in Financial Networks

Number of pages: 40 Posted: 19 Jun 2011 Last Revised: 06 Oct 2012
Hamed Amini, Rama Cont and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne, Imperial College London and Cornell University
Downloads 1,321 (11,059)
Citation 8

Abstract:

systemic risk, contagion, default, macroprudential regulation, financial stability, random graph, network model, financial networks, interconnectedness, balance-sheet contagion

Resilience to Contagion in Financial Networks

Mathematical Finance, Vol. 26, Issue 2, pp. 329-365, 2016
Number of pages: 37 Posted: 10 Mar 2016
Hamed Amini, Rama Cont and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne, Imperial College London and Cornell University
Downloads 0
Citation 8
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Abstract:

systemic risk, default contagion, random graphs, interbank network, financial stability, macroprudential regulation

13.

Recovering Portfolio Default Intensities Implied by CDO Quotes

Downloads 1,309 ( 11,444)
Citation 16

Recovering Portfolio Default Intensities Implied by CDO Quotes

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-01
Number of pages: 32 Posted: 13 Mar 2008 Last Revised: 02 Oct 2010
Rama Cont and Andreea Minca
Imperial College London and Cornell University
Downloads 1,308 (11,218)
Citation 16

Abstract:

CDO, portfolio credit derivatives, model calibration, default risk, inverse problem

Recovering Portfolio Default Intensities Implied by CDO Quotes

Mathematical Finance, Vol. 23, Issue 1, pp. 94-121, 2013
Number of pages: 28 Posted: 10 Jan 2013
Rama Cont and Andreea Minca
Imperial College London and Cornell University
Downloads 1 (579,951)
Citation 16
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Abstract:

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

14.

Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations

Number of pages: 32 Posted: 10 Feb 1998
Jean-Philippe Bouchaud, Nicholas Sagna, Rama Cont, Nicole El Karoui and Marc Potters
Capital Fund Management, Credit Suisse First Boston Fixed Income Research, Imperial College London, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 1,236 (11,944)
Citation 5

Abstract:

15.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011
Rama Cont and Yu Hang (Gabriel) Kan
Imperial College London and Bloomberg Tradebook
Downloads 1,191 (9,030)
Citation 1

Abstract:

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

16.

Stress Testing the Resilience of Financial Networks

Number of pages: 19 Posted: 25 Dec 2010 Last Revised: 28 Dec 2010
Hamed Amini, Rama Cont and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne, Imperial College London and Cornell University
Downloads 1,175 (10,980)
Citation 9

Abstract:

systemic risk, banking network, stress test, counterparty risk, macro-prudential regulation, complex network, scale-free network

17.

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Downloads 1,160 ( 13,866)
Citation 2

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Number of pages: 20 Posted: 14 Mar 2013
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 1,112 (14,500)
Citation 2

Abstract:

central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 19 Posted: 06 Sep 2012
Rama Cont and Thomas Kokholm
Imperial College London and School of Business and Social Sciences, Aarhus University
Downloads 48 (342,894)
Citation 2

Abstract:

18.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Rama Cont and Arseniy Kukanov
Imperial College London and AQR Capital Management, LLC
Downloads 1,119 (8,855)
Citation 1

Abstract:

optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation

19.

Dynamic Hedging of Portfolio Credit Derivatives

Number of pages: 27 Posted: 26 Feb 2009 Last Revised: 07 Dec 2009
Rama Cont and Yu Hang (Gabriel) Kan
Imperial College London and Bloomberg Tradebook
Downloads 1,115 (13,931)
Citation 8

Abstract:

hedging, portfolio credit derivatives, index default swaps, collateralized debt obligations, top-down credit risk models, default contagion, spread risk, sensitivity-based hedging, risk minimization

20.

Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets

Downloads 1,040 ( 16,374)
Citation 4

Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets

Number of pages: 29 Posted: 23 Jan 2011 Last Revised: 29 May 2013
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Downloads 1,040 (16,069)
Citation 4

Abstract:

fire sales, distressed selling, liquidity, diffusion models, market impact, price impact, correlation, volatility

Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets

Mathematical Finance, Vol. 23, Issue 4, pp. 718-741, 2013
Number of pages: 24 Posted: 06 Aug 2013
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Downloads 0
Citation 4
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Abstract:

systemic risk, feedback effects, volatility, endogenous risk, liquidity, fire resales, realized covariance, quadratic covariation

21.

