Professor of Mathematics
Head of the Oxford Mathematical and Computational Finance Group.
Professorial Fellow, St Hugh's College.
Faculty Member, Stochastic Analysis Group.
Editor-in-Chief, Mathematical Finance
Senior Research Fellow, Institute for New Economic Thinking.
Scientific Advisor, International Monetary Fund
+44 1865 280614
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Stochastic Integration by Parts and Functional Itô Calculus
ISBN-13: 9783319271279 (23 March 2016)
Stochastic analysis: pathwise methods in stochastic analysis, Functional Ito calculus.
Mathematical modeling in finance. Systemic Risk and financial stability.
Mathematical foundations of Data Science. Data-driven decision systems.
Opportunities for PhD research for students with a strong mathematics background are available through the EPSRC Centre for Doctoral Training in Mathematics of Random Systems.
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, 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 (2019) On the support of solutions of stochastic differential equations with path-dependent coefficients . Stochastic Processes and their Applications, Vol 129, No 10.
- R Cont, N Perkowski (2019) Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity. Trans. AMS Series B (6).
- R Cont, J Sirignano (2019) Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning, Quantitative Finance Vol. 19,1449-1459.
- R Cont, M Muller (2019) Stochastic PDE models of limit order book dynamics.
- H Chiu, R Cont (2018) On pathwise quadratic variation for cadlag functions, Electronic Communications in Probability (23).
- R Cont, A Kotlicki, L Valderrama (2019) Liquidity at risk: joint stress testing of solvency and liquidity risk, IMF Working Paper.
- R Cont, Eric Schaanning (2017) 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.