- R Cont: Functional Ito calculus and functional Kolmogorov equations, in: V Bally et al: Stochastic integration by parts and Functional Ito calculus (Lectures Notes of the Barcelona Summer School on Stochastic Analysis, Centro de Recerca de Matematica, July 2012), Springer: 2016. Table of Contents. Sample Chapter.
- R Cont & P Tankov: Financial
modelling with jump processes, Chapman and Hall/ CRC Press, 2003.
**> 4500 citations.** *R Cont (Editor in Chief): Encyclopedia of Quantitative Finance*Wiley (2010).- R Cont (ed.) :
*Frontiers in Quantitative Finance: credit risk and volatility modeling*, Wiley, 2008.

- R Cont, Purba Das (2019) Quadratic variation and quadratic roughness.
- R Cont, A Kotlicki and L Valderrama (2019) Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity.
- R Cont, M Mueller (2019) A stochastic partial differential equation model for limit order book dynamics.
- Francesco Capponi, R Cont (2019) Trade Duration, Volatility and Market Impact.
- A Ananova and R Cont (2018) A pathwise Ito formula for weakly differentiable functions.
- R Cont (2018) Margin requirements for non-cleared derivatives.
- R Cont, Yuhua Yu (2018) Algorithmic trade execution and intraday market dynamics.
- R Cont, Eric Schaanning (2017) Fire sales, indirect contagion and systemic stress-testing.

Highlighted in Central Banking Journal. - R Cont, Candia Riga (2014) Pathwise analysis and robustness of hedging strategies.
- P Blacque-Florentin, R Cont (2015) Functional calculus and martingale representation formula for integer-valued measures.
- R Cont, A Bentata (2009)Mimicking the marginals of a semimartingale.
- R Cont, M Avellaneda (2013) Close-Out Risk Evaluation.
- R Cont (2012): Weak functional calculus for square-integrable semimartingales.
- Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
- Central Clearing of interest rate swaps: a comparison of offerings, 2011. With: YuHua YU and Radu MONDESCU.
- R Cont, Yu GU Local vs non-local forward equations for option prices, 2012.

- R Cont, N Perkowski (2019) Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity, Transactions of the American Mathematical Society (Series B), Volume 6, 161-186.
- R Cont, E Schaanning (2019) Monitoring indirect contagion, Journal of Banking and Finance, Volume 104, July 2019, Pages 85-102.
- Sirignano, J and Cont, R (2019) Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning, Quantitative Finance Vol. 19, No. 9.

Featured in RISK Magazine (March 2018): Neural network learns universal model for stock-price moves. - R Cont , A Kalinin (2018) On the support of solutions of stochastic differential equations with path-dependent coefficients .To appear in: Stochastic Processes and their Applications.
- R Cont, Adrien de Larrard Order book dynamics in liquid markets: limit theorems and diffusion approximations, to appear in Stochastic Systems.
- H Chiu, R Cont (2018) On pathwise quadratic variation for cadlag functions, Electronic Communications in Probability, Volume 23, paper no. 85.
- A Ananova, R Cont (2017)
Pathwise integration with respect to paths of finite quadratic variation,
**Journal de Mathematiques Pures et Appliquees,**Volume 107, No 6, June 2017, 737-757. - R Cont (2017) Central clearing and risk transformation, Financial Stability Review (Banque de France), No. 21, April 2017.
- R Cont, A Kukanov (2017) Optimal order placement in limit order markets, Quantitative Finance, Volume 17, No. 1, 21-39.
- R Cont, Yi Lu (2016) Weak approximations for martingale representations,
**Stochastic Processes and Applications**, Volume 126, Issue 3, March 2016, Pages 857--882. - R Cont, D.A. Fournie Functional Kolmogorov equations, in: V Bally, L Caramellino, R Cont (2016)Stochastic integration by parts and Functional Ito calculus, pages 183-207.
