Works matching AU Cont, Rama

Results: 42

Cross-impact of order flow imbalance in equity markets.

Published in:

Quantitative Finance, 2023, v. 23, n. 10, p. 1373, doi. 10.1080/14697688.2023.2236159

By:

Cont, Rama;
Cucuringu, Mihai;
Zhang, Chao

Publication type:

Article

Analysis and modeling of client order flow in limit order markets.

Published in:

Quantitative Finance, 2023, v. 23, n. 2, p. 187, doi. 10.1080/14697688.2022.2150282

By:

Cont, Rama;
Cucuringu, Mihai;
Glukhov, Vacslav;
Prenzel, Felix

Publication type:

Article

Universal features of price formation in financial markets: perspectives from deep learning.

Published in:

Quantitative Finance, 2019, v. 19, n. 9, p. 1449, doi. 10.1080/14697688.2019.1622295

By:

Sirignano, Justin;
Cont, Rama

Publication type:

Article

Optimal order placement in limit order markets.

Published in:

Quantitative Finance, 2017, v. 17, n. 1, p. 21, doi. 10.1080/14697688.2016.1190030

By:

Cont, Rama;
Kukanov, Arseniy

Publication type:

Article

Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis.

Published in:

Quantitative Finance, 2012, v. 12, n. 8, p. 1199, doi. 10.1080/14697688.2012.690885

By:

Cont, Rama;
Jessen, Cathrine

Publication type:

Article

INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 2, p. -1, doi. 10.1142/S0219024916500102

By:

CONT, RAMA;
WAGALATH, LAKSHITHE

Publication type:

Article

STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 1, p. 1250006-1, doi. 10.1142/S0219024911006504

By:

AMINI, HAMED;
CONT, RAMA;
MINCA, ANDREEA

Publication type:

Article

SMALL-WORLD GRAPHS: CHARACTERIZATION AND ALTERNATIVE CONSTRUCTIONS.

Published in:

Advances in Applied Probability, 2008, v. 40, n. 4, p. 939, doi. 10.1239/aap/1231340159

By:

CONT, RAMA;
TANIMURA, EMILY

Publication type:

Article

The Price Impact of Order Book Events.

Published in:

Journal of Financial Econometrics, 2014, v. 12, n. 1, p. 47, doi. 10.1093/jjfinec/nbt003

By:

Cont, Rama;
Kukanov, Arseniy;
Stoikov, Sasha

Publication type:

Article

Fractional Ito calculus.

Published in:

Transactions of the American Mathematical Society, Series B, 2024, v. 11, p. 727, doi. 10.1090/btran/185

By:

Cont, Rama;
Jin, Ruhong

Publication type:

Article

Robustness and sensitivity analysis of risk measurement procedures.

Published in:

Quantitative Finance, 2010, v. 10, n. 6, p. 593, doi. 10.1080/14697681003685597

By:

Cont, Rama;
Deguest, Romain;
Scandolo, Giacomo

Publication type:

Article

Monte Carlo methods in finanical engineering.

Published in:

2004

By:

Cont, Rama

Publication type:

Book Review

Dynamics of implied volatility surfaces.

Published in:

Quantitative Finance, 2002, v. 2, n. 1, p. 45, doi. 10.1088/1469-7688/2/1/304

By:

Cont, Rama;
da Fonseca, José

Publication type:

Article

Introduction to the special issue on volatility modelling.

Published in:

Quantitative Finance, 2002, v. 2, n. 1, p. 6, doi. 10.1088/1469-7688/2/1/602

By:

Cont, Rama;
Avellaneda, Marco

Publication type:

Article

Empirical properties of asset returns: stylized facts and statistical issues.

Published in:

Quantitative Finance, 2001, v. 1, n. 2, p. 223, doi. 10.1080/713665670

By:

Cont, Rama

Publication type:

Article

Preface to the Special Issue on Systemic Risk: Models and Mechanisms.

Published in:

Operations Research, 2016, v. 64, n. 5, p. 1053, doi. 10.1287/opre.2016.1562

By:

Cont, Rama;
Duffie, Darrell;
Glasserman, Paul;
Rogers, Chris;
Vega-Redondo, Fernando

Publication type:

Article

A Stochastic Model for Order Book Dynamics.

Published in:

Operations Research, 2010, v. 58, n. 3, p. 549, doi. 10.1287/opre.1090.0780

By:

Cont, Rama;
Stoikov, Sasha;
Talreja, Rishi

Publication type:

Article

Simulation of Arbitrage-Free Implied Volatility Surfaces.

Published in:

Applied Mathematical Finance, 2023, v. 30, n. 2, p. 94, doi. 10.1080/1350486X.2023.2277960

By:

Cont, Rama;
Vuletić, Milena

Publication type:

Article

PATHWISE INTEGRATION AND CHANGE OF VARIABLE FORMULAS FOR CONTINUOUS PATHS WITH ARBITRARY REGULARITY.

Published in:

Transactions of the American Mathematical Society, Series B, 2019, v. 6, n. 5, p. 161, doi. 10.1090/btran/34

By:

CONT, RAMA;
PERKOWSKI, NICOLAS

Publication type:

Article

HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS.

Published in:

Macroeconomic Dynamics, 2000, v. 4, n. 2, p. 170, doi. 10.1017/s1365100500015029

By:

Cont, Rama;
Bouchaud, Jean-Philipe

Publication type:

Article

Preface.

