Rama Cont is Professor of Mathematics and Chair of Mathematical Finance at the University of Oxford and Director of the EPSRC 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, liquidity risk and systemic risk and pathwise approaches in stochastic analysis. He has co-authored more than 80 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003).
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 for his work on systemic risk modelling. 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.'
Cont R, Ananova A, 2016, 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, 2011, Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges, Ieee Signal Processing Magazine, Vol:28, Pages:16-25
Cont R, Larrard AD, 2011, Price dynamics in a Markovian limit order market, SIAM Journal on Financial Mathematics, Vol:4, ISSN:1945-497X, Pages:1-25
Cont R, Deguest R, Scandolo G, 2010, Robustness and Sensitivity Analysis of Risk Measurement Procedures, Quantitative Finance, Vol:10, Pages:593-606
Cont R, Fournie D-A, 2010, Change of variable formulas for non-anticipative functionals on path space, Journal of Functional Analysis, Vol:259, Pages:1043-1072
CONT R, Stoikov S, Talreja R, 2010, A stochastic model for order book dynamics, Operations Research, Vol:58, Pages:549-563
Cont R, Fournie D, 2010, A functional extension of the Ito formula, Comptes Rendus De L Academie Des Sciences Serie I-mathematique, Vol:348, 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