- H Amini, R Cont, A Minca: Resilience to contagion in financial networks,
**Mathematical finance,**Volume 26, Issue 2, pages 329--365, April 2016. - R Cont: Functional Ito calculus and functional Kolmogorov equations, in: V Bally et al. Stochastic integration by parts and Functional Ito calculus (Lectures Notes of the Barcelona Summer School on Stochastic Analysis, Centro de Recerca de Matematica, July 2012), Birkhauser.
- R Cont, L Wagalath: Fire sale forensics: measuring
endogenous risk.
**Mathematical Finance,**Volume 26, Issue 4 (Oct. 2016) 835-866. - R Cont, L Wagalath (2016) Institutional investors and the dependence structure of asset returns. Int. J. Theor. Appl. Finance, Volume 19 (March 2016), 1650010-1650047.
- R Cont, A Minca (2016) Credit default swaps and systemic risk, Annals Of Operations Research, December 2016, Volume 247, Issue 2, 523-547.
- R Cont, L Wagalath (2016) Risk management for whales, RISK, June 2016.
- A Bentata, R Cont: Forward equations for option prices in semimartingale models,
**Finance and Stochastics**, Volume 19, No. 3, 617-651, July 2015. - R Cont (2015) The end of the waterfall: default resources of central counterparties, Journal of Risk management in Financial Institutions, Vol. 8, No. 4.
- R Cont, Th
Kokholm (2014) Central Clearing of OTC Derivatives: bilateral vs
multilateral netting,
**Statistics and Risk Modeling**, Vol 31, No. 1, 3-22, March 2014. - R Cont, A Kukanov, S Stoikov (2014) The price impact of
order book events,
**Journal of Financial Econometrics**Vol 12, No 1, 47-88. - R Cont, D Fournie (2013) Functional Ito calculus and stochastic integral
representation of martingales,
**Annals of Probability**, Vol 41, No 1, 109-133. - R Cont, A de Larrard (2013) Price dynamics in a Markovian limit order book market,
**SIAM Journal for Financial Mathematics**, Vol 4, No 1, 1-25, 2013. - R Cont, R Deguest, XueDong He (2013) Loss-based risk
measures,
**Statistics and Risk Modeling**, Vol 30, No. 2, 133-167, June 2013. - R Cont, R Deguest (2013) Equity correlations implied by index options: estimation
and model uncertainty analysis,
**Mathematical Finance,**Vol. 23, No. 3 (July 2013), 496--530. - R Cont, A Minca (2013) Recovering Portfolio Default Intensities Implied by CDO
Quotes,
**Mathematical Finance,**Vol 23, 94-121 (2013). - R Cont, A Moussa and E. B. Santos (2013) Network structure
and systemic risk in banking systems.

in: JP Fouque & J Langsam (eds.): Handbook of Systemic Risk, Cambridge University Press, p 327-368. - R Cont, L Wagalath (2013) Running for the exit: distressed selling and endogenous
correlation in financial markets.
**Mathematical Finance**Vol 23, Issue 4, p. 718-741, October 2013. - R Cont, Th Kokholm: A Consistent Pricing Model for Index Options and Volatility
Derivatives,
**Mathematical Finance,**Vol 23, Issue 2, pages 248-274, April 2013. - Benoit Mandelbrot et la modélisation mathématique en finance, Gazette des Mathématiciens No 136, 159-166 (April 2013).
- H Amini, R Cont, A Minca: Stress testing the resilience of financial networks,
**International Journal of Theoretical and applied finance**, Vol 15, (2012). - R Cont, Cathrine Jessen: Constant Proportion Debt Obligations (CPDO): Modeling and
Risk Analysis,
**Quantitative Finance,**Vol 12, No 8, p 1199-1218. - Amini H, Cont R, Minca A: Stress Testing the Resilience of Financial Networks, in: Finance at Fields, Editor(s): Grasselli, Hughston, World Scientific Publishing Company, 2012, Pages: 17-36, ISBN:9789814407885
- R Cont : Statistical Modeling of High Frequency Financial Data:
Facts, Models and Challenges.
