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Economics and Finance
UK
2024

D-Index & Metrics

Economics and Finance

D-Index
58
Citations
23639
World Ranking
889
National Ranking
98

Research.com Recognitions

  • 2024 - Research.com Economics and Finance in United Kingdom Leader Award
  • 2017 - SIAM Fellow For contributions to financial mathematics and stochastic analysis.

Overview

Rama Cont is affiliated with the University of Oxford in the United Kingdom. Their research primarily focuses on economics, econometrics, and finance, with a total of 76 publications in this main field of study. Subfields include finance, economics and econometrics, mathematical physics, management science and operations research, and artificial intelligence.

Their work spans several key topics such as stochastic processes and financial applications, complex systems and time series analysis, financial risk and volatility modeling, financial markets and investment strategies, credit risk and financial regulations, mathematical dynamics and fractals, and economic theories and models.

Rama Cont has published extensively in various academic venues. Frequent publication outlets include:

  • SSRN Electronic Journal
  • arXiv (Cornell University)
  • Mathematical Finance
  • SIAM Journal on Financial Mathematics
  • Journal of Banking & Finance

Their recent papers include:

  • Liquidity at risk: Joint stress testing of solvency and liquidity, 2020, Journal of Banking & Finance
  • Rough Volatility: Fact or Artefact?, 2024, Sankhya B
  • Quadratic variation and quadratic roughness, 2022, Bernoulli
  • Modelling COVID-19 contagion: risk assessment and targeted mitigation policies, 2021, SSRN Electronic Journal
  • Rough Volatility: Fact or Artefact?, 2022, SSRN Electronic Journal

Rama Cont collaborates regularly with several co-authors, including:

  • Renyuan Xu
  • Mihai Cucuringu
  • Purba Das
  • Milena Vuletić
  • Artur Kotlicki

In 2017, Rama Cont was recognized as an SIAM Fellow for contributions to financial mathematics and stochastic analysis.

Best Publications

  • Financial modelling with jump processes

    Rama Cont;Peter Tankov

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

    Rama Cont

  • HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS

    Rama Cont;Jean-Philippe Bouchaud

  • Network structure and systemic risk in banking systems

    Rama Cont;Amal Moussa;Edson B Santos

  • A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

    Rama Cont;Ekaterina Voltchkova

  • Dynamics of implied volatility surfaces

    Rama Cont;José da Fonseca

  • A Stochastic Model for Order Book Dynamics

    Rama Cont;Sasha Stoikov;Rishi Talreja

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

    Rama Cont

  • Robustness and sensitivity analysis of risk measurement procedures

    Rama Cont;Romain Deguest;Giacomo Scandolo

  • A Langevin approach to stock market fluctuations and crashes

    Jean-Philippe Bouchaud;Rama Cont

  • RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS

    Hamed Amini;Rama Cont;Andreea Minca

  • The Price Impact of Order Book Events

    Rama Cont;Arseniy Kukanov;Sasha Stoikov

  • Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws

    Didier Sornette;Didier Sornette;Rama Cont

  • Price dynamics in a Markovian limit order market

    Rama Cont;Adrien De Larrard

  • Functional Ito calculus and stochastic integral representation of martingales

    Rama Cont;David-Antoine Fournié

  • Fire Sales, Indirect Contagion and Systemic Stress Testing

    Rama Cont;Eric Schaanning

  • Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

    Justin A Sirignano;Rama Cont

  • Non-parametric calibration of jump–diffusion option pricing models

    Rama Cont;Peter Tankov

  • Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models

    Rama Cont

  • Scaling in stock market data: stable laws and beyond

    Rama Cont;Marc Potters;Jean-Philippe Bouchaud

  • Integro-Differential Equations for Option Prices in Exponential Lévy Models

    Rama Cont;Ekaterina Voltchkova

  • Long range dependence in financial markets

    Rama Cont

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

    Rama Cont;Peter Tankov

  • Encyclopedia of Quantitative Finance

    Rama Cont

Frequent Co-Authors

Olivier Pironneau
Olivier Pironneau Sorbonne University
Wayne Luk
Wayne Luk Imperial College London
Fernando Vega-Redondo
Fernando Vega-Redondo Bocconi University
Sanjeev R. Kulkarni
Sanjeev R. Kulkarni Princeton University
Paul Glasserman
Paul Glasserman Columbia University

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