Rama CONT is Chair of Mathematical Finance at the University of Oxford and Director of the Oxford- Imperial Centre for Doctoral Training in Mathematics of Random Systems.
Rama Cont's research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks and systemic risk. He has co-authored more than 70 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003).
From 2014 to 2018, he served as founding director of the CFM-Imperial Institute of Quantitative Finance. He served as Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010) and 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 and the Royal Society Award for Excellence in Interdisciplinary Research in 2017. He was elected Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2017 for his 'contributions to stochastic analysis and mathematical modeling in finance.'
, 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
Amini H, Cont R, Minca A, 2016, RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS, Mathematical Finance, Vol:26, ISSN:0960-1627, Pages:329-365
Cont R, Wagalath L, 2014, Fire sales forensics: Measuring endogenous risk, Mathematical Finance, Vol:26, ISSN:0960-1627, Pages:835-866
Cont R, Fournie D-A, 2013, FUNCTIONAL ITO CALCULUS AND STOCHASTIC INTEGRAL REPRESENTATION OF MARTINGALES, Annals of Probability, Vol:41, ISSN:0091-1798, Pages:109-133
Cont R, de Larrard A, 2013, Price Dynamics in a Markovian Limit Order Market, SIAM Journal on Financial Mathematics, Vol:4, ISSN:1945-497X, Pages:1-25
Cont R, 2011, Statistical Modeling of High-Frequency Financial Data Facts, models, and challenges, IEEE Signal Processing Magazine, Vol:28, ISSN:1053-5888, Pages:16-25
Cont R, Fournie D-A, 2010, Change of variable formulas for non-anticipative functionals on path space, Journal of Functional Analysis, Vol:259, ISSN:0022-1236, Pages:1043-1072
Cont R, Stoikov S, Talreja R, 2010, A Stochastic Model for Order Book Dynamics, Operations Research, Vol:58, ISSN:0030-364X, Pages:549-563
Cont R, Deguest R, Scandolo G, 2010, Robustness and sensitivity analysis of risk measurement procedures, Quantitative Finance, Vol:10, ISSN:1469-7688, Pages:593-606
Cont R, Fournie D, 2010, A functional extension of the Ito formula, Comptes Rendus Mathematique, Vol:348, ISSN:1631-073X, Pages:57-61
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