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Professor Rama Cont, Chair in Mathematical Finance and Director of the CFM-Imperial Institute of Quantitative Finance, Department of Mathematics
The lecture is free to attend and open to all, but registration in advance in required – register to attend via Eventbrite (external link) for your place.
To interact about this lecture on Twitter, use the hashtag #systemicrisk.
Abstract
The recent financial crisis has made the monitoring and regulation of systemic risk a major concern for governments, financial institutions and regulators. It has underlined the importance of interconnectedness among financial institutions and markets, the role of feedback mechanisms in amplifying market instabilities and the necessity of adopting a system-wide view of financial stability and financial risk.
This lecture will attempt to illustrate how mathematical modelling can contribute to the understanding of mechanisms underlying systemic risk and examine the link between the structure of the financial system and its stability. Finally, it will focus on the contagion mechanisms that may lead to large scale instabilities in the financial system.
In the chair: Professor Richard Craster, Head of the Department of Mathematics
Vote of Thanks: Professor Hans Föllmer, Humboldt University, Berlin
About the speaker
Rama Cont is Professor of Mathematics and Chair in Mathematical Finance in the Department of Mathematics at Imperial College London, and founding Director of the CFM-Imperial Institute of Quantitative Finance. He joined Imperial in 2012 after holding positions at École Polytechnique (Paris), Columbia University and Université de Paris VI.
His research primarily includes probability theory, random processes and mathematical modelling in finance. His work on quantitative finance has focused in particular on the modelling of extreme market risks: discontinuities in price behaviour, market instabilities and systemic risk. He has participated in the design and testing of large-scale risk management systems for numerous financial institutions and regulators in Europe, the US, Brazil and Asia.
Professor Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modelling in finance.