Rama CONT: Research Publications


  1. 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.
  2. R Cont & P Tankov: Financial modelling with jump processes, Chapman and Hall/ CRC Press, 2003. > 4500 citations.
  3. R Cont (Editor in Chief): Encyclopedia of Quantitative Finance Wiley (2010).
  4. R Cont (ed.) : Frontiers in Quantitative Finance: credit risk and volatility modeling, Wiley, 2008.

Recent working Papers

  1. R Cont, Purba Das (2019) Quadratic variation and quadratic roughness.
  2. R Cont, A Kotlicki and L Valderrama (2019) Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity.
  3. R Cont, M Mueller (2019) A stochastic partial differential equation model for limit order book dynamics.
  4. Francesco Capponi, R Cont (2019) Trade Duration, Volatility and Market Impact.
  5. A Ananova and R Cont (2018) A pathwise Ito formula for weakly differentiable functions.
  6. R Cont (2018) Margin requirements for non-cleared derivatives.
  7. R Cont, Yuhua Yu (2018) Algorithmic trade execution and intraday market dynamics.
  8. R Cont, Eric Schaanning (2017) Fire sales, indirect contagion and systemic stress-testing.
    Highlighted in Central Banking Journal.
  9. R Cont, Candia Riga (2014) Pathwise analysis and robustness of hedging strategies.
  10. P Blacque-Florentin, R Cont (2015) Functional calculus and martingale representation formula for integer-valued measures.
  11. R Cont, A Bentata (2009)Mimicking the marginals of a semimartingale.
  12. R Cont, M Avellaneda (2013) Close-Out Risk Evaluation.
  13. R Cont (2012): Weak functional calculus for square-integrable semimartingales.
  14. Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
  15. Central Clearing of interest rate swaps: a comparison of offerings, 2011. With: YuHua YU and Radu MONDESCU.
  16. R Cont, Yu GU Local vs non-local forward equations for option prices, 2012.

Research Publications (by year of publication)


  1. 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.
  2. R Cont, E Schaanning (2019) Monitoring indirect contagion, Journal of Banking and Finance, Volume 104, July 2019, Pages 85-102.
  3. 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.
  4. 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.
  5. R Cont, Adrien de Larrard Order book dynamics in liquid markets: limit theorems and diffusion approximations, to appear in Stochastic Systems.
  6. 2018

  7. H Chiu, R Cont (2018) On pathwise quadratic variation for cadlag functions, Electronic Communications in Probability, Volume 23, paper no. 85.
  8. 2017

  9. 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.
  10. R Cont (2017) Central clearing and risk transformation, Financial Stability Review (Banque de France), No. 21, April 2017.

  11. R Cont, A Kukanov (2017) Optimal order placement in limit order markets, Quantitative Finance, Volume 17, No. 1, 21-39.
  12. 2016

  13. R Cont, Yi Lu (2016) Weak approximations for martingale representations, Stochastic Processes and Applications, Volume 126, Issue 3, March 2016, Pages 857--882.
  14. 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.
  15. H Amini, R Cont, A Minca: Resilience to contagion in financial networks, Mathematical finance, Volume 26, Issue 2, pages 329--365, April 2016.
  16. 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.
  17. R Cont, L Wagalath: Fire sale forensics: measuring endogenous risk. Mathematical Finance, Volume 26, Issue 4 (Oct. 2016) 835-866.
  18. 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.
  19. R Cont, A Minca (2016) Credit default swaps and systemic risk, Annals Of Operations Research, December 2016, Volume 247, Issue 2, 523-547.
  20. R Cont, L Wagalath (2016) Risk management for whales, RISK, June 2016.
  21. 2015

  22. A Bentata, R Cont: Forward equations for option prices in semimartingale models, Finance and Stochastics, Volume 19, No. 3, 617-651, July 2015.
  23. R Cont (2015) The end of the waterfall: default resources of central counterparties, Journal of Risk management in Financial Institutions, Vol. 8, No. 4.
  24. 2014

  25. 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.
  26. R Cont, A Kukanov, S Stoikov (2014) The price impact of order book events, Journal of Financial Econometrics Vol 12, No 1, 47-88.
  27. 2013

  28. R Cont, D Fournie (2013) Functional Ito calculus and stochastic integral representation of martingales, Annals of Probability, Vol 41, No 1, 109-133.
  29. 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.
  30. R Cont, R Deguest, XueDong He (2013) Loss-based risk measures, Statistics and Risk Modeling, Vol 30, No. 2, 133-167, June 2013.
  31. 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.
  32. R Cont, A Minca (2013) Recovering Portfolio Default Intensities Implied by CDO Quotes, Mathematical Finance, Vol 23, 94-121 (2013).
  33. 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.
  34. 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.
  35. 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.
  36. Benoit Mandelbrot et la modélisation mathématique en finance, Gazette des Mathématiciens No 136, 159-166 (April 2013).
  37. 2012