Herd Behavior and Aggregate Fluctuations in Financial Markets

Number of pages: 30 Posted: 10 Feb 1998
Rama Cont and Jean-Philippe Bouchaud
Imperial College London and Capital Fund Management
Downloads 1,006 (15,930)
Citation 35

Abstract:

22.

Stochastic Models of Implied Volatility Surfaces

Economic Notes, Vol. 31, No. 2, July 2002
Number of pages: 16 Posted: 28 Apr 2003
Rama Cont, Valdo Durrleman and José Da Fonseca
Imperial College London, Princeton University - Department of Operations Research and Financial Engineering and Auckland University of Technology - Faculty of Business & Law
Downloads 979 (16,565)
Citation 43

Abstract:

Implied volatility, volatility risk, risk management, portfolios of options

23.

Scaling in Stock Market Data: Stable Laws and Beyond

Number of pages: 11 Posted: 28 Nov 1997
Rama Cont, Marc Potters and Jean-Philippe Bouchaud
Imperial College London, Capital Fund Management and Capital Fund Management
Downloads 936 (18,229)
Citation 22

Abstract:

24.

Robustness and Sensitivity Analysis of Risk Measurement Procedures

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2007-06
Number of pages: 33 Posted: 24 Jan 2008 Last Revised: 19 Apr 2010
Rama Cont, Romain Deguest and Giacomo Scandolo
Imperial College London, Fundvisory and University of Verona - Department of Economics
Downloads 878 (19,113)
Citation 7

Abstract:

risk measure, Value at Risk, statistical estimation, robustness

25.

Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis

Number of pages: 34 Posted: 08 May 2009 Last Revised: 14 Nov 2010
Rama Cont and Cathrine Jessen
Imperial College London and Copenhagen Business School - Department of Finance
Downloads 854 (19,613)
Citation 3

Abstract:

CPDO, credit risk, top down models, credit rating, structured product, credit derivatives

26.

Fire Sales Forensics: Measuring Endogenous Risk

Downloads 815 ( 23,573)
Citation 1

Fire Sales Forensics: Measuring Endogenous Risk

Number of pages: 37 Posted: 04 May 2012 Last Revised: 05 Feb 2013
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Downloads 815 (23,175)
Citation 1

Abstract:

fire sales, endogenous risk, systemic risk, liquidity, financial econometrics, correlation, volatility

Fire Sales Forensics: Measuring Endogenous Risk

Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Number of pages: 32 Posted: 20 Sep 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Downloads 0
Citation 1
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Abstract:

fire sales, financial contagion, feedback effects, price impact, liquidity, diffusion approximation, diffusion models, correlations, endogenous risk

27.

A Finite Difference Scheme for Option Pricing in Jump-diffusion and Exponential Levy Models

Ecole Polytechnique Rapport Interne CMAP Working Paper No. 513
Number of pages: 39 Posted: 02 Jan 2004
Rama Cont and Ekaterina Voltchkova
Imperial College London and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 790 (23,914)
Citation 20

Abstract:

Jump-diffusion models, integro-differential equations, finite difference methods, Levy process, jump risk, option pricing, viscosity solutions

28.

Default Intensities implied by CDO Spreads: Inversion Formula and Model Calibration

Number of pages: 39 Posted: 13 Aug 2009 Last Revised: 14 Nov 2012
Rama Cont, Romain Deguest and Yu Hang (Gabriel) Kan
Imperial College London, Fundvisory and Bloomberg Tradebook
Downloads 760 (24,471)
Citation 1

Abstract:

Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche

29.

Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

Downloads 728 ( 27,685)
Citation 1

Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

Number of pages: 35 Posted: 19 Apr 2010
Rama Cont and Romain Deguest
Imperial College London and Fundvisory
Downloads 728 (27,235)
Citation 1

Abstract:

Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

Mathematical Finance, Vol. 23, Issue 3, pp. 496-530, 2013
Number of pages: 35 Posted: 09 Jun 2013
Rama Cont and Romain Deguest
Imperial College London and Fundvisory
Downloads 0
Citation 1
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Abstract:

correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

30.

Forward Equations for Portfolio Credit Derivatives

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-05
Number of pages: 22 Posted: 25 Apr 2008
Rama Cont and Ioana A. Savescu
Imperial College London and Merrill Lynch & Co. - Merrill Lynch, UK
Downloads 666 (29,671)
Citation 5

Abstract:

credit risk, portfolio credit derivatives, CDO, derivative pricing, tranche

31.

