Rama Cont

University of Oxford

Chair of Mathematical Finance

Mathematical Institute

Oxford, OX2 6GG

United Kingdom

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

SCHOLARLY PAPERS

75

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Rank 161

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Top 161

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115,449

SSRN CITATIONS
Rank 1,271

SSRN RANKINGS

Top 1,271

in Total Papers Citations

836

CROSSREF CITATIONS

468

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

Scholarly Papers (75)

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 9,045 (1,273)
Citation 42

Abstract:

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

2.

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 7,443 (1,768)
Citation 94

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

3.

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 7,225 (1,863)
Citation 111

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

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 5,824 (2,667)
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 5,321 (3,141)
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 4,499 (4,212)
Citation 45

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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 3,415 ( 6,646)
Citation 8

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 2,184 (13,236)
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 1,231 (31,841)

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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 2,773 (9,198)
Citation 14

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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 2,714 (9,523)
Citation 29

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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 2,563 (10,440)
Citation 46

Abstract:

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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 2,393 (11,655)
Citation 5

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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
University of Oxford and School of Business and Social Sciences, Aarhus University
Downloads 2,331 (12,152)
Citation 3

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

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 2,224 (13,125)
Citation 5

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

14.

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 2,181 (13,521)
Citation 11

Abstract:

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

15.

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 2,052 (14,867)
Citation 10

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

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 Schaanning
University of Oxford and UBS AG
Downloads 1,731 (19,091)
Citation 11

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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
Rama Cont and Eric Schaanning
University of Oxford and UBS AG
Downloads 273 (209,050)
Citation 45

Abstract:

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17.

Simulation of Arbitrage-Free Implied Volatility Surfaces

Number of pages: 33 Posted: 10 Jan 2023 Last Revised: 26 Jun 2023
Rama Cont and Milena Vuletić
University of Oxford and University of Oxford
Downloads 1,993 (15,554)
Citation 1

Abstract:

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Implied volatility, scenario simulation, volatility modeling, risk management, factor models, arbitrage

18.

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 1,960 (15,933)
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

19.

VolGAN: a generative model for arbitrage-free implied volatility surfaces

Number of pages: 32 Posted: 28 Nov 2023 Last Revised: 21 Dec 2023
Milena Vuletić and Rama Cont
University of Oxford and University of Oxford
Downloads 1,746 (19,239)
Citation 1

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GAN, generative models, implied volatility, simulation, arbitrage, option markets, VIX

20.

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
University of Florida, University of Oxford and Cornell University
Downloads 1,584 (22,284)
Citation 9

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

21.

Rough Volatility: Fact or Artefact?

Number of pages: 29 Posted: 03 May 2022 Last Revised: 16 Jan 2024
Rama Cont and Purba Das
University of Oxford and University of Oxford
Downloads 1,578 (22,422)
Citation 7

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volatility, fractional processes, continuous-time models, realized volatility, hypothesis testing, high-frequency data, financial econometrics

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 1,414 (25,959)
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 148 (368,074)
Citation 4

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23.

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
University of Florida, University of Oxford and Cornell University
Downloads 1,528 (23,527)
Citation 33

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

24.

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 1,431 (25,952)
Citation 22

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

25.

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 1,420 (26,265)
Citation 3

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26.

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 1,331 (28,821)
Citation 3

Abstract:

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

27.

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 1,311 (29,528)
Citation 5

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

28.

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 1,297 (30,018)
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

29.

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Number of pages: 39 Posted: 22 Apr 2019 Last Revised: 15 Jan 2021
Rama Cont and Marvin S. Mueller
University of Oxford and affiliation not provided to SSRN
Downloads 1,295 (30,097)
Citation 5

Abstract:

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

30.

Tail-GAN: Learning to Simulate Tail Risk Scenarios

Number of pages: 40 Posted: 16 Mar 2022 Last Revised: 19 Apr 2024
University of Oxford, University of Oxford - Department of Statistics, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Oxford
Downloads 1,264 (31,155)
Citation 4

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Scenario simulation, Generative models, Generative adversarial networks (GAN), Time series, Universal approximation, Expected shortfall, Value at risk, Risk measures, Elicitability.

31.

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 1,248 (31,736)
Citation 21

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32.

Cross-Impact of Order Flow Imbalance in Equity Markets

Quantitative Finance, 2023, Vol. 23, No. 10, 1373–1393
Number of pages: 41 Posted: 27 Dec 2021 Last Revised: 19 Apr 2024
Rama Cont, Mihai Cucuringu and Chao Zhang
University of Oxford, University of Oxford - Department of Statistics and University of Oxford
Downloads 1,242 (31,995)
Citation 11

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

33.

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 1,113 (37,343)
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

34.

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 1,107 (37,636)
Citation 28

Abstract:

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

35.

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, World Bank and University of Verona - Department of Economics
Downloads 1,096 (38,274)
Citation 61

Abstract:

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risk measure, Value at Risk, statistical estimation, robustness

36.

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 1,094 (38,324)
Citation 18

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37.

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 1,065 (39,860)
Citation 45

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

38.

In Memoriam: Marco Avellaneda (1955-2022)

Number of pages: 17 Posted: 29 Dec 2022
Rama Cont
University of Oxford
Downloads 1,062 (40,109)

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mathematical finance, biography, quantitative finance, volatility, risk management

39.

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 1,062 (40,018)
Citation 2

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

40.

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 1,049 (40,698)
Citation 13

Abstract:

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

41.

