Works matching AU Cont, Rama
Results: 42
Cross-impact of order flow imbalance in equity markets.
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- Quantitative Finance, 2023, v. 23, n. 10, p. 1373, doi. 10.1080/14697688.2023.2236159
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- Article
Analysis and modeling of client order flow in limit order markets.
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- Quantitative Finance, 2023, v. 23, n. 2, p. 187, doi. 10.1080/14697688.2022.2150282
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- Article
Universal features of price formation in financial markets: perspectives from deep learning.
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- Quantitative Finance, 2019, v. 19, n. 9, p. 1449, doi. 10.1080/14697688.2019.1622295
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- Article
Optimal order placement in limit order markets.
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- Quantitative Finance, 2017, v. 17, n. 1, p. 21, doi. 10.1080/14697688.2016.1190030
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- Article
Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis.
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- Quantitative Finance, 2012, v. 12, n. 8, p. 1199, doi. 10.1080/14697688.2012.690885
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- Article
INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 2, p. -1, doi. 10.1142/S0219024916500102
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- Article
STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 1, p. 1250006-1, doi. 10.1142/S0219024911006504
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SMALL-WORLD GRAPHS: CHARACTERIZATION AND ALTERNATIVE CONSTRUCTIONS.
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- Advances in Applied Probability, 2008, v. 40, n. 4, p. 939, doi. 10.1239/aap/1231340159
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- Article
The Price Impact of Order Book Events.
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- Journal of Financial Econometrics, 2014, v. 12, n. 1, p. 47, doi. 10.1093/jjfinec/nbt003
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- Article
Fractional Ito calculus.
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- Transactions of the American Mathematical Society, Series B, 2024, v. 11, p. 727, doi. 10.1090/btran/185
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- Article
Robustness and sensitivity analysis of risk measurement procedures.
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- Quantitative Finance, 2010, v. 10, n. 6, p. 593, doi. 10.1080/14697681003685597
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- Article
Monte Carlo methods in finanical engineering.
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- 2004
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- Book Review
Dynamics of implied volatility surfaces.
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- Quantitative Finance, 2002, v. 2, n. 1, p. 45, doi. 10.1088/1469-7688/2/1/304
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- Article
Introduction to the special issue on volatility modelling.
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- Quantitative Finance, 2002, v. 2, n. 1, p. 6, doi. 10.1088/1469-7688/2/1/602
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- Article
Empirical properties of asset returns: stylized facts and statistical issues.
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- Quantitative Finance, 2001, v. 1, n. 2, p. 223, doi. 10.1080/713665670
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- Article
Preface to the Special Issue on Systemic Risk: Models and Mechanisms.
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- Operations Research, 2016, v. 64, n. 5, p. 1053, doi. 10.1287/opre.2016.1562
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- Article
A Stochastic Model for Order Book Dynamics.
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- Operations Research, 2010, v. 58, n. 3, p. 549, doi. 10.1287/opre.1090.0780
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- Article
Simulation of Arbitrage-Free Implied Volatility Surfaces.
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- Applied Mathematical Finance, 2023, v. 30, n. 2, p. 94, doi. 10.1080/1350486X.2023.2277960
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- Article
PATHWISE INTEGRATION AND CHANGE OF VARIABLE FORMULAS FOR CONTINUOUS PATHS WITH ARBITRARY REGULARITY.
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- Transactions of the American Mathematical Society, Series B, 2019, v. 6, n. 5, p. 161, doi. 10.1090/btran/34
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- Article
HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS.
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- Macroeconomic Dynamics, 2000, v. 4, n. 2, p. 170, doi. 10.1017/s1365100500015029
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Preface.
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- ESAIM: Probability & Statistics, 2007, v. 11, n. 1, p. 1, doi. 10.1051/ps:2007001
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- Article
Special Issue: Monitoring Systemic Risk: Data, Models and Metrics.
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- Statistics & Risk Modeling, 2017, v. 34, n. 3/4, p. 89, doi. 10.1515/strm-2016-0024
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- Article
Central clearing of OTC derivatives: Bilateral vs multilateral netting.
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- Statistics & Risk Modeling, 2014, v. 31, n. 1, p. 3, doi. 10.1515/strm-2013-1161
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- Article
MODELING TERM STRUCTURE DYNAMICS:: AN INFINITE DIMENSIONAL APPROACH.
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- International Journal of Theoretical & Applied Finance, 2005, v. 8, n. 3, p. 357, doi. 10.1142/S0219024905003049
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- Article
Credit default swaps and systemic risk.
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- Annals of Operations Research, 2016, v. 247, n. 2, p. 523, doi. 10.1007/s10479-015-1857-x
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- Article
Fast and slow optimal trading with exogenous information.
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- Finance & Stochastics, 2025, v. 29, n. 2, p. 553, doi. 10.1007/s00780-025-00560-w
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- Article
Forward equations for option prices in semimartingale models.
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- Finance & Stochastics, 2015, v. 19, n. 3, p. 617, doi. 10.1007/s00780-015-0265-z
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Integro-differential equations for option prices in exponential Lévy models.
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- Finance & Stochastics, 2005, v. 9, n. 3, p. 299, doi. 10.1007/s00780-005-0153-z
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- Article
Phenomenology of the interest rate curve.
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- Applied Mathematical Finance, 1999, v. 6, n. 3, p. 209, doi. 10.1080/135048699334546
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- Article
Dynamics of market making algorithms in dealer markets: Learning and tacit collusion.
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- Mathematical Finance, 2024, v. 34, n. 2, p. 467, doi. 10.1111/mafi.12401
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- Article
A model‐free approach to continuous‐time finance.
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- Mathematical Finance, 2023, v. 33, n. 2, p. 257, doi. 10.1111/mafi.12370
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- Article
In memoriam: Marco Avellaneda (1955–2022).
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- Mathematical Finance, 2023, v. 33, n. 1, p. 3, doi. 10.1111/mafi.12375
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- Article
Interbank lending with benchmark rates: Pareto optima for a class of singular control games.
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- Mathematical Finance, 2021, v. 31, n. 4, p. 1357, doi. 10.1111/mafi.12325
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- Article
FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK.
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- Mathematical Finance, 2016, v. 26, n. 4, p. 835, doi. 10.1111/mafi.12071
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- Article
RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS.
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- Mathematical Finance, 2016, v. 26, n. 2, p. 329, doi. 10.1111/mafi.12051
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- Article
RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS.
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- Mathematical Finance, 2013, v. 23, n. 4, p. 718, doi. 10.1111/j.1467-9965.2011.00510.x
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- Article
EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS.
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- Mathematical Finance, 2013, v. 23, n. 3, p. 496, doi. 10.1111/j.1467-9965.2011.00503.x
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A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES.
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- Mathematical Finance, 2013, v. 23, n. 2, p. 248, doi. 10.1111/j.1467-9965.2011.00492.x
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- Article
RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES.
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- Mathematical Finance, 2013, v. 23, n. 1, p. 94, doi. 10.1111/j.1467-9965.2011.00491.x
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- Article
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES.
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- Mathematical Finance, 2009, v. 19, n. 3, p. 379, doi. 10.1111/j.1467-9965.2009.00377.x
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- Article
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS.
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- Mathematical Finance, 2006, v. 16, n. 3, p. 519, doi. 10.1111/j.1467-9965.2006.00281.x
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- Article
The end of the waterfall: Default resources of central counterparties.
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- Journal of Risk Management in Financial Institutions, 2015, v. 8, n. 4, p. 365, doi. 10.69554/jzqp9267
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- Article