Model Uncertainty and its Impact on the Pricing of Derivative Instruments

Finance Concepts Working Paper FC-04-02
Number of pages: 35 Posted: 09 Jul 2004
Rama Cont
Imperial College London
Downloads 588 (31,849)
Citation 33

Abstract:

model uncertainty, Knightian uncertainty, option pricing, model risk, coherent risk measures, convex risk measures

32.

Recovering Volatility from Option Prices by Evolutionary Optimization

Downloads 585 ( 37,217)
Citation 1

Recovering Volatility from Option Prices by Evolutionary Optimization

Finance Concepts Working Paper No. 04-01
Number of pages: 34 Posted: 16 May 2004
Rama Cont and Sana Ben Hamida
Imperial College London and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 585 (36,653)
Citation 1

Abstract:

Option pricing, inverse problems, nonparametric estimation, stochastic modeling, derivatives

Recovering Volatility from Option Prices by Evolutionary Optimization

Journal of Computational Finance, Vol. 8, No. 4, Summer 2005
Posted: 08 Nov 2005
Sana Ben Hamida and Rama Cont
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London

Abstract:

probabilistic, option pricing model, observed option prices, stochastic, algorithm, global minima, calibrated models, vanilla

33.

Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models.

Number of pages: 21 Posted: 29 May 2009
Rama Cont
Imperial College London
Downloads 565 (33,873)
Citation 7

Abstract:

volatility clustering, long range dependence, fractal, fractional Brownian motion, artbitrage, agent-based models

34.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
Imperial College London, Fundvisory and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 537 (36,722)
Citation 1

Abstract:

risk measures, robustness, loss-based risk measures, quantile estimation

35.

The End of the Waterfall: Default Resources of Central Counterparties

Downloads 484 ( 47,441)

The End of the Waterfall: Default Resources of Central Counterparties

Number of pages: 41 Posted: 27 Apr 2015 Last Revised: 23 May 2015
Rama Cont
Imperial College London
Downloads 362 (66,929)

Abstract:

central clearing, CCP, systemic risk, Dodd-Frank, Basel III, EMIR, OTC markets, default risk, financial stability, regulation

The End of the Waterfall: Default Resources of Central Counterparties

Norges Bank Working Paper 16/2015
Number of pages: 46 Posted: 13 Jan 2016
Rama Cont
Imperial College London
Downloads 122 (195,168)

Abstract:

CCP, central clearing, central counterparty, systemic risk, default risk, counterparty risk, default fund, OTC derivatives, mechanism design, regulation, EMIR

36.

Fire Sales, Indirect Contagion and Systemic Stress Testing

Downloads 480 ( 48,067)

Fire Sales, Indirect Contagion and Systemic Stress Testing

Number of pages: 50 Posted: 30 Nov 2016 Last Revised: 20 Jun 2017
Rama Cont and Eric Finn Schaanning
Imperial College London and Norges Bank
Downloads 424 (55,529)

Abstract:

systemic risk, fire sales, financial stability, contagion, macroprudential regulation, financial regulation, capital adequacy, stress testing

Fire Sales, Indirect Contagion and Systemic Stress Testing

Norges Bank Working Paper 02/2017
Number of pages: 52 Posted: 20 Apr 2017
Rama Cont and Eric Finn Schaanning
Imperial College London and Norges Bank
Downloads 56 (318,519)

Abstract:

37.

Credit Default Swaps and Systemic Risk

Number of pages: 24 Posted: 29 Aug 2014 Last Revised: 03 Nov 2014
Rama Cont and Andreea Minca
Imperial College London and Cornell University
Downloads 469 (26,875)

Abstract:

systemic risk, financial network, credit derivatives, CDS, financial stability, central clearing, CCP, liquidity risk

38.

Central Clearing and Risk Transformation

Downloads 407 ( 58,798)

Central Clearing and Risk Transformation

Forthcoming in Financial Stability Review (Banque de France), 2017
Number of pages: 16 Posted: 21 Feb 2017 Last Revised: 01 Mar 2017
Rama Cont
Imperial College London
Downloads 317 (78,137)

Abstract:

CCP, central clearing, central counterparty, systemic risk, liquidity risk, counterparty risk, default fund, OTC derivatives, collateral requirement, regulation, stress testing

Central Clearing and Risk Transformation

Norges Bank Working Paper 3/2017
Number of pages: 21 Posted: 20 Apr 2017
Rama Cont
Imperial College London
Downloads 90 (242,631)

Abstract:

CCP, central clearing, central counterparty, systemic risk, liquidity risk, counterparty risk, default fund, OTC derivatives, collateral requirement, regulation, stress testing

39.