  38. H Amini, R Cont, A Minca: Stress testing the resilience of financial networks, International Journal of Theoretical and applied finance, Vol 15, (2012).
  39. R Cont, Cathrine Jessen: Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis, Quantitative Finance, Vol 12, No 8, p 1199-1218.
  40. 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
  41. 2011

  42. R Cont : Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges. IEEE Signal Processing, Volume 28, No 5, 16-25 (2011).
  43. R Cont, YuHang Kan : Dynamic hedging of portfolio credit derivatives. SIAM Journal for Financial Mathematics, Vol 2 (2011), 112-140.
  44. R Cont, N Lantos and Olivier Pironneau: A reduced basis method for option pricing, SIAM Journal for Financial Mathematics, Vol 2 (2011), 287-316.
  45. R Cont, C Mancini: Nonparametric tests for the pathwise properties of semimartingales, Bernoulli, Vol 17, No 2, 781-813 (2011).
  46. 2010

  47. 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.
  48. R Cont (2010)Credit default swaps and financial stability, Financial Stability Review (Banque de France), No 14, 35-43, July 2010.
  49. R Cont, S Stoikov and R Talreja: A stochastic model for order book dynamics, Operations Research, Volume 58, 549-563, 2010.
  50. 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.
  51. R Cont, M Lowe (2010)Social distance, heterogeneity and social interactions. Journal of Mathematical Economics, Volume 46, 572-590, 2010.
  52. 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)..
  53. Model Calibration, in: Encyclopedia of Quantitative Finance, Wiley (2010), pages 1210-1219.
  54. Credit Default Swaps, in: Encyclopedia of Quantitative Finance, Wiley (2010), pages 424-431.
  55. 2009

  56. 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.
  57. 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.
  58. Les statistiques face aux événements extremes (in French) Pour La Science, Dec 2009.
  59. 2008

  60. R Cont, Emily Tanimura (2008) Small world graphs: characterization and alternative constructions, Advances in Applied Probability, Volume 40, no 4 (December 2008), 939-965.
  61. 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.
  62. La modélisation mathématique des risques financiers (in French) Pour La Science , Dec 2008, p 24-27.
  63. 2007

  64. 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.
  65. Volatility clustering in financial markets, in: A Kirman & G Teyssiere (Eds.): Long memory in economics, Springer (2007), 289-310.
  66. 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.
  67. La notation de credit des produits structures (in French) Echanges , Dec 2007, 69-72.
  68. 2006

  69. Model uncertainty and its impact on derivative instruments. Mathematical Finance, Vol 16, 519-542, July 2006. > 350 citations.
  70. 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.
  71. 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.
  72. 2005

  73. Modeling term structure dynamics: an infinite dimensional approach,International Journal of Theoretical and Applied Finance, Vol 8, No 3, p 1-24 (2005).
  74. R Cont, S Ben Hamida: Recovering volatility from option prices by evolutionary optimization. Journal of Computational Finance, Vol. 8, No 3, 43-76.
  75. R Cont, E Voltchkova (2005)Integrodifferential equations for option prices in exponential Lévy models, Finance & Stochastics, Volume 9, Number 3, pages 299-325.
  76. 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.
  77. 2004

  78. Nonparametric calibration of jump-diffusion processes, Journal of Computational Finance, Vol .7, No 3, pp 1-49. With: P Tankov.
  79. Option pricing models with jumps: integrodifferential equations and inverse problems.in: P Neittanmaki et al (Eds.): ECCOMAS 2004. With: E Voltchkova, P Tankov.
  80. 2002

  81. R Cont, J Da Fonseca, V Durrleman: Stochastic models of implied volatility surfaces, Economic Notes, vol. 31, No. 2, 361 - 377.
  82. R Cont, Jose da Fonseca: Dynamics of implied volatility surfaces,Quantitative Finance, Vol 2, No 2, ( 2002 ) 45-60. > 400 citations.
  83. 2001

  84. 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.
  85. 20-th century

  86. Herd behavior and aggregate fluctuations in speculative markets, Macroeconomic dynamics, Vol. 4, No.2, 170-196 (with: J.P. Bouchaud).> 950 citations.
  87. 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.
  88. Are financial crashes predictable?, Europhysics Letters, Vol. 45, No. 1, pp. 1-5 (1999). With: JP Bouchaud, M Potters and L Laloux.
  89. Modeling economic randomness: statistical mechanics of market phenomena, in: M Batchelor, L Wille (Eds.): Statistical Physics in the 21st century, World Scientific: 1998.
  90. J-Ph Bouchaud, R Cont: "A Langevin approach to stock market fluctuations and crashes", European Physical Journal B 6 (1998) 4, 543-550.
  91. Des marches aléatoires aux marchés aléatoires: modélisation statistique des fluctuations boursieres. Doctoral thesis, Université de Paris IX.
  92. 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.
  93. 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.