Stochastic analysis: pathwise methods in stochastic analysis, Functional Ito calculus.

Mathematical modeling in finance:

- Limit order markets
- Credit Risk
- Financial Modeling with jump processes
- Statistical modeling of financial data
- Computational finance: option pricing and inverse problems
- Quantitative Risk Management
- Endogenous risk: agent-based models and nonlinear dynamics
- Articles de vulgarisation en Francais

- R Cont: Functional Ito calculus and functional Kolmogorov equations, Lectures Notes of the Barcelona Summer School on Stochastic Analysis, Centro de Recerca de Matematica (July 2012), in: V Bally et al: Stochastic integration by parts and Functional Ito calculus, Birkhauser. <
- A Ananova, R Cont (2016) Pathwise integration with respect to paths of finite quadratic variation, Journal de Mathematiques Pures et Appliquees,
- R Cont, Yi Lu (2015) Weak approximations for martingale representations, Stochastic Processes and Applications, Vol 126.
- P Blacque-Florentin, R Cont (2015) Functional calculus and martingale representation formula for integer-valued measures.
- R Cont, D Fournié (2013) Functional Ito calculus and stochastic integral
representation of martingales,
**Annals of Probability**, Vol 41, No 1, 109-133. - R Cont, D Fournié (2010) A functional extension of the Ito formula , Comptes Rendus Mathématiques de l'Académie des Sciences, Volume 348, Issues 1-2, January 2010, Pages 57-61.
- R Cont, D Fournié: Change of variable formulas for non-anticipative functional on path space, Journal of Functional Analysis, 259 (2010) 1043–1072.
- Mimicking the marginals of a semimartingale, 2009. With: Amel BENTATA.
- 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, E. B. Santos and A Moussa: Network
structure and systemic risk in banking systems.

in: JP Fouque & J Langsam (eds.):**Handbook of Systemic Risk**, Cambridge University Press, 2013. - R Cont, L Wagalath (2013) Running for the exit: short selling and endogenous
correlation in financial markets.
**Mathematical Finance**Vol 23, Issue 4, p. 718-741, October 2013. - R Cont, A Minca (2014) Credit default swaps and systemic risk, Annals Of Operations Research,.
- R Cont, L Wagalath: Fire sale forensics: measuring endogenous risk. Mathematical Finance, Volume 26, Issue 4 (Oct. 2016) 835-866.
- R Cont, L Wagalath: Institutional investors and the dependence structure of asset returns. Int. J. Theor. Appl. Finance, Volume 19 (March 2016), 1650010-1650047.
- H Amini, R Cont, A Minca: Resilience to contagion in financial networks,
**Mathematical finance,**Volume 26, Issue 2, pages 329-365, April 2016. - H Amini, R Cont,
A Minca: Stress testing the resilience of financial networks,
**International Journal of Theoretical and applied finance**, Vol 15, (2012). - Credit default swaps and financial stability,
*Financial Stability Review*, No 14, 35-43, July 2010. - Measuring systemic risk, Working Paper, 2009.
- Too interconnected to fail: contagion and systemic risk in financial networks. With: Amal MOUSSA.

- 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.
- Optimal order placement in limit order markets, 2012. With: Arseniy KUKANOV.
- A stochastic model for order
book dynamics,
**Operations Research**, Volume 58, 549-563, 2010. With: S Stoikov and R Talreja. - Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges, IEEE Signal Processing, Volume 28.
- Order book dynamics in liquid markets: heavy traffic limits and jump-diffusion approximations, 2010. With: Adrien de LARRARD.
- Price dynamics in limit order markets: linking volatility with order flow, 2011. With: Adrien de LARRARD.
- R Cont, A Kukanov, S Stoikov (2014) The price impact of
order book events,
**Journal of Financial Econometrics**Vol 12, No 1, 47-88.

- Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
- Recovering
Portfolio Default Intensities Implied by CDO Quotes, 2008. With:
Andreea MINCA. To appear in:
**Mathematical Finance (2011).** - Dynamic
hedging of portfolio credit derivatives.
**SIAM Journal of Financial Mathematics,**Vol 2 (2011), 112-140. With : Yu Hang KAN. - Credit
default swaps and financial stability,
*Financial Stability Review*(Banque de France), No 14, 35-43, July 2010. - Default Intensities implied by
CDO Spreads: Inversion Formula and Model Calibration,
**SIAM Journal of Financial Mathematics**, Volume 1, pp. 555-585 (2010). With: R Deguest and Yu Hang KAN. - Constant
Proportion Debt Obligations (CPDO): Modeling and Risk Analysis, 2009.
To appear in:
**Quantitative Finance.**With: Cathrine Jessen. - Forward
equations for portfolio credit derivatives, published in: Chapter 11, R
Cont (ed.):
*Frontiers in Quantitative Finance: credit risk and volatility modeling*, Wiley, 2008. With: Ioana SAVESCU. - R Cont (ed.) :
*Frontiers in Quantitative Finance: credit risk and volatility modeling*, Wiley, 2008. - R Bruyère, R Cont, R Copinot, C Jaeck, L Féry, T Spitz:
*Credit Derivatives*, Wiley, 2005.

- 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. - Recovering
Portfolio Default Intensities Implied by CDO Quotes, 2008. With:
Andreea MINCA. To appear in:
**Mathematical Finance (2011).** - A reduced
basis method for option pricing,
**SIAM Journal of Financial Mathematics**, Vol 2 (2011), 287-316. With: N Lantos and Olivier Pironneau. - Default Intensities implied by
CDO Spreads: Inversion Formula and Model Calibration,
**SIAM Journal of Financial Mathematics**, Volume 1, pp. 555-585 (2010). With: R Deguest and Yu Hang KAN. - Finite difference methods for option pricing in
jump-diffusion and exponential Levy models.
(2006), Vol 43, No. 4, pp. 1596-1626. With: E Voltchkova.**SIAM Journal of Numerical Analysis** - Recovering volatility from option prices
by evolutionary optimization.
(2005), Volume 8, No 3. With: S Ben Hamida.**Journal of Computational Finance** - Retrieving Lévy processes from option
prices: regularization of a nonlinear inverse problem.
,*SIAM Journal of Control and Optimization***45**, 1, p 1-25 (2005). With: P Tankov. - Nonparametric calibration of jump-diffusion
processes,
(2004), Vol .7, No 3, pp 1-49. With: P Tankov.**Journal of Computational Finance** - R Cont & P Tankov:
**Financial modelling with jump processes**, Chapman and Hall/ CRC Press, 2003

- R Cont, E. B. Santos and A Moussa: Network
structure and systemic risk in banking systems.

in: JP Fouque & J Langsam (eds.):**Handbook of Systemic Risk**, Cambridge University Press, 2013. - H Amini, R Cont,
A Minca: Stress testing the resilience of financial networks,
**International Journal of Theoretical and applied finance**, Vol 15, (2012). - Resilience to contagion in financial networks, 2010. With: A Minca and H Amini.

- R Cont & P Tankov:
**Financial modelling with jump processes**, Chapman and Hall/ CRC Press, 2003. - Forward
equations for option prices in semimartingale models, 2009. With: Amel
Bentata. To appear in:
**Finance & Stochastics.** - A Consistent
Pricing Model for Index Options and Volatility Derivatives , 2009. To
appear in:
**Mathematical Finance (2011).**With: Thomas Kokholm. - Constant Proportion Portfolio Insurance in presence of jumps in asset prices, Mathematical Finance, Vol. 19, Issue 3, pp. 379-401, July 2009. With: P Tankov.
- Hedging with options in presence of jumps, in : Benth, F.E.; Di Nunno, G.; Lindstrom, T.; Øksendal, B.; Zhang, T. (Eds.) Stochastic Analysis and Applications: The Abel Symposium 2005 in honor of Kiyosi Ito, Springer 2007, pages 197-218. With: P Tankov, E Voltchkova.
- Finite difference methods for option pricing in
jump-diffusion and exponential Levy models.
*SIAM Journal of Numerical Analysis*(2006), Vol 43, No. 4, pp. 1596-1626. With: E Voltchkova. - Integrodifferential equations for
option prices in exponential Lévy models,
*Finance & Stochastics*, Volume 9, Number 3, pages 299-325 (2005). With: E Voltchkova. - 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.
- Scaling in stock market data:
stable laws and beyond, in: B. Dubrulle, F. Graner, D. Sornette
(Eds.):
*Scale invariance and beyond*, Springer, 1997.

