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Viewing Publication 1 - 19 from 19

2025

A Mathematical Framework for Modeling Order Book DynamicsRama Cont, Pierre Degond, Lifan Xuan. siamfm, 16(1):123-166, 2025. [doi]

2022

Dynamic Calibration of Order Flow Models with Generative Adversarial NetworksFelix Prenzel, Rama Cont, Mihai Cucuringu, Jonathan Kochems. icaif 2022: 446-453 [doi]

2021

Scaling Properties of Deep Residual NetworksAlain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu. icml 2021: 2039-2048 [doi]

A Stochastic Partial Differential Equation Model for Limit Order Book DynamicsRama Cont, Marvin S. Müller. siamfm, 12(2):744-787, 2021. [doi]

Interactions of market making algorithms: a study on perceived collusionWei Xiong, Rama Cont. icaif 2021: [doi]

2016

Credit default swaps and systemic riskRama Cont, Andreea Minca. anor, 247(2):523-547, 2016. [doi]

Preface to the Special Issue on Systemic Risk: Models and MechanismsRama Cont, Darrell Duffie, Paul Glasserman, Chris Rogers, Fernando Vega-Redondo. ior, 64(5):1053-1055, 2016.

2015

Forward equations for option prices in semimartingale modelsAmel Bentata, Rama Cont. fs, 19(3):617-651, 2015. [doi]

2013

Price Dynamics in a Markovian Limit Order MarketRama Cont, Adrien de Larrard. siamfm, 4(1):1-25, 2013. [doi]

Customisable pipelined engine for intensity evaluation in multivariate hawkes point processesCe Guo, Wayne Luk, Ekaterina Vinkovskaya, Rama Cont. sigarch, 41(5):59-64, 2013. [doi]

2011

Dynamic Hedging of Portfolio Credit DerivativesRama Cont, Yu Hang Kan. siamfm, 2(1):112-140, 2011. [doi]

A Reduced Basis for Option PricingRama Cont, Nicolas Lantos, Olivier Pironneau. siamfm, 2(1):287-316, 2011. [doi]

Statistical Modeling of High-Frequency Financial DataRama Cont. spm, 28(5):16-25, 2011. [doi]

Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors]Ilya Pollak, Marco Avellaneda, Emmanuel Bacry, Rama Cont, Sanjeev R. Kulkarni. spm, 28(5):14-15, 2011. [doi]

2010

Default Intensities Implied by CDO Spreads: Inversion Formula and Model CalibrationRama Cont, Romain Deguest, Yu Hang Kan. siamfm, 1(1):555-585, 2010. [doi]

A Stochastic Model for Order Book DynamicsRama Cont, Sasha Stoikov, Rishi Talreja. ior, 58(3):549-563, 2010. [doi]

2006

Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse ProblemRama Cont, Peter Tankov. siamco, 45(1):1-25, 2006. [doi]

2005

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy ModelsRama Cont, Ekaterina Voltchkova. siamnum, 43(4):1596-1626, 2005. [doi]

Integro-differential equations for option prices in exponential Lévy modelsRama Cont, Ekaterina Voltchkova. fs, 9(3):299-325, 2005. [doi]

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