**IEEE Signal Processing**, Volume 28, No 5, 16-25 (2011). - R Cont, YuHang Kan : Dynamic hedging of portfolio credit derivatives.
**SIAM Journal for Financial Mathematics**, Vol 2 (2011), 112-140. - R Cont, N Lantos and Olivier Pironneau: A reduced basis method for
option pricing,
**SIAM Journal for Financial Mathematics**, Vol 2 (2011), 287-316. - R Cont, C Mancini: Nonparametric tests for the pathwise properties of
semimartingales,
**Bernoulli**, Vol 17, No 2, 781-813 (2011). - R Cont, D Fournié Change of variable formulas for non-anticipative functional on path space, Journal of Functional Analysis, 259 (2010) 1043–1072. > 80 citations.
- R Cont (2010)Credit
default swaps and financial stability,
*Financial Stability Review*(Banque de France), No 14, 35-43, July 2010. - R Cont, S Stoikov and R Talreja: A stochastic model for order book dynamics, Operations Research, Volume 58, 549-563, 2010.
- R Cont, R Deguest and G Scandolo: Robustness and
Sensitivity Analysis of Risk Measurement Procedures,
*Quantitative Finance*, Vol. 10, No. 6, June–July 2010, 593–606. - R Cont, M Lowe (2010)Social distance, heterogeneity and social interactions. Journal of Mathematical Economics, Volume 46, 572-590, 2010.
- R Cont, R Deguest and Yu Hang Kan: Default Intensities implied by CDO Spreads: Inversion Formula and Model Calibration, SIAM Journal of Financial Mathematics, Volume 1, pp. 555-585 (2010)..
- Model Calibration, in: Encyclopedia of Quantitative Finance, Wiley (2010), pages 1210-1219.
- Credit Default Swaps, in: Encyclopedia of Quantitative Finance, Wiley (2010), pages 424-431.
- R Cont, D Fournié (2009) A functional extension of the Ito formula , Comptes Rendus Mathematiques de l'Academie des Sciences, Volume 348, Issues 1-2, Pages 57-61.
- R Cont, P Tankov: Constant Proportion Portfolio Insurance in presence of jumps in asset prices, Mathematical Finance, Vol. 19, Issue 3, pp. 379-401, July 2009.
- Les statistiques face aux événements
extremes (in French)
*Pour La Science*, Dec 2009. - R Cont, Emily Tanimura (2008) Small world graphs: characterization and alternative constructions, Advances in Applied Probability, Volume 40, no 4 (December 2008), 939-965.
- R Cont, Ioana Savescu (2008): Forward equations for portfolio
credit derivatives, published in: Chapter 11, R Cont (ed.):
*Frontiers in Quantitative Finance: credit risk and volatility modeling*, Wiley, 2008. - La modélisation mathématique des
risques financiers (in French)
*Pour La Science*, Dec 2008, p 24-27. - R Cont, P Tankov, E Voltchkova. Hedging with options in presence of jumps, in : Benth, F.E.; Di Nunno, G.; Lindstrom, T.; Oksendal, B.; Zhang, T. (Eds.) Stochastic Analysis and Applications: The Abel Symposium 2005 in honor of Kiyosi Ito, Springer 2007, pages 197-218.
- Volatility clustering in financial markets, in: A Kirman & G Teyssiere (Eds.): Long memory in economics, Springer (2007), 289-310.
- Model-free representation of pricing rules as conditional expectations, in: Stochastic processes and applications to mathematical finance, Proceedings of the 6th Ritsumeikan International Symposium, World Scientific (2007), p 53-66. With: Sara Biagini.
- La notation de credit des produits
structures (in French)
*Echanges*, Dec 2007, 69-72. - Model uncertainty and its impact on derivative
instruments.
