Rama CONT is Professor of Mathematics and Chair in Mathematical Finance at Imperial College London, Director of the CFM-Imperial Institute of Quantitative Finance. and co-Director of the EPSRC Centre for Doctoral Training in Financial Analytics and Computing.
He joined Imperial College in 2012 after holding teaching and research positions at Ecole Polytechnique (France), Columbia University (New York) and Université Pierre & Marie Curie (Paris VI).
Rama Cont's research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk. He has participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored more than 60 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003), and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He served as Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012).
Prof. Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance.
He holds a Doctorat from Université de Paris Sud (Orsay), a Masters degree in Theoretical Physics from Ecole Normale Supérieure (Paris) and a BSc from Ecole Polytechnique (France).
et al., 2017, Pathwise integration with respect to paths of finite quadratic variation, Journal de Mathematiques Pures et Appliquees, Vol:107, ISSN:0021-7824, Pages:737-757
et al., 2014, Fire sales forensics: Measuring endogenous risk, Mathematical Finance, Vol:26, ISSN:0960-1627, Pages:835-866
et al., 2010, A functional extension of the Ito formula, Comptes Rendus Mathematique, Vol:348, ISSN:1631-073X, Pages:57-61
et al., 2010, A Stochastic Model for Order Book Dynamics, Operations Research, Vol:58, ISSN:0030-364X, Pages:549-563
et al., 2010, Change of variable formulas for non-anticipative functionals on path space, Journal of Functional Analysis, Vol:259, ISSN:0022-1236, Pages:1043-1072
et al., 2010, Robustness and sensitivity analysis of risk measurement procedures, Quantitative Finance, Vol:10, ISSN:1469-7688, Pages:593-606
et al., 2011, Statistical Modeling of High-Frequency Financial Data Facts, models, and challenges, IEEE Signal Processing Magazine, Vol:28, ISSN:1053-5888, Pages:16-25
et al., 2016, RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS, Mathematical Finance, Vol:26, ISSN:0960-1627, Pages:329-365
et al., 2013, FUNCTIONAL ITO CALCULUS AND STOCHASTIC INTEGRAL REPRESENTATION OF MARTINGALES, Annals of Probability, Vol:41, ISSN:0091-1798, Pages:109-133
et al., 2013, Price Dynamics in a Markovian Limit Order Market, SIAM Journal on Financial Mathematics, Vol:4, ISSN:1945-497X, Pages:1-25
Cont R, Bally V, Caramellino L, 2016, Stochastic Integration by Parts and Functional Itô Calculus, Birkhäuser, ISBN:978-3-319-27128-6
Cont R, Moussa A, Santos EB, 2013, Network structure and systemic risk in banking systems., Handbook of Systemic Risk, Editor(s): Fouque, Langsam, Cambridge University Press, Pages:327-367, ISBN:9781107023437