Statutory Professor of Mathematics
Head of the Oxford Mathematical and Computational Finance Group.
Professorial Fellow, St Hugh's College.
Faculty Member, Stochastic Analysis Group.
Senior Research Fellow, Institute for New Economic Thinking.
Principal Investigator, Oxford Suzhou Centre for Advanced Research
Editor-in-Chief, Mathematical Finance
Associate Editor, Mathematics of Operations Research
Co-Editor, Statistics & Risk Modeling
Associate Editor, Stochastic Analysis and Applications
Associate Editor, Stochastic Models
+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 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.
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.
- Editor in Chief, Encyclopedia of Quantitative Finance Wiley (2010).
- 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.
- 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 (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).
- 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.