*Mathematical Finance*, Vol 16, 519-542, July 2006.**> 350 citations.** - R Cont, P Tankov (2006) Retrieving Lévy processes
from option prices: regularization of a nonlinear inverse problem.
*SIAM Journal of Control and Optimization*,**45**, 1, 1-25. - R Cont, E Voltchkova: Finite difference methods for
option pricing in jump-diffusion and exponential Levy models.
*SIAM Journal of Numerical Analysis*, Vol 43, No. 4, pp. 1596-1626.**ISI Highly Cited Paper. > 440 citations.** - Modeling term structure dynamics: an infinite
dimensional approach,
*International Journal of Theoretical and Applied Finance*, Vol 8, No 3, p 1-24 (2005). - R Cont, S Ben Hamida: Recovering volatility from option prices by
evolutionary optimization.
*Journal of Computational Finance*, Vol. 8, No 3, 43-76. - R Cont, E Voltchkova (2005)Integrodifferential equations for option prices
in exponential Lévy models,
*Finance & Stochastics*, Volume 9, Number 3, pages 299-325. - Long range dependence in financial time series, in: E Lutton & J Lévy Vehel (Eds.):Heterogeneity and feedback in an agent-based market model, Journal of Physics: Condens. Matter 17 (2005) S1259-S1268. With: F Ghoulmie and JP Nadal.
- Nonparametric calibration of jump-diffusion
processes,
*Journal of Computational Finance*, Vol .7, No 3, pp 1-49. With: P Tankov. - Option pricing models with jumps: integrodifferential equations and inverse problems.in: P Neittanmaki et al (Eds.): ECCOMAS 2004. With: E Voltchkova, P Tankov.
- R Cont, J Da Fonseca, V Durrleman: Stochastic models of implied volatility
surfaces,
*Economic Notes*, vol. 31, No. 2, 361 - 377. - R Cont, Jose da Fonseca: Dynamics
of implied volatility surfaces,
*Quantitative Finance*, Vol 2, No 2, ( 2002 ) 45-60.**> 400 citations.** - Empirical properties of asset returns: stylized
facts and statistical issues in: Quantitative
Finance, Vol 1, No 2, (March 2001) 223-236.
**ISI Highly Cited: > 2600 citations.** - Herd behavior and aggregate fluctuations in
speculative markets, Macroeconomic
dynamics, Vol. 4, No.2, 170-196 (with: J.P. Bouchaud).
**> 950 citations.** - JP Bouchaud, R Cont, N ElKaroui, N Sagna, M Potters.Phenomenology of the interest rate curve: a statistical analysis of term structure deformations", Applied Mathematical Finance, Vol. 6, No. 3 (Sept 1999), 209-232.
- Are financial crashes predictable?, Europhysics Letters, Vol. 45, No. 1, pp. 1-5 (1999). With: JP Bouchaud, M Potters and L Laloux.
- Modeling economic randomness: statistical
mechanics of market phenomena, in: M Batchelor, L Wille (Eds.):
*Statistical Physics in the 21st century*, World Scientific: 1998. - J-Ph Bouchaud, R Cont: "A Langevin approach to
stock market fluctuations and crashes", European Physical Journal B
**6**(1998) 4, 543-550. - Des marches aléatoires aux marchés aléatoires: modélisation statistique des fluctuations boursieres. Doctoral thesis, Université de Paris IX.
- R Cont, D Sornette: Convergent multiplicative processes repelled from zero: power laws and truncated power laws, Journal de Physique I , Vol. 7, March 1997, 431-444.
- J-Ph Bouchaud, R Cont, M Potters (1997) Scaling in stock market data: stable
laws and beyond, in: B. Dubrulle, F. Graner, D. Sornette
(Eds.):
*Scale invariance and beyond*, Springer.

**Introduced the class of `tempered stable' Lévy processes in financial modelling.**