# Prof. Rama Cont

**Statutory Professor of Mathematics**

**Head of the Oxford Mathematical and Computational Finance Group.**

**Professorial Fellow, St Hugh's College.**

**Director, EPSRC Centre for Doctoral Training in Mathematics of Random Systems.**

**Faculty Member, Stochastic Analysis Group.**

**Senior Research Fellow, Institute for New Economic Thinking.**

**Director, Oxford Martin Programme on Systemic Resilience**

**Principal Investigator, Oxford Suzhou Centre for Advanced Research**

**Editor-in-Chief, Mathematical Finance**

**Associate Editor, Mathematics of Operations Research**

**Associate Editor, Stochastic Analysis and Applications**

**Associate Editor, Stochastic Models**

**Address**

Mathematical Institute

University of Oxford

Andrew Wiles Building

Radcliffe Observatory Quarter

Woodstock Road

Oxford

OX2 6GG

*Bally, V*

*Caramellino, L*

*Cont, R*

*(23 Mar 2016)*

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 available through the EPSRC Centre for Doctoral Training in Mathematics of Random Systems.

**Berlin-Oxford Research Training Group 'Stochastic Analysis in Interaction'.**

## Books

- 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.
*Editor in Chief, Encyclopedia of Quantitative Finance*Wiley (2010).

## Recent publications

- H Chiu, R Cont (2021) A model-free approach to continuous-time finance,
- H Chiu, R Cont (2022) Causal functional calculus. Transactions of the London Mathematical Society.
- A Cohen, R Cont, A Rossier, R Xu (2021) Scaling properties of deep residual networks, ICML 2021.
- R Cont, A Kotlicki, R Xu (2021) Modelling COVID-19 contagion: risk assessment and targeted mitigation policies,
*Royal Society Open Science*. - R Cont, M Muller (2021) Stochastic PDE models of limit order book dynamics, SIAM Journal on Fin. Math.
- R Cont, A Kotlicki, L Valderrama (2020) Liquidity at risk: joint stress testing of solvency and liquidity risk, Journal of Banking and Finance, Vol. 118.
- R Cont, A Kalinin (2020) On the support of solutions of stochastic differential equations with path-dependent coefficients, Stochastic Processes and their Applications, Vol 130.
- 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.
**Video (YouTube)** - H Chiu, R Cont (2018) On pathwise quadratic variation for cadlag functions, Electronic Communications in Probability (23).
- 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, 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.

**Louis Bachelier Prize (French Academy of Sciences, 2010).**

**Fellow of the Society for Industrial And Applied Mathematics (SIAM), 2017.**

**Royal Society APEX Award for Excellence in Interdisciplinary Research (2017).**