Mathematical Institute
Oxford, OX2 6GG
United Kingdom
http://www.maths.ox.ac.uk/people/rama.cont
University of Oxford
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High frequency data, limit order book, financial engineering, Laplace transform
limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data
systemic risk, default contagion, network models, macro-prudential regulation, insolvency, bank regulation
high frequency data, order book, market microstructure, queueing systems, limit order markets, transaction data, trades and quotes, heavy traffic limit, diffusion, price impact, TAQ
GAN, generative models, implied volatility, simulation, arbitrage, option markets, VIX, genAI
Financial Econometrics, High Frequency Data, Machine Learning, Deep Learning, Price Formation, Market Microstructure, Intraday Data, Limit Order Book
levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization
CCP, central clearing, central counterparty, systemic risk, liquidity risk, counterparty risk, default fund, OTC derivatives, collateral requirement, regulation, stress testing
Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models
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
limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process
variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.
Implied volatility, scenario simulation, volatility modeling, risk management, factor models, arbitrage
market impact; transaction costs; trade execution; liquidity; volatility
interest rate swap, central clearing, convexity, swap futures, price alignment interest, net present value effect
systemic risk, fire sales, financial stability, contagion, macroprudential regulation, financial regulation, capital adequacy, stress testing
optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation
credit default swaps, credit risk, stylized properties, risk management, autocorrelation, heavy tails, heteroscedasticity, principal component analysis, credit events, loss distribution, Value-at-Risk, expected shortfall, CDS
Scenario simulation, Generative models, Generative adversarial networks (GAN), Time series, Universal approximation, Expected shortfall, Value at risk, Risk measures, Elicitability.
volatility, fractional processes, continuous-time models, realized volatility, hypothesis testing, high-frequency data, financial econometrics
systemic risk, banking network, stress test, counterparty risk, macro-prudential regulation, complex network, scale-free network
central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act
systemic risk, contagion, default, macroprudential regulation, financial stability, random graph, network model, financial networks, interconnectedness, balance-sheet contagion
CDO, portfolio credit derivatives, model calibration, default risk, inverse problem
limit order book, volatility, market microstructure, liquidity, intraday price dynamics
Order flow imbalance, Cross impact, Return prediction, LASSO.
Implied volatility, volatility risk, risk management, portfolios of options
fire sales, distressed selling, liquidity, diffusion models, market impact, price impact, correlation, volatility
hedging, portfolio credit derivatives, index default swaps, collateralized debt obligations, top-down credit risk models, default contagion, spread risk, sensitivity-based hedging, risk minimization
volatility clustering, long range dependence, fractal, fractional Brownian motion, artbitrage, agent-based models
market impact, cross-impact, liquidity, volatility
Optimal stochastic control, stochastic games, price impact, predictive signals, Stackelberg equilibrium
Jump-diffusion models, integro-differential equations, finite difference methods, Levy process, jump risk, option pricing, viscosity solutions
liquidity, liquidation, deleveraging, fire sales, London Whale, JP Morgan CIO, market impact, risk management, LVaR, liquidity-adusted Value-at-Risk
excursion theory, mathematical finance, statistical arbitrage, model risk, pairs trading, mean-reversion strategy, drawdown risk.
risk measure, Value at Risk, statistical estimation, robustness
Limit order books, order flow, heterogeneous order flow, unsupervised learning, clustering, time series, machine learning
mathematical finance, biography, quantitative finance, volatility, risk management
fire sales, endogenous risk, systemic risk, liquidity, financial econometrics, correlation, volatility
CPDO, credit risk, top down models, credit rating, structured product, credit derivatives
systemic risk, financial network, credit derivatives, CDS, financial stability, central clearing, CCP, liquidity risk
central clearing, CCP, systemic risk, Dodd-Frank, Basel III, EMIR, OTC markets, default risk, financial stability, regulation
CCP, central clearing, central counterparty, systemic risk, default risk, counterparty risk, default fund, OTC derivatives, mechanism design, regulation, EMIR
Generative Modeling, GANs, Limit Order Books, Market Impact, Synthetic Data
Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche
excursion theory, mathematical finance, statistical arbitrage, model risk, Markov process, mean-reversion strategy, drawdown risk.
Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality
model uncertainty, Knightian uncertainty, option pricing, model risk, coherent risk measures, convex risk measures
credit risk, portfolio credit derivatives, CDO, derivative pricing, tranche
stress testing; banking supervision; liquidity; liquidity regulation; banking regulation; solvency
Option pricing, inverse problems, nonparametric estimation, stochastic modeling, derivatives
Risk-management, Liquidity, Central Counterparties, Central Clearing
epidemic modeling, COVID-19, coronavirus, compartmental models, SIR model, stochastic epidemic model
Market microstructure, intensity control, differential games, reinforcement learning, market making, tacit collusion, Nash equilibrium, multi-agent actor-critic algorithm, decentralized learning
risk measures, robustness, loss-based risk measures, quantile estimation
Limit order book, stochastic model, quantitative finance, market microstructure
Collateral, Over-the-Counter (OTC) Derivatives, Central Clearing, Liquidity, Financial Markets, Counter Party Risk, Default Risk, Financial Regulation
Market microstructure, mean-field games, reinforcement learning, market making, OTC markets, Artificial Intelligence, agent-based models, algorithmic collusion, tacit collusion, Nash equilibrium
Discrete choice models, social interactions, random utility models, aggregation, limit theorems, heterogeneity, externalities
financial stability, price-mediated contagion, macro prudential regulation, systemic risk measurement
financial econometrics, jumps, exchange rates, high-frequency data, time series
Option Pricing, PDE, Numerical Methods, PIDE, Jumps, Diffusion Models
arbitrage, pricing rule, martingale, fundamental theorem of asset pricing
stochastic differential games, Pareto optimum, LIBOR, benchmark rates, interbank market
central counterparties, agency problems, OTC markets, financial stability, financial regulation
Institutional investors, liquidity, endogenous risk, feedback effects, correlation, dependence structure of asset returns
continuous-time finance; model-free finance; arbitrage; Knightian uncertainty
Neural Network, Residual Network, Deep Learning, Gradient Descent, Implicit Regularization
LIBOR, benchmark reform, credit risk, interbank markets, EURIBOR, debt markets
Implied volatility, options, volatility risk, stochastic volatility, principal component analysis, random field, factor model
