Rama Cont

University of Oxford

Chair of Mathematical Finance

Mathematical Institute

Oxford, OX2 6GG

United Kingdom

http://https://www.maths.ox.ac.uk/people/rama.cont

SCHOLARLY PAPERS

66

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593

CROSSREF CITATIONS

576

Ideas:
“  Modelling COVID-19 contagion: risk assessment and targeted mitigation policies https://ssrn.com/abstract=3681507  ”

Scholarly Papers (66)

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
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 8,234 (1,042)
Citation 42

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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
University of Oxford, Columbia University and Central Bank of Brazil
Downloads 6,590 (1,538)
Citation 111

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

3.

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
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 6,042 (1,794)
Citation 53

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

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
University of Oxford
Downloads 5,317 (2,183)
Citation 8

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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.

Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

Number of pages: 20 Posted: 16 Mar 2018 Last Revised: 29 Mar 2018
Justin Sirignano and Rama Cont
Imperial College London - Department of Mathematics and University of Oxford
Downloads 4,702 (2,754)
Citation 22

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Financial Econometrics, High Frequency Data, Machine Learning, Deep Learning, Price Formation, Market Microstructure, Intraday Data, Limit Order Book

6.

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
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 4,179 (3,363)
Citation 37

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

7.
Downloads 3,133 ( 5,506)
Citation 7

Central Clearing and Risk Transformation

Norges Bank Working Paper 3/2017
Number of pages: 21 Posted: 20 Apr 2017
Rama Cont
University of Oxford
Downloads 2,028 (10,872)
Citation 8

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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

Forthcoming in Financial Stability Review (Banque de France), 2017
Number of pages: 16 Posted: 21 Feb 2017 Last Revised: 01 Mar 2017
Rama Cont
University of Oxford
Downloads 1,105 (27,559)

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

8.

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
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 2,634 (7,258)
Citation 13

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

9.

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
University of Oxford and Université Paris VII Denis Diderot
Downloads 2,502 (7,880)
Citation 27

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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

10.

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
University of Oxford and Université Paris VII Denis Diderot
Downloads 2,430 (8,247)
Citation 36

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

11.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Rama Cont
University of Oxford
Downloads 2,303 (8,955)
Citation 5

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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 2,201 (9,465)

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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 3 (901,962)
Citation 12

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

13.

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
University of Oxford, DRW Trading Group and DRW Trading Group
Downloads 2,131 (10,198)
Citation 5

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

14.

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
University of Oxford and Tower Research Capital, LLC
Downloads 1,847 (12,851)
Citation 10

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

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
University of Oxford and Bloomberg Tradebook
Downloads 1,816 (13,216)
Citation 27

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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.
Downloads 1,546 ( 16,986)
Citation 44

Fire Sales, Indirect Contagion and Systemic Stress Testing

Number of pages: 50 Posted: 30 Nov 2016 Last Revised: 20 Jun 2017
University of Oxford and Norges BankEuropean Systemic Risk Board - EUROPEAN SYSTEMIC RISK BOARD
Downloads 1,380 (19,762)
Citation 10

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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
University of Oxford and Norges BankEuropean Systemic Risk Board - EUROPEAN SYSTEMIC RISK BOARD
Downloads 166 (249,198)
Citation 45

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17.

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
Georgia State University, University of Oxford and Cornell University
Downloads 1,489 (17,957)
Citation 9

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

18.

Trade Duration, Volatility and Market Impact

Number of pages: 33 Posted: 08 Apr 2019 Last Revised: 17 Apr 2019
Francesco Capponi and Rama Cont
Imperial College London and University of Oxford
Downloads 1,470 (18,294)
Citation 7

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market impact; transaction costs; trade execution; liquidity; volatility

19.
Downloads 1,449 ( 18,693)
Citation 57

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
Georgia State University, University of Oxford and Cornell University
Downloads 1,446 (18,399)
Citation 3

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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
Georgia State University, University of Oxford and Cornell University
Downloads 3 (901,962)
Citation 25

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

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Number of pages: 20 Posted: 14 Mar 2013
Rama Cont and Thomas Kokholm
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 1,330 (20,912)
Citation 27

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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 74 (439,803)
Citation 4

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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
University of Oxford and Cornell University
Downloads 1,354 (20,342)
Citation 20

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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
University of Oxford and Cornell University
Downloads 2 (916,852)
Citation 1

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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

22.

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

Number of pages: 32 Posted: 10 Feb 1998
Capital Fund Management, Credit Suisse First Boston Fixed Income Research, University of Oxford, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund ManagementCapital Fund Management
Downloads 1,345 (20,910)
Citation 2

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23.

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
University of Oxford and Bloomberg Tradebook
Downloads 1,229 (23,944)
Citation 26

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

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
University of Oxford and IESEG School of Management
Downloads 1,222 (23,774)
Citation 3

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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
University of Oxford and IESEG School of Management
Downloads 2 (916,852)
Citation 6

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

25.

