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

  • University of Oxford

SCHOLARLY PAPERS

73

DOWNLOADS
Rank 173

SSRN RANKINGS

Top 173

in Total Papers Downloads

105,491

SSRN CITATIONS
Rank 1,266

SSRN RANKINGS

Top 1,266

in Total Papers Citations

705

CROSSREF CITATIONS

460

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

  • University of Oxford

Scholarly Papers (73)

Actions:
Email selected abstracts
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 8,740 (1,168)
Citation 42

Abstract:

Loading...

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
University of Oxford, Columbia University and Central Bank of Brazil
Downloads 6,993 (1,726)
Citation 111

Abstract:

Loading...

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
Rama Cont, Arseniy Kukanov and Sasha Stoikov
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 6,868 (1,771)
Citation 81

Abstract:

Loading...

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 5,639 (2,462)
Citation 8

Abstract:

Loading...

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 5,120 (2,935)
Citation 22

Abstract:

Loading...

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 4,364 (3,851)
Citation 43

Abstract:

Loading...

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

7.

Central Clearing and Risk Transformation

Downloads 3,277 ( 6,234)
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 2,107 (12,313)
Citation 8

Abstract:

Loading...

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 1,170 (30,305)

Abstract:

Loading...

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 2,702 (8,431)
Citation 14

Abstract:

Loading...

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 2,633 (8,779)
Citation 27

Abstract:

Loading...

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 2,514 (9,428)
Citation 42

Abstract:

Loading...

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 2,356 (10,471)
Citation 5

Abstract:

Loading...

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 2,274 (11,101)
Citation 3

Abstract:

Loading...

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 2,172 (11,935)
Citation 5

Abstract:

Loading...

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 1,953 (14,163)
Citation 10

Abstract:

Loading...

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 1,901 (14,764)
Citation 27

Abstract:

Loading...

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.

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 1,897 (14,813)
Citation 9

Abstract:

Loading...

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

17.

Fire Sales, Indirect Contagion and Systemic Stress Testing

Downloads 1,814 (15,871)
Citation 46

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 1,588 (19,159)
Citation 9

Abstract:

Loading...

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 226 (224,398)
Citation 45

Abstract:

Loading...

18.

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 1,538 (20,457)
Citation 10

Abstract:

Loading...

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

19.

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 1,520 (20,876)

Abstract:

Loading...

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

20.

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 1,484 (21,639)
Citation 32

Abstract:

Loading...

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

21.

Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Downloads 1,479 (21,774)
Citation 33

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 1,369 (23,987)
Citation 27

Abstract:

Loading...

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 110 (411,137)
Citation 4

Abstract:

Loading...

22.

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 1,414 (23,253)
Citation 3

Abstract:

Loading...

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

23.

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 1,381 (24,117)
Citation 22

Abstract:

Loading...

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

24.

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, Marc Potters and Marc Potters
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 1,376 (24,227)
Citation 3

Abstract:

Loading...

25.

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 1,267 (27,361)
Citation 3

Abstract:

Loading...

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

26.

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 1,259 (27,621)
Citation 26

Abstract:

Loading...

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

27.

Stochastic Models of Implied Volatility Surfaces

Number of pages: 16 Posted: 28 Apr 2003
Rama Cont, Valdo Durrleman and José Da Fonseca
University of Oxford, Princeton University - Department of Operations Research and Financial Engineering and Auckland University of Technology - Faculty of Business & Law
Downloads 1,245 (28,082)
Citation 5

Abstract:

Loading...

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

28.

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 1,217 (29,045)
Citation 16

Abstract:

Loading...

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 2Xideas
Downloads 1,167 (30,901)
Citation 2

Abstract:

Loading...

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

30.

Scaling in Stock Market Data: Stable Laws and Beyond

Number of pages: 11 Posted: 28 Nov 1997
Rama Cont, Marc Potters, Marc Potters and Jean-Philippe Bouchaud
University of Oxford, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 1,060 (35,361)
Citation 14

Abstract:

Loading...

31.

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
University of Oxford, World Bank and University of Verona - Department of Economics
Downloads 1,051 (35,777)
Citation 53

Abstract:

Loading...

risk measure, Value at Risk, statistical estimation, robustness

32.

Cross-Impact of Order Flow Imbalance in Equity Markets

Number of pages: 41 Posted: 27 Dec 2021 Last Revised: 11 Jun 2023
Rama Cont, Mihai Cucuringu and Chao Zhang
University of Oxford, University of Oxford - Department of Statistics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,046 (36,018)
Citation 4

Abstract:

Loading...

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

33.

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 1,017 (37,523)
Citation 2

Abstract:

Loading...

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

34.

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 1,012 (37,754)
Citation 10

Abstract:

Loading...

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

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 996 (38,608)
Citation 24

Abstract:

Loading...

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

36.

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 984 (39,259)
Citation 43

Abstract:

Loading...

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

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
University of Oxford and Cornell University
Downloads 980 (39,497)
Citation 19

Abstract:

Loading...

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

38.

In Memoriam: Marco Avellaneda (1955-2022)

Number of pages: 17 Posted: 29 Dec 2022
Rama Cont
University of Oxford
Downloads 958 (40,787)

Abstract:

Loading...

