Professor of Mathematical Finance
Head of the Oxford Mathematical and Computational Finance Group.
Professorial Fellow, St Hugh's College.
Senior Research Fellow, Institute for New Economic Thinking.
Faculty Member, Data Science Group.
Faculty Member, Stochastic Analysis Group.
+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)
Pathwise integration with respect to paths of finite quadratic variation
JOURNAL DE MATHEMATIQUES PURES ET APPLIQUEES issue 6 volume 107 page 737-757 (29 October 2016) Full text available
Institutional investors and the dependence structure of asset returns
International Journal of Theoretical and Applied Finance issue 2 volume 19 (1 March 2016)
FUNCTIONAL ITO CALCULUS AND STOCHASTIC INTEGRAL REPRESENTATION OF MARTINGALES
ANNALS OF PROBABILITY issue 1 volume 41 page 109-133 (January 2013) Full text available
Universal features of price formation in financial markets: perspectives
from Deep Learning
Full text available
On pathwise quadratic variation for cadlag functions
Electronic Communications in Probability volume 23 (23 November 2018) Full text available
Stochastic analysis: pathwise methods in stochastic analysis, Functional Ito calculus.
Mathematical modeling in finance. Systemic Risk and financial stability.
Mathematical foundations of Data Science and applications in finance.
Opportunities for PhD research on these topics are available. If you have a strong mathematics background and interest in stochastic analysis and/or mathematical modelling in finance please contact me or submit a DPhil application.
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 (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.
- H Chiu, R Cont (2018) On pathwise quadratic variation for cadlag functions, ARXIV.
- 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.