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Peter TankovENSAE ParisTechVerified email at ensae.fr
Andreea MincaCornell UniversityVerified email at cornell.edu
David-Antoine FournieColumbia UniversityVerified email at caa.columbia.edu
Romain DeguestIESEG School of ManagementVerified email at ieseg.fr
Lakshithe WagalathIESEG School of ManagementVerified email at ieseg.fr
Sasha StoikovSenior Research Associate, Cornell UniversityVerified email at cornell.edu
Amal MoussaColumbia UniversityVerified email at columbia.edu
Eric SchaanningCredit SuisseVerified email at credit-suisse.com
Jose DA FONSECAAuckland University TechonologyVerified email at aut.ac.nz
Hamed AminiAssociate Professor, J. Mack Robinson College of BusinessVerified email at gsu.edu
Marco AvellanedaNew York UniversityVerified email at cims.nyu.edu
Thomas KokholmProfessor, Aarhus UniversityVerified email at econ.au.dk
Rishi TalrejaTwo SigmaVerified email at columbia.edu
Renyuan XuUniversity of Southern CaliforniaVerified email at usc.edu
Giacomo ScandoloUniversità di FirenzeVerified email at unifi.it
cecilia manciniUniversity of VeronaVerified email at univr.it
Justin SirignanoUniversity of Illinois at Urbana-ChampaignVerified email at illinois.edu
Sana Ben HamidaMCF Informatique, Université Paris Nanterre - LAMSADE- Université Paris DauphineVerified email at parisnanterre.fr
Jean-Pierre NadalCNRS & EHESS - LPENS, ENS, and CAMS, EHESS, Paris, FranceVerified email at phys.ens.fr
Olivier PironneauProfesseur mathématiques appliquées, Université Pierre et Marie Curie (Paris VI), Paris, FranceVerified email at upmc.fr

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University of Oxford. 牛津大学数学系 دانشگاه آکسفورد Օքսֆորդ

Verified email at math.cnrs.fr - Homepage

Probability Stochastic Analysis Quantitative Finance Mathematical Finance Systemic Risk


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Financial modelling with jump processes R Cont, P Tankov Chapman & Hall, 2004	5742*	2004
Empirical properties of asset returns: stylized facts and statistical issues R Cont Quantitative Finance 1 (2), 223-236, 2001	3583	2001
Herd behavior and aggregate fluctuations in financial markets R Cont, JP Bouchaud Macroeconomic dynamics 4 (2), 170-196, 2000	1117	2000
A finite difference scheme for option pricing in jump-diffusion and exponential Lévy models R Cont, E Voltchkova SIAM Journal of Numerical Analysis 43 (4), 1596-1626, 2005	596	2005
Network structure and systemic risk in banking systems R Cont, A Moussa, E Santos Handbook on Systemic Risk, 327-368, 2013	561	2013
A stochastic model for order book dynamics R Cont, S Stoikov, R Talreja Operations Research 59 (September/October), 1233-1245, 2010	526	2010
Dynamics of implied volatility surfaces R Cont, J Da Fonseca Quantitative finance 2 (1), 45-60, 2002	526	2002
Model uncertainty and its impact on the pricing of derivative instruments R Cont Mathematical Finance 16 (3), 519-547, 2006	459	2006
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models. R Cont Long Memory in Economics, 289-310, 2007	442	2007
A Langevin approach to stock market fluctuations and crashes JP Bouchaud, R Cont The European Physical Journal B-Condensed Matter and Complex Systems 6 (4 …, 1998	414	1998
Nonparametric calibration of jump-diffusion processes R Cont, P Tankov Journal of Computational Finance 7 (3), 1-49, 2004	371*	2004
Resilience to contagion in financial networks H Amini, R Cont, A Minca Mathematical Finance 26 (2), 329-365, 2016	370	2016
The price impact of order book events R Cont, A Kukanov, S Stoikov Journal of Financial Econometrics 12 (1), 48-77, 2014	369	2014
Robustness and sensitivity analysis of risk measurement procedures R Cont, R Deguest, G Scandolo Quantitative finance 10 (6), 593-606, 2010	362	2010
Convergent multiplicative processes repelled from zero: power laws and truncated power laws D Sornette, R Cont Journal de Physique I 7 (3), 431-444, 1997	338	1997
Price dynamics in a Markovian limit order market R Cont, A De Larrard SIAM Journal on Financial Mathematics 4 (1), 1-25, 2013	325	2013
Scaling in stock market data: stable laws and beyond R Cont, JP Bouchaud, M Potters B. Dubrulle, F. Graner, D. Sornette (eds.) Scale Invariance and Beyond, 75-85, 1997	283*	1997
Functional Ito calculus and stochastic integral representation of martingales R Cont, DA Fournie Annals of Probability 41 (1), 109-133, 2013	275	2013
Integro-differential equations for option prices in exponential Lévy models R Cont, E Voltchkova Finance and Stochastics 9 (3), 299-325, 2005	223	2005
Change of variable formulas for non-anticipative functionals on path space R Cont, DA Fournie Journal of Functional Analysis 259 (4), 1043-1072, 2010	195	2010

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