Herd Behavior and Aggregate Fluctuations in Financial Markets

Number of pages: 30 Posted: 10 Feb 1998
Rama Cont and Jean-Philippe Bouchaud
University of Oxford and Capital Fund Management
Downloads 1,169 (25,754)
Citation 10

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26.

Stochastic Models of Implied Volatility Surfaces

Number of pages: 16 Posted: 28 Apr 2003
University of Oxford, Princeton University - Department of Operations Research and Financial Engineering and Auckland University of Technology - Faculty of Business & Law
Downloads 1,147 (26,454)
Citation 5

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

27.

Scaling in Stock Market Data: Stable Laws and Beyond

Number of pages: 11 Posted: 28 Nov 1997
University of Oxford, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 1,029 (30,952)
Citation 12

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28.

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
University of Oxford, IESEG School of Management and University of Verona - Department of Economics
Downloads 1,020 (31,341)
Citation 42

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risk measure, Value at Risk, statistical estimation, robustness

29.

Rough Volatility: Fact or Artefact?

Number of pages: 31 Posted: 03 May 2022
Rama Cont and Purba Das
University of Oxford and University of Oxford
Downloads 1,006 (31,985)

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volatility, fractional processes, continuous-time models, realized volatility

30.

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Number of pages: 39 Posted: 22 Apr 2019 Last Revised: 15 Jan 2021
University of Oxford and 2Xideas2Xideas
Downloads 997 (32,347)
Citation 1

Abstract:

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limit order book, volatility, market microstructure, liquidity, intraday price dynamics

31.

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
University of Oxford and Copenhagen Business School - Department of Finance
Downloads 988 (32,764)
Citation 2

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

32.
Downloads 963 ( 33,973)
Citation 35

Fire Sales Forensics: Measuring Endogenous Risk

Number of pages: 37 Posted: 04 May 2012 Last Revised: 05 Feb 2013
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 962 (33,551)
Citation 7

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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
University of Oxford and IESEG School of Management
Downloads 1 (933,540)
Citation 19

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

33.

Credit Default Swaps and Systemic Risk

Number of pages: 24 Posted: 29 Aug 2014 Last Revised: 03 Nov 2014
Rama Cont and Andreea Minca
University of Oxford and Cornell University
Downloads 939 (35,263)
Citation 19

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

34.

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
University of Oxford and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 915 (36,567)
Citation 40

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

35.

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

Number of pages: 21 Posted: 29 May 2009
Rama Cont
University of Oxford
Downloads 900 (37,406)
Citation 20

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

36.

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

Number of pages: 39 Posted: 13 Aug 2009 Last Revised: 14 Nov 2012
University of Oxford, IESEG School of Management and Bloomberg Tradebook
Downloads 824 (42,257)
Citation 6

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

37.

Risk Management for Whales

Number of pages: 7 Posted: 29 Feb 2016 Last Revised: 19 May 2016
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 789 (44,740)
Citation 5

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

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

Number of pages: 35 Posted: 19 Apr 2010
Rama Cont and Romain Deguest
University of Oxford and IESEG School of Management
Downloads 788 (44,203)
Citation 2

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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
University of Oxford and IESEG School of Management
Downloads 0
Citation 2

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

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
University of Oxford
Downloads 558 (69,316)
Citation 19

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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
University of Oxford
Downloads 229 (186,309)

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

40.

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
University of Oxford
Downloads 765 (46,593)
Citation 41

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

41.

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
University of Oxford and Merrill Lynch & Co. - Merrill Lynch, UK
Downloads 733 (49,360)
Citation 6

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

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
University of Oxford and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 669 (54,941)
Citation 10

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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 University of Oxford

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

43.

Modelling COVID-19 Contagion: Risk Assessment and Targeted Mitigation Policies

Number of pages: 62 Posted: 02 Sep 2020
Rama Cont, Artur Kotlicki and Renyuan Xu
University of Oxford, University of Oxford - Mathematical Institute and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 655 (57,170)
Citation 1

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epidemic modeling, COVID-19, coronavirus, compartmental models, SIR model, stochastic epidemic model

44.

Excursion Risk

Number of pages: 36 Posted: 16 Nov 2020
Anna Ananova, Rama Cont and Renyuan Xu
University of Oxford, University of Oxford and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 642 (58,672)

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excursion theory, mathematical finance, statistical arbitrage, model risk, Markov process, mean-reversion strategy, drawdown risk.

45.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
University of Oxford, IESEG School of Management and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 636 (59,370)
Citation 4

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

46.

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 University of Oxford
Downloads 548 (71,888)
Citation 7

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Risk-management, Liquidity, Central Counterparties, Central Clearing

47.

Price Impact of Order Flow Imbalance: Multi-level, Cross-asset and Forecasting

Number of pages: 40 Posted: 27 Dec 2021 Last Revised: 23 Feb 2022
Rama Cont, Mihai Cucuringu and Chao Zhang
University of Oxford, University of Oxford - Department of Statistics and University of Oxford - Department of Statistics
Downloads 545 (72,188)

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Order flow imbalance, Price impact, Cross impact, LASSO, PCA, Return prediction.

Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity

Number of pages: 38 Posted: 21 Jun 2019 Last Revised: 28 Jan 2020
University of Oxford, University of Oxford - Mathematical Institute and International Monetary Fund - Monetary and Capital Markets Department
Downloads 442 (92,169)
Citation 2

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stress testing; banking supervision; liquidity; liquidity regulation; banking regulation; solvency

Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity

IMF Working Paper No. 20/82
Number of pages: 40 Posted: 23 Jul 2020
University of Oxford, University of Oxford - Mathematical Institute and International Monetary Fund - Monetary and Capital Markets Department
Downloads 79 (423,516)

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49.

Margin Requirements for Non-Cleared Derivatives

Number of pages: 19 Posted: 11 May 2018 Last Revised: 20 May 2018
Rama Cont
University of Oxford
Downloads 470 (86,499)
Citation 13

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Collateral, Over-the-Counter (OTC) Derivatives, Central Clearing, Liquidity, Financial Markets, Counter Party Risk, Default Risk, Financial Regulation

50.

Multi-Asset Market Impact and Order Flow Commonality

Number of pages: 23 Posted: 12 Jan 2021
Francesco Capponi and Rama Cont
Imperial College London and University of Oxford
Downloads 454 (90,126)
Citation 1

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market impact, cross-impact, liquidity, volatility

51.

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
University of Oxford and University of Muenster - Fachbereich Mathematik
Downloads 403 (103,428)
Citation 5

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

52.

Analysis and Modeling of Client Order Flow in Limit Order Markets

Number of pages: 32 Posted: 28 Feb 2022
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
Downloads 317 (134,739)

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Limit order books, order flow, heterogeneous order flow, unsupervised learning, clustering, time series, machine learning

53.

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
University of Oxford and University of Verona - Department of Economics
Downloads 309 (138,464)
Citation 14

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

54.

A Reduced Basis for Option Pricing

Number of pages: 30 Posted: 01 Oct 2010 Last Revised: 20 Dec 2014
University of Oxford, affiliation not provided to SSRN and Université Paris VI Pierre et Marie Curie
Downloads 269 (159,658)
Citation 3

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

55.

Monitoring Indirect Contagion

Journal of Banking and Finance, Vol. 104, 2019
Number of pages: 46 Posted: 27 Jun 2018 Last Revised: 08 Jun 2019
University of Oxford and Norges BankEuropean Systemic Risk Board - EUROPEAN SYSTEMIC RISK BOARD
Downloads 252 (170,383)
Citation 14

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financial stability, price-mediated contagion, macro prudential regulation, systemic risk measurement

56.

Model-Free Representation of Pricing Rules as Conditional Expectations

Number of pages: 16 Posted: 30 Mar 2009
Sara Biagini and Rama Cont
LUISS University and University of Oxford
Downloads 239 (179,299)

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

57.

Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation

Number of pages: 45 Posted: 16 Mar 2022
University of Oxford, University of Oxford - Department of Statistics, University of Oxford - Department of Statistics and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 205 (208,101)

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Scenario Simulation, Generative Adversarial Network (GAN), Time Series, Expected Shortfall, Value at Risk, Dynamic Strategies.

58.

Interbank lending with benchmark rates: Pareto Optima for a Class of Singular Control Games

Number of pages: 32 Posted: 29 Jan 2021 Last Revised: 24 May 2021
Rama Cont, Xin Guo and Renyuan Xu
University of Oxford, University of California, Berkeley - Department of Industrial Engineering and Operations Research and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 182 (230,218)

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stochastic differential games, Pareto optimum, LIBOR, benchmark rates, interbank market

59.

Institutional Investors and the Dependence Structure of Asset Returns

Number of pages: 35 Posted: 28 Feb 2014
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 164 (251,400)
Citation 5

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

60.

Dynamics of Market Making Algorithms in Dealer Markets: Learning and Tacit Collusion

Number of pages: 38 Posted: 08 Jun 2022
Rama Cont and Wei Xiong
University of Oxford and University of Oxford
Downloads 147 (274,930)

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Market microstructure, intensity control, differential games, reinforcement learning, market making, tacit collusion, Nash equilibrium, multi-agent actor-critic algorithm, decentralized learning

61.

Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks

Number of pages: 32 Posted: 27 Apr 2022
Rama Cont, Alain Rossier and Renyuan Xu
University of Oxford, University of Oxford - Mathematical Institute and University of Southern California - Epstein Department of Industrial & Systems Engineering
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Neural Network, Residual Network, Deep Learning, Gradient Descent, Implicit Regularization

62.

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
University of Oxford
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63.

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
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 4 (853,945)
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64.

Dynamics of Implied Volatility Surfaces

Posted: 11 Jan 2002
Rama Cont and José Da Fonseca
University of Oxford and Auckland University of Technology - Faculty of Business & Law

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

65.

Beyond Implied Volatility: Extracting Information from Option Prices

Posted: 01 Sep 1998
Rama Cont
University of Oxford

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66.

Financial Markets as Adaptive Ecosystems

Posted: 17 Oct 1996
Capital Fund ManagementCapital Fund Management, University of Oxford and Capital Fund Management

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