+44 1865 280614
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Stochastic analysis: pathwise methods in stochastic analysis, Functional Ito calculus.
Mathematical modeling in finance. Systemic Risk and financial regulation.
Mathematical foundations and applications of Data Science.
Prizes, Awards, and Scholarships:
Louis Bachelier Prize (French Academy of Sciences, 2010).
Major / Recent Publications:
- R Cont: Functional Ito calculus and functional Kolmogorov equations, in: V Bally et al: Stochastic integration by parts and Functional Ito calculus (Lectures Notes of the Barcelona Summer School on Stochastic Analysis, Centro de Recerca de Matematica, July 2012), Springer: 2016.
- R Cont & P Tankov: Financial modelling with jump processes, Chapman and Hall/ CRC Press, 2003.
- R Cont (Editor in Chief): Encyclopedia of Quantitative Finance Wiley (2010).
- A Ananova, R Cont (2017) Pathwise integration with respect to paths of finite quadratic variation, Journal de Mathematiques Pures et Appliquees, Vol 107.
- R Cont, A Kalinin (2018) On the support of solutions to SDEs with path-dependent coefficients, ARXIV.
- R Cont, N Perkowski (2018) Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity.
- R Cont, J Sirignano (2018) Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning.
- R Cont (2017) Central clearing and risk transformation, Financial Stability Review, April 2017, 127-140.
- R Cont, Eric Schaanning (2016) Fire sales, indirect contagion and systemic stress-testing. Norges Bank Working Paper
- R Cont, Yi Lu (2016) Weak approximations for martingale representations, Stochastic Processes and Applications, Volume 126, Issue 3, March 2016, Pages 857--882.
- H Amini, R Cont, A Minca: Resilience to contagion in financial networks, Mathematical finance, Volume 26, Issue 2, pages 329--365, April 2016.
- R Cont, L Wagalath: Fire sale forensics: measuring endogenous risk. Mathematical Finance, Volume 26, Issue 4 (Oct. 2016) 835-866.