Rama Cont

Publication Activity (10 Years)

Years Active: 2005-2022
Publications (10 Years): 9

Top Topics

Point Processes

Questionnaire Survey

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Publications

Rama Cont, Alain Rossier, Renyuan Xu
Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks. CoRR (2022)
Felix Prenzel, Rama Cont, Mihai Cucuringu, Jonathan Kochems
Dynamic Calibration of Order Flow Models with Generative Adversarial Networks. ICAIF (2022)
Rama Cont, Alain Rossier, Renyuan Xu
Asymptotic Analysis of Deep Residual Networks. CoRR (2022)
Rama Cont, Marvin S. Müller
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics. SIAM J. Financial Math. 12 (2) (2021)
Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu
Scaling Properties of Deep Residual Networks. ICML (2021)
Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu
Scaling Properties of Deep Residual Networks. CoRR (2021)
Wei Xiong, Rama Cont
Interactions of market making algorithms: a study on perceived collusion. ICAIF (2021)
Rama Cont, Andreea Minca
Credit default swaps and systemic risk. Ann. Oper. Res. 247 (2) (2016)
Rama Cont, Darrell Duffie, Paul Glasserman, Chris Rogers, Fernando Vega-Redondo
Preface to the Special Issue on Systemic Risk: Models and Mechanisms. Oper. Res. 64 (5) (2016)
Rama Cont, Massoud Heidari
Optimal rounding under integer constraints. CoRR (2015)
Amel Bentata, Rama Cont
Forward equations for option prices in semimartingale models. Finance Stochastics 19 (3) (2015)
Ce Guo, Wayne Luk, Ekaterina Vinkovskaya, Rama Cont
Customisable pipelined engine for intensity evaluation in multivariate hawkes point processes. SIGARCH Comput. Archit. News 41 (5) (2013)
Rama Cont, Adrien de Larrard
Price Dynamics in a Markovian Limit Order Market. SIAM J. Financial Math. 4 (1) (2013)
Rama Cont, Yu Hang Kan
Dynamic Hedging of Portfolio Credit Derivatives. SIAM J. Financial Math. 2 (1) (2011)
Rama Cont
Statistical Modeling of High-Frequency Financial Data. IEEE Signal Process. Mag. 28 (5) (2011)
Rama Cont, Nicolas Lantos, Olivier Pironneau
A Reduced Basis for Option Pricing. SIAM J. Financial Math. 2 (1) (2011)
Ilya Pollak, Marco Avellaneda, Emmanuel Bacry, Rama Cont, Sanjeev R. Kulkarni
Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors]. IEEE Signal Process. Mag. 28 (5) (2011)
Rama Cont, Sasha Stoikov, Rishi Talreja
A Stochastic Model for Order Book Dynamics. Oper. Res. 58 (3) (2010)
Rama Cont, Romain Deguest, Yu Hang Kan
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration. SIAM J. Financial Math. 1 (1) (2010)
Rama Cont, Peter Tankov
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem. SIAM J. Control. Optim. 45 (1) (2006)
Rama Cont, Ekaterina Voltchkova
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models. SIAM J. Numer. Anal. 43 (4) (2005)
Rama Cont, Ekaterina Voltchkova
Integro-differential equations for option prices in exponential Lévy models. Finance Stochastics 9 (3) (2005)