2023 - Research.com Economics and Finance in United Kingdom Leader Award
2017 - SIAM Fellow For contributions to financial mathematics and stochastic analysis.
Rama Cont mainly focuses on Econometrics, Financial market, Stock market, Valuation of options and Financial economics. His study of Volatility is a part of Econometrics. His Financial market study integrates concerns from other disciplines, such as Langevin equation, Stochastic process, Speculation and Risk aversion.
Within one scientific family, Rama Cont focuses on topics pertaining to Power law under Stock market, and may sometimes address concerns connected to Empirical research and Kurtosis. His Financial economics study combines topics from a wide range of disciplines, such as Bank regulation and Monetary economics. He studied Finite difference methods for option pricing and Differential equation that intersect with Mathematical finance.
His primary areas of investigation include Econometrics, Financial market, Volatility, Market liquidity and Applied mathematics. His studies deal with areas such as Asset, Financial economics, Risk measure, Portfolio and Order as well as Econometrics. In Financial market, Rama Cont works on issues like Stock market, which are connected to Market data.
His work is connected to Volatility smile and Implied volatility, as a part of Volatility. Rama Cont has researched Market liquidity in several fields, including Market impact and Systemic risk. His research investigates the connection between Applied mathematics and topics such as Valuation of options that intersect with issues in Local volatility, Exponential function, Black–Scholes model, Inverse problem and Mathematical finance.
Rama Cont mostly deals with Market liquidity, Applied mathematics, Econometrics, Market depth and Systemic risk. His Market liquidity research is multidisciplinary, relying on both Market impact and Risk management. His work in the fields of Applied mathematics, such as Semimartingale, overlaps with other areas such as Flow.
His Volatility study in the realm of Econometrics interacts with subjects such as Margin. While the research belongs to areas of Market depth, Rama Cont spends his time largely on the problem of Portfolio, intersecting his research to questions surrounding Microeconomics. His work on Financial networks as part of general Systemic risk research is frequently linked to Capital requirement, bridging the gap between disciplines.
His primary areas of study are Market liquidity, Econometrics, Applied mathematics, Financial market and Financial econometrics. His Market liquidity research incorporates themes from Algorithmic trading and Mathematical optimization. He performs integrative study on Econometrics and Resilience in his works.
The various areas that Rama Cont examines in his Applied mathematics study include Stochastic process and Partial differential equation. His biological study spans a wide range of topics, including Covariance matrix, Market microstructure, Supply and demand and Market price. His research in Market microstructure focuses on subjects like Nonparametric statistics, which are connected to Financial economics.
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Financial modelling with jump processes
Rama Cont;Peter Tankov.
Empirical properties of asset returns: stylized facts and statistical issues
Quantitative Finance (2001)
HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
Rama Cont;Jean-Philippe Bouchaud.
Macroeconomic Dynamics (2000)
Network structure and systemic risk in banking systems
Rama Cont;Amal Moussa;Edson B Santos.
Research Papers in Economics (2013)
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
Rama Cont;Ekaterina Voltchkova.
Research Papers in Economics (2005)
Dynamics of implied volatility surfaces
Rama Cont;José da Fonseca.
Quantitative Finance (2002)
A Stochastic Model for Order Book Dynamics
Rama Cont;Sasha Stoikov;Rishi Talreja.
Operations Research (2010)
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
Mathematical Finance (2006)
A Langevin approach to stock market fluctuations and crashes
Jean-Philippe Bouchaud;Rama Cont.
European Physical Journal B (1998)
Robustness and sensitivity analysis of risk measurement procedures
Rama Cont;Romain Deguest;Giacomo Scandolo.
Quantitative Finance (2010)
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