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

39.

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 895 (44,838)
Citation 5

Abstract:

Loading...

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

40.

The End of the Waterfall: Default Resources of Central Counterparties

Downloads 876 (46,159)
Citation 15

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 624 (71,440)
Citation 19

Abstract:

Loading...

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 252 (201,651)
Citation 1

Abstract:

Loading...

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

41.

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
University of Oxford, World Bank and Bloomberg Tradebook
Downloads 849 (48,233)
Citation 7

Abstract:

Loading...

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

42.

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 828 (49,944)
Citation 2

Abstract:

Loading...

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

43.

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 805 (51,852)

Abstract:

Loading...

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

44.

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 793 (52,921)
Citation 44

Abstract:

Loading...

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

45.

Analysis and Modeling of Client Order Flow in Limit Order Markets

Number of pages: 32 Posted: 28 Feb 2022
Rama Cont, Mihai Cucuringu, Vacslav Glukhov and Felix Prenzel
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
Downloads 780 (54,122)

Abstract:

Loading...

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

46.

Fast and Slow Optimal Trading with Exogenous Information

Number of pages: 66 Posted: 26 Jun 2023
Rama Cont, Alessandro Micheli and Eyal Neuman
University of Oxford, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 767 (55,413)

Abstract:

Loading...

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

47.

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 763 (55,690)
Citation 6

Abstract:

Loading...

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

48.

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 754 (56,601)

Abstract:

Loading...

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

49.

Tail-GAN: Learning to Simulate Tail Risk Scenarios

Number of pages: 38 Posted: 16 Mar 2022 Last Revised: 28 Mar 2023
Rama Cont, Mihai Cucuringu, Renyuan Xu and Chao Zhang
University of Oxford, University of Oxford - Department of Statistics, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 711 (61,218)
Citation 1

Abstract:

Loading...

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

50.

Recovering Volatility from Option Prices by Evolutionary Optimization

Downloads 707 (61,721)
Citation 13

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 707 (60,848)
Citation 13

Abstract:

Loading...

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

Abstract:

Loading...

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

51.

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 692 (63,435)
Citation 1

Abstract:

Loading...

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

52.

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 676 (65,414)
Citation 2

Abstract:

Loading...

market impact, cross-impact, liquidity, volatility

53.

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 659 (67,529)
Citation 6

Abstract:

Loading...

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

54.

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 642 (69,864)
Citation 8

Abstract:

Loading...

Risk-management, Liquidity, Central Counterparties, Central Clearing

55.

Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity

Downloads 625 (72,224)
Citation 7

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
Rama Cont, Artur Kotlicki and Laura Valderrama
University of Oxford, University of Oxford - Mathematical Institute and International Monetary Fund - Monetary and Capital Markets Department
Downloads 509 (92,363)
Citation 2

Abstract:

Loading...

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
Rama Cont, Artur Kotlicki and Laura Valderrama
University of Oxford, University of Oxford - Mathematical Institute and International Monetary Fund - Monetary and Capital Markets Department
Downloads 116 (395,210)

Abstract:

Loading...

56.

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 524 (89,987)
Citation 13

Abstract:

Loading...

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

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: 02 Jun 2023
Rama Cont and Wei Xiong
University of Oxford and University of Oxford
Downloads 493 (96,925)
Citation 2

Abstract:

Loading...

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

58.

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 419 (117,560)
Citation 5

Abstract:

Loading...

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

59.

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 373 (134,240)

Abstract:

Loading...

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

60.

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 328 (154,287)
Citation 14

Abstract:

Loading...

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

61.

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 312 (162,679)
Citation 26

Abstract:

Loading...

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

62.

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
University of Oxford, affiliation not provided to SSRN and Université Paris VI Pierre et Marie Curie
Downloads 285 (178,985)
Citation 3

Abstract:

Loading...

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

63.

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 250 (204,075)

Abstract:

Loading...

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

64.

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 240 (212,300)

Abstract:

Loading...

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

65.

Limit Order Book Simulation with Generative Adversarial Networks

Number of pages: 28 Posted: 24 Jul 2023
Rama Cont, Mihai Cucuringu, Jonathan Kochems and Felix Prenzel
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
Downloads 223 (227,931)

Abstract:

Loading...

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

66.

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 182 (274,218)
Citation 5

Abstract:

Loading...

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

67.

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 132 (357,421)

Abstract:

Loading...

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

68.

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 120 (383,867)

Abstract:

Loading...

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

69.

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 120 (383,867)

Abstract:

Loading...

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

70.

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

Abstract:

Loading...

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

71.

Beyond Implied Volatility: Extracting Information from Option Prices

Posted: 01 Sep 1998
Rama Cont
University of Oxford

Abstract:

Loading...

72.

Financial Markets as Adaptive Ecosystems

Posted: 17 Oct 1996
Marc Potters, Marc Potters, Rama Cont and Jean-Philippe Bouchaud
Capital Fund ManagementCapital Fund Management, University of Oxford and Capital Fund Management

Abstract:

Loading...

73.

Skin in the Game: Risk Analysis of Central Counterparties

Number of pages: 51
Samim Ghamami and Rama Cont
and University of Oxford
Downloads 0

Abstract:

Loading...

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