Published in:

ESAIM: Probability & Statistics, 2007, v. 11, n. 1, p. 1, doi. 10.1051/ps:2007001

By:

Rama Cont;
Jean-Pierre Fouque;
Bernard Lapeyre

Publication type:

Article

Special Issue: Monitoring Systemic Risk: Data, Models and Metrics.

Published in:

Statistics & Risk Modeling, 2017, v. 34, n. 3/4, p. 89, doi. 10.1515/strm-2016-0024

By:

Cont, Rama;
Gordy, Michael

Publication type:

Article

Central clearing of OTC derivatives: Bilateral vs multilateral netting.

Published in:

Statistics & Risk Modeling, 2014, v. 31, n. 1, p. 3, doi. 10.1515/strm-2013-1161

By:

Cont, Rama;
Kokholm, Thomas

Publication type:

Article

MODELING TERM STRUCTURE DYNAMICS:: AN INFINITE DIMENSIONAL APPROACH.

Published in:

International Journal of Theoretical & Applied Finance, 2005, v. 8, n. 3, p. 357, doi. 10.1142/S0219024905003049

By:

CONT, RAMA

Publication type:

Article

Credit default swaps and systemic risk.

Published in:

Annals of Operations Research, 2016, v. 247, n. 2, p. 523, doi. 10.1007/s10479-015-1857-x

By:

Cont, Rama;
Minca, Andreea

Publication type:

Article

Fast and slow optimal trading with exogenous information.

Published in:

Finance & Stochastics, 2025, v. 29, n. 2, p. 553, doi. 10.1007/s00780-025-00560-w

By:

Cont, Rama;
Micheli, Alessandro;
Neuman, Eyal

Publication type:

Article

Forward equations for option prices in semimartingale models.

Published in:

Finance & Stochastics, 2015, v. 19, n. 3, p. 617, doi. 10.1007/s00780-015-0265-z

By:

Bentata, Amel;
Cont, Rama

Publication type:

Article

Integro-differential equations for option prices in exponential Lévy models.

Published in:

Finance & Stochastics, 2005, v. 9, n. 3, p. 299, doi. 10.1007/s00780-005-0153-z

By:

Cont, Rama;
Voltchkova, Ekaterina

Publication type:

Article

Phenomenology of the interest rate curve.

Published in:

Applied Mathematical Finance, 1999, v. 6, n. 3, p. 209, doi. 10.1080/135048699334546

By:

Bouchaud, Jean-Philippe;
Sagna, Nicolas;
Cont, Rama;
El-Karoui, Nicole;
Potters, Marc

Publication type:

Article

Dynamics of market making algorithms in dealer markets: Learning and tacit collusion.

Published in:

Mathematical Finance, 2024, v. 34, n. 2, p. 467, doi. 10.1111/mafi.12401

By:

Cont, Rama;
Xiong, Wei

Publication type:

Article

A model‐free approach to continuous‐time finance.

Published in:

Mathematical Finance, 2023, v. 33, n. 2, p. 257, doi. 10.1111/mafi.12370

By:

Chiu, Henry;
Cont, Rama

Publication type:

Article

In memoriam: Marco Avellaneda (1955–2022).

Published in:

Mathematical Finance, 2023, v. 33, n. 1, p. 3, doi. 10.1111/mafi.12375

By:

Cont, Rama

Publication type:

Article

Interbank lending with benchmark rates: Pareto optima for a class of singular control games.

Published in:

Mathematical Finance, 2021, v. 31, n. 4, p. 1357, doi. 10.1111/mafi.12325

By:

Cont, Rama;
Guo, Xin;
Xu, Renyuan

Publication type:

Article

FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK.

Published in:

Mathematical Finance, 2016, v. 26, n. 4, p. 835, doi. 10.1111/mafi.12071

By:

Cont, Rama;
Wagalath, Lakshithe

Publication type:

Article

RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS.

Published in:

Mathematical Finance, 2016, v. 26, n. 2, p. 329, doi. 10.1111/mafi.12051

By:

Amini, Hamed;
Cont, Rama;
Minca, Andreea

Publication type:

Article

RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS.

Published in:

Mathematical Finance, 2013, v. 23, n. 4, p. 718, doi. 10.1111/j.1467-9965.2011.00510.x

By:

Cont, Rama;
Wagalath, Lakshithe

Publication type:

Article

EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS.

Published in:

Mathematical Finance, 2013, v. 23, n. 3, p. 496, doi. 10.1111/j.1467-9965.2011.00503.x

By:

Cont, Rama;
Deguest, Romain

Publication type:

Article

A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES.

Published in:

Mathematical Finance, 2013, v. 23, n. 2, p. 248, doi. 10.1111/j.1467-9965.2011.00492.x

By:

Cont, Rama;
Kokholm, Thomas

Publication type:

Article

RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES.

Published in:

Mathematical Finance, 2013, v. 23, n. 1, p. 94, doi. 10.1111/j.1467-9965.2011.00491.x

By:

Cont, Rama;
Minca, Andreea

Publication type:

Article

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES.

Published in:

Mathematical Finance, 2009, v. 19, n. 3, p. 379, doi. 10.1111/j.1467-9965.2009.00377.x

By:

CONT, RAMA;
TANKOV, PETER

Publication type:

Article

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS.

Published in:

Mathematical Finance, 2006, v. 16, n. 3, p. 519, doi. 10.1111/j.1467-9965.2006.00281.x

By:

Cont, Rama

Publication type:

Article

The end of the waterfall: Default resources of central counterparties.

Published in:

Journal of Risk Management in Financial Institutions, 2015, v. 8, n. 4, p. 365, doi. 10.69554/jzqp9267

By:

Cont, Rama

Publication type:

Article