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 1,032 (41,685)
Citation 19

Abstract:

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

42.

Model-free Analysis of Dynamic Trading Strategies

Number of pages: 23 Posted: 26 Jun 2023 Last Revised: 02 Jul 2023
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 999 (43,659)

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excursion theory, mathematical finance, statistical arbitrage, model risk, pairs trading, mean-reversion strategy, drawdown risk.

43.

Fast and Slow Optimal Trading with Exogenous Information

Number of pages: 67 Posted: 26 Jun 2023 Last Revised: 13 Jan 2024
University of Oxford, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 978 (44,949)

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Optimal stochastic control, stochastic games, price impact, predictive signals, Stackelberg equilibrium

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 689 (71,111)
Citation 20

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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 283 (201,458)
Citation 1

Abstract:

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

45.

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 954 (46,504)

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

46.

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, World Bank and Bloomberg Tradebook
Downloads 885 (51,628)
Citation 7

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

47.

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 World Bank
Downloads 877 (52,232)
Citation 2

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

48.

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 871 (52,723)

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

49.

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 856 (54,021)
Citation 3

Abstract:

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market impact, cross-impact, liquidity, volatility

50.

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 841 (55,354)
Citation 47

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

51.

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 793 (59,937)
Citation 6

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

52.

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 744 (65,240)
Citation 12

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

Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity

Journal of Banking and Finance, Vol. 118, p 105871, 2020
Number of pages: 38 Posted: 21 Jun 2019 Last Revised: 11 Jun 2023
University of Oxford, University of Oxford - Mathematical Institute and International Monetary Fund (IMF) - Western Hemisphere Department
Downloads 568 (90,706)
Citation 3

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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 (IMF) - Western Hemisphere Department
Downloads 160 (344,827)

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54.

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 726 (67,312)
Citation 1

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

55.

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 714 (68,763)
Citation 8

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Risk-management, Liquidity, Central Counterparties, Central Clearing

56.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
University of Oxford, World Bank and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 692 (71,623)
Citation 8

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

57.

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

Mathematical Finance
Number of pages: 43 Posted: 08 Jun 2022 Last Revised: 25 May 2024
Rama Cont and Wei Xiong
University of Oxford and University of Oxford
Downloads 639 (79,188)
Citation 5

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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

58.

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 600 (85,838)
Citation 13

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

59.

Limit Order Book Simulation with Generative Adversarial Networks

Number of pages: 28 Posted: 24 Jul 2023
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
Downloads 564 (92,825)
Citation 2

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Generative Modeling, GANs, Limit Order Books, Market Impact, Synthetic Data

60.

A Mathematical Framework for Modelling Order Book Dynamics

Number of pages: 30 Posted: 27 Dec 2022
Rama Cont, Pierre Degond and Lifan XUAN
University of Oxford, Centre National de la Recherche Scientifique and Imperial College London
Downloads 519 (102,772)

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Limit order book, stochastic model, quantitative finance, market microstructure

61.

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 442 (124,458)
Citation 5

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

62.

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 361 (156,616)
Citation 14

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

63.

Monitoring Indirect Contagion

Journal of Banking and Finance, Vol. 104, 2019
Number of pages: 46 Posted: 27 Jun 2018 Last Revised: 08 Jun 2019
Rama Cont and Eric Schaanning
University of Oxford and UBS AG
Downloads 353 (160,499)
Citation 28

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

64.

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 315 (181,166)
Citation 3

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

65.

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 275 (208,663)

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

66.

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

Number of pages: 32 Posted: 29 Jan 2021 Last Revised: 02 Dec 2022
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 266 (215,807)

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

67.

Skin in the Game: Risk Analysis of Central Counterparties

Number of pages: 51 Posted: 25 Oct 2023 Last Revised: 20 Mar 2024
Rama Cont and Samim Ghamami
University of Oxford and
Downloads 223 (256,199)

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central counterparties, agency problems, OTC markets, financial stability, financial regulation

68.

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 215 (265,119)
Citation 5

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

69.

A Model-Free Approach to Continuous-Time Finance

Number of pages: 17 Posted: 11 Dec 2022 Last Revised: 20 Dec 2022
Henry Chiu and Rama Cont
Imperial College London and University of Oxford
Downloads 175 (320,802)

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continuous-time finance; model-free finance; arbitrage; Knightian uncertainty

70.

EURAXI: A Benchmark for Euro Credit Spreads

Number of pages: 13 Posted: 28 Jun 2023 Last Revised: 19 Jul 2023
Susanna Saroyan and Rama Cont
University of Oxford and University of Oxford
Downloads 153 (359,855)

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LIBOR, benchmark reform, credit risk, interbank markets, EURIBOR, debt markets

71.

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
Downloads 148 (367,720)

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Neural Network, Residual Network, Deep Learning, Gradient Descent, Implicit Regularization

72.

Competition and learning in dealer markets

Number of pages: 42 Posted: 22 May 2024 Last Revised: 25 May 2024
affiliation not provided to SSRN, HSBC FX eRisk, Global Markets, HSBC Bank Plc., UK, University of Oxford and University of Oxford - Mathematical Institute
Downloads 94 (517,521)

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Market microstructure, mean-field games, reinforcement learning, market making, OTC markets, Artificial Intelligence, agent-based models, algorithmic collusion, tacit collusion, Nash equilibrium

73.

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

74.

Beyond Implied Volatility: Extracting Information from Option Prices

Posted: 01 Sep 1998
Rama Cont
University of Oxford

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75.

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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