Rama CONT
Rama CONT
University of Oxford. 牛津大学数学系 دانشگاه آکسفورد
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Financial modelling with jump processes
R Cont, P Tankov
Chapman & Hall, 2004
5429*2004
Empirical properties of asset returns: stylized facts and statistical issues
R Cont
Quantitative Finance 1 (2), 223-236, 2001
32692001
Herd behavior and aggregate fluctuations in financial markets
R Cont, JP Bouchaud
Macroeconomic dynamics 4 (2), 170-196, 2000
10722000
A finite difference scheme for option pricing in jump-diffusion and exponential Lévy models
R Cont, E Voltchkova
SIAM Journal of Numerical Analysis 43 (4), 1596-1626, 2005
5562005
Network structure and systemic risk in banking systems
R Cont, A Moussa, E Santos
Handbook on Systemic Risk, 327-368, 2013
5122013
Dynamics of implied volatility surfaces
R Cont, J Da Fonseca
Quantitative finance 2 (1), 45-60, 2002
5052002
A stochastic model for order book dynamics
R Cont, S Stoikov, R Talreja
Operations Research 59 (September/October), 1233-1245, 2010
4862010
Model uncertainty and its impact on the pricing of derivative instruments
R Cont
Mathematical Finance 16 (3), 519-547, 2006
4282006
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models.
R Cont
Long Memory in Economics, 289-310, 2007
4002007
A Langevin approach to stock market fluctuations and crashes
JP Bouchaud, R Cont
The European Physical Journal B-Condensed Matter and Complex Systems 6 (4 …, 1998
3921998
Nonparametric calibration of jump-diffusion processes
R Cont, P Tankov
Journal of Computational Finance 7 (3), 1-49, 2004
348*2004
The price impact of order book events
R Cont, A Kukanov, S Stoikov
Journal of Financial Econometrics 12 (1), 48-77, 2014
3372014
Resilience to contagion in financial networks
H Amini, R Cont, A Minca
Mathematical Finance 26 (2), 329-365, 2016
3262016
Convergent multiplicative processes repelled from zero: power laws and truncated power laws
D Sornette, R Cont
Journal de Physique I 7 (3), 431-444, 1997
3231997
Robustness and sensitivity analysis of risk measurement procedures
R Cont, R Deguest, G Scandolo
Quantitative finance 10 (6), 593-606, 2010
3072010
Price dynamics in a Markovian limit order market
R Cont, A De Larrard
SIAM Journal on Financial Mathematics 4 (1), 1-25, 2013
3052013
Scaling in stock market data: stable laws and beyond
R Cont, JP Bouchaud, M Potters
B. Dubrulle, F. Graner, D. Sornette (eds.) Scale Invariance and Beyond, 75-85, 1997
275*1997
Functional Ito calculus and stochastic integral representation of martingales
R Cont, DA Fournie
Annals of Probability 41 (1), 109-133, 2013
2492013
Integro-differential equations for option prices in exponential Lévy models
R Cont, E Voltchkova
Finance and Stochastics 9 (3), 299-325, 2005
2102005
Long range dependence in financial markets
R Cont
Fractals in Engineering, 159-179, 2005
1692005
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