Social Distance, Heterogeneity and Social Interactions

CMAP, Ecole Polytechnique, Rapport Interne Working Paper No. 505
Number of pages: 29 Posted: 06 Aug 2003
Rama Cont and Matthias Löwe
Imperial College London and University of Muenster - Fachbereich Mathematik
Downloads 374 (64,005)

Abstract:

Discrete choice models, social interactions, random utility models, aggregation, limit theorems, heterogeneity, externalities

40.

Nonparametric Tests for Analyzing the Fine Structure of Price Fluctuations

Columbia University Financial Engineering Report No. 2007-13
Number of pages: 35 Posted: 11 Jan 2008 Last Revised: 30 May 2014
Rama Cont and Cecilia Mancini
Imperial College London and University of Florence - Department of management and economics
Downloads 263 (93,017)
Citation 9

Abstract:

financial econometrics, jumps, exchange rates, high-frequency data, time series

41.

A Reduced Basis for Option Pricing

Number of pages: 30 Posted: 01 Oct 2010 Last Revised: 20 Dec 2014
Rama Cont, Nicolas Lantos and Olivier Pironneau
Imperial College London, affiliation not provided to SSRN and Université Paris VI Pierre et Marie Curie
Downloads 224 (106,470)
Citation 2

Abstract:

Option Pricing, PDE, Numerical Methods, PIDE, Jumps, Diffusion Models

42.

Model-Free Representation of Pricing Rules as Conditional Expectations

Number of pages: 16 Posted: 30 Mar 2009
Sara Biagini and Rama Cont
University of Pisa and Imperial College London
Downloads 200 (120,007)

Abstract:

arbitrage, pricing rule, martingale, fundamental theorem of asset pricing

43.

Close-Out Risk Evaluation (CORE): A New Risk Management Approach for Central Counterparties

Number of pages: 46 Posted: 11 Apr 2013 Last Revised: 28 May 2013
Marco Avellaneda and Rama Cont
New York University (NYU) - Courant Institute of Mathematical Sciences and Imperial College London
Downloads 174 (75,246)

Abstract:

Risk-management, Liquidity, Central Counterparties, Central Clearing

44.

Institutional Investors and the Dependence Structure of Asset Returns

Number of pages: 35 Posted: 28 Feb 2014
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Downloads 102 (178,452)

Abstract:

Institutional investors, liquidity, endogenous risk, feedback effects, correlation, dependence structure of asset returns

45.

Model Uncertanity and its Impact on the Pricing of Derivative Instruments

Mathematical Finance, Vol. 16, No. 3, pp. 519-547, July 2006
Number of pages: 29 Posted: 12 Jun 2006
Rama Cont
Imperial College London
Downloads 28 (400,536)
Citation 31
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Abstract:

46.

Constant Proportion Portfolio Insurance in the Presence of Jumps in Asset Prices

Mathematical Finance, Vol. 19, Issue 3, pp. 379-401, July 2009
Number of pages: 23 Posted: 30 Jun 2009
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Downloads 3 (534,385)
Citation 16
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Abstract:

47.

Risk Management for Whales

Number of pages: 7 Posted: 29 Feb 2016 Last Revised: 19 May 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Downloads 0 (55,557)

Abstract:

liquidity, liquidation, deleveraging, fire sales, London Whale, JP Morgan CIO, market impact, risk management, LVaR, liquidity-adusted Value-at-Risk

48.

Dynamics Of Implied Volatility Surfaces

Quantitative Finance, Vol. 2, No. 1, 2002
Posted: 11 Jan 2002
Rama Cont and José Da Fonseca
Imperial College London and Auckland University of Technology - Faculty of Business & Law

Abstract:

Implied volatility, options, volatility risk, stochastic volatility, principal component analysis, random field, factor model

49.

Beyond Implied Volatility: Extracting Information From Option Prices

Posted: 01 Sep 1998
Rama Cont
Imperial College London

Abstract:

50.

Financial Markets as Adaptive Ecosystems

Posted: 17 Oct 1996
Marc Potters, Rama Cont and Jean-Philippe Bouchaud
Capital Fund Management, Imperial College London and Capital Fund Management

Abstract:

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