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2020 – today
- 2022
[c3]Felix Prenzel, Rama Cont, Mihai Cucuringu, Jonathan Kochems:
Dynamic Calibration of Order Flow Models with Generative Adversarial Networks. ICAIF 2022: 446-453- [i4]Rama Cont, Alain Rossier, Renyuan Xu:
Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks. CoRR abs/2204.07261 (2022) - [i3]Rama Cont, Alain Rossier, Renyuan Xu:
Asymptotic Analysis of Deep Residual Networks. CoRR abs/2212.08199 (2022) - 2021
- [j15]Rama Cont
, Marvin S. Müller:
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics. SIAM J. Financial Math. 12(2): 744-787 (2021) - [c2]Wei Xiong, Rama Cont:
Interactions of market making algorithms: a study on perceived collusion. ICAIF 2021: 32:1-32:9 - [c1]Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu:
Scaling Properties of Deep Residual Networks. ICML 2021: 2039-2048 - [i2]Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu:
Scaling Properties of Deep Residual Networks. CoRR abs/2105.12245 (2021)
2010 – 2019
- 2016
- [j14]Rama Cont, Andreea Minca:
Credit default swaps and systemic risk. Ann. Oper. Res. 247(2): 523-547 (2016) - [j13]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): 1053-1055 (2016) - 2015
- [j12]Amel Bentata, Rama Cont:
Forward equations for option prices in semimartingale models. Finance Stochastics 19(3): 617-651 (2015) - [i1]Rama Cont, Massoud Heidari:
Optimal rounding under integer constraints. CoRR abs/1501.00014 (2015) - 2013
- [j11]Rama Cont, Adrien de Larrard:
Price Dynamics in a Markovian Limit Order Market. SIAM J. Financial Math. 4(1): 1-25 (2013) - [j10]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): 59-64 (2013) - 2011
- [j9]Rama Cont, Yu Hang Kan:
Dynamic Hedging of Portfolio Credit Derivatives. SIAM J. Financial Math. 2(1): 112-140 (2011) - [j8]Rama Cont, Nicolas Lantos, Olivier Pironneau:
A Reduced Basis for Option Pricing. SIAM J. Financial Math. 2(1): 287-316 (2011) - [j7]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): 14-15 (2011) - [j6]Rama Cont:
Statistical Modeling of High-Frequency Financial Data. IEEE Signal Process. Mag. 28(5): 16-25 (2011) - 2010
- [j5]Rama Cont, Sasha Stoikov, Rishi Talreja:
A Stochastic Model for Order Book Dynamics. Oper. Res. 58(3): 549-563 (2010) - [j4]Rama Cont, Romain Deguest, Yu Hang Kan:
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration. SIAM J. Financial Math. 1(1): 555-585 (2010)
2000 – 2009
- 2006
- [j3]Rama Cont, Peter Tankov:
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem. SIAM J. Control. Optim. 45(1): 1-25 (2006) - 2005
- [j2]Rama Cont, Ekaterina Voltchkova:
Integro-differential equations for option prices in exponential Lévy models. Finance Stochastics 9(3): 299-325 (2005) - [j1]Rama Cont, Ekaterina Voltchkova:
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models. SIAM J. Numer. Anal. 43(4): 1596-1626 (2005)
Coauthor Index
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