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Rama Cont

Researcher Next ID · RN-015944

Researcher · Economics, Econometrics and Finance

Mathematical Institute of the Slovak Academy of Sciences

, Slovakia

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Not currently recruitingFunding unknown
Works count
278
Citation count
13,524
H-index
51
i10-index
122

Research interests

Economics, Econometrics and Finance
Stochastic processes and financial applications
Complex Systems and Time Series Analysis
Financial Risk and Volatility Modeling
Credit Risk and Financial Regulations
Financial Markets and Investment Strategies

Publications

  • A Stochastic Model for Order Book Dynamics

    Operations Research · 2010 · 10.1287/opre.1090.0780

  • A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

    SIAM Journal on Numerical Analysis · 2005 · 10.1137/s0036142903436186

  • Dynamics of implied volatility surfaces

    Quantitative Finance · 2002 · 10.1088/1469-7688/2/1/304

  • Empirical properties of asset returns: stylized facts and statistical issues

    Quantitative Finance · 2001 · 10.1080/713665670

  • Empirical properties of asset returns: stylized facts and statistical issues

    Quantitative Finance · 2001 · 10.1088/1469-7688/1/2/304

Current projects

    No projects listed.