Publications (29)
Forward equations for option prices in semimartingale models
Rama Cont, Amel Bentata
The Price Impact of Order Book Events
Rama Cont, Arseniy Kukanov, Sasha Stoikov
Optimal rounding under integer constraints
Rama Cont, Massoud Heidari
Nonparametric tests for pathwise properties of semimartingales
Rama Cont, Cecilia Mancini
Universal features of price formation in financial markets: perspectives from Deep Learning
Justin Sirignano, Rama Cont
A Langevin Approach to Stock Market Fluctuations and Crashes
Jean-Philippe Bouchaud, Rama Cont
On pathwise quadratic variation for cadlag functions
Henry Chiu, Rama Cont
Comment on ``Turbulent cascades in foreign exchange markets''
Alain Arneodo, Jean-Philippe Bouchaud, Rama Cont +4
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
Rama Cont, Nicolas Perkowski
Optimal order placement in limit order markets
Rama Cont, Arseniy Kukanov
Loss-Based Risk Measures
Rama Cont, Romain Deguest, Xuedong He
Resilience to Contagion in Financial Networks
Hamed Amini, Rama Cont, Andreea Minca
Pathwise integration with respect to paths of finite quadratic variation
Anna Ananova, Rama Cont
Convergent multiplicative processes repelled from zero: power laws and truncated power laws
Rama Cont, Didier Sornette
Weak approximation of martingale representations
Rama Cont, Yi Lu
Order book dynamics in liquid markets: limit theorems and diffusion approximations
Rama Cont, Adrien De Larrard
Scaling and correlation in financial data
Rama Cont
Herd behavior and aggregate fluctuations in financial markets
Rama Cont, Jean-Philippe Bouchaud
Central Clearing of OTC Derivatives: bilateral vs multilateral netting
Rama Cont, Thomas Kokholm
Financial markets as adaptative ecosystems
Marc Potters, Rama Cont, Jean-Philippe Bouchaud
Are Financial Crashes Predictable?
Laurent Laloux, Marc Potters, Rama Cont +2
Price dynamics in a Markovian limit order market
Rama Cont, Adrien De Larrard
Modeling interest rate dynamics: an infinite-dimensional approach
Rama Cont
Change of variable formulas for non-anticipative functionals on path space
Rama Cont, David-Antoine Fournie
Functional Itô calculus and stochastic integral representation of martingales
Rama Cont, David-Antoine Fournié
Scaling in stock market data: stable laws and beyond
Rama Cont, Marc Potters, Jean-Philippe Bouchaud
Short-time asymptotics for marginal distributions of semimartingales
Amel Bentata, Rama Cont
Beyond implied volatility
Rama Cont
Mimicking the marginal distributions of a semimartingale
Amel Bentata, Rama Cont