- R Cont, R Deguest, XueDong He (2013) Loss-based risk measures, Statistics and Decisions, Vol 30, May 2013.
- Central Clearing of interest rate swaps: a comparison of offerings, 2011. With: YuHua YU and Radu MONDESCU.
- Dynamic hedging of portfolio credit derivatives. SIAM Journal for Financial Mathematics, Vol 2 (2011), 112-140. With : Yu Hang KAN.
- Robustness and Sensitivity Analysis of
Risk Measurement Procedures,
*Quantitative Finance*, Vol. 10, No. 6, June–July 2010, 593–606 . With: R Deguest and G Scandolo. - Model uncertainty and its impact on
derivative instruments.
*Mathematical Finance*, Vol 16, 519-542, July 2006.

- Statistical Modeling of Credit default swap portfolios, 2011. With: YuHang KAN.
- Nonparametric tests for the pathwise properties of semimartingales, Bernoulli, Vol 17, No 2, 781-813 (2011). With: Cecilia Mancini.
- Robustness and Sensitivity Analysis of
Risk Measurement Procedures,
*Quantitative Finance*, Vol. 10, No. 6, June–July 2010, 593–606 . With: R Deguest and G Scandolo. - Modeling term structure dynamics: an infinite
dimensional approach,
*International Journal of Theoretical and Applied Finance*, Vol 8, No 3, p 1-24 (2005). - Long range dependence in financial time
series, in:
*Fractals in Engineering*, E Lutton & J Levy Vehel (Eds.), Springer (2005). - Volatility clustering in financial markets, in: A Kirman & G Teyssiere (Eds.): Long memory in economics, Springer (2007), 289-310.
- Stochastic models of implied volatility
surfaces,
*Economic Notes*, vol. 31, No. 2, 361 - 377 (2002). With: Jose da Fonseca & Valdo Durrleman. - Dynamics of implied
volatility surfaces,
*Quantitative Finance*, Vol 2, No 2, ( 2002 ) 45-60. With: Jose da Fonseca. - Empirical properties of asset returns: stylized facts and statistical issues, in: Quantitative Finance, Vol 1, No 2, (March 2001) 223-236.
- Phenomenology of the interest rate curve: a statistical analysis of term structure deformations, Applied Mathematical Finance, Vol. 6, No. 3 (Sept 1999). With: JP Bouchaud, N ElKaroui, N Sagna, M Potters.
- Scaling in stock market data:
stable laws and beyond, in: B. Dubrulle, F. Graner, D. Sornette
(Eds.):
*Scale invariance and beyond*, Springer, 1997. - Are financial crashes predictable?, Europhysics Letters, Vol. 45, No. 1, pp. 1-5 (1999). With: JP Bouchaud, M Potters and L Laloux.

- R Cont, L Wagalath (2013) Running for the exit: short selling and endogenous
correlation in financial markets.
**Mathematical Finance**Vol 23, Issue 4, p. 718-741, October 2013. - Social distance, heterogeneity and social interactions. Journal of Mathematical Economics, Volume 46, 572-590, 2010. With: Matthias Löwe.
- Heterogeneity and feedback in an agent-based market model, Journal of Physics: Condens. Matter 17 (2005) S1259-S1268. With: F Ghoulmie and JP Nadal.
- Volatility clustering in financial markets, in: A Kirman & G Teyssiere (Eds.): Long memory in economics, Springer (2007), 289-310.
- Modeling economic randomness: statistical
mechanics of market phenomena, in: M Batchelor, L Wille (Eds.):
*Statistical Physics in the 21st century*, World Scientific: 1998. - "A Langevin approach to stock market
fluctuations and crashes", European Physical Journal B
**6**(1998) 4, 543-550. - Herd behavior and aggregate fluctuations in speculative markets, Macroeconomic dynamics, Vol. 4, No.2, June 2000 (With: J.P. Bouchaud).

- 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.

- Benoit Mandelbrot et la modélisation mathématique en finance, Gazette des Mathématiciens No 136, 159-166 (April 2013).
- La modélisation mathématique
des risques financiers (in French)
*Pour La Science*, Dec 2008, p 24-27. - Les statistiques face aux
événements extremes (in French)
*Pour La Science*, Dec 2009, 24-27. - La notation de credit des produits
structures (in French)
*Echanges*, Dec 2008, 69-72.

- Convergent multiplicative processes repelled from zero: power laws and truncated power laws, Journal de Physique I , Vol. 7, March 1997, 431-444 (with D. Sornette).