1

Universal features of price formation in financial markets: perspectives from deep learning

Sirignano, Justin, Cont, Rama
Journal:
Quantitative Finance
Année:
2019
Langue:
english
Fichier:
PDF, 1.38 MB
english, 2019
2

Encyclopedia of Quantitative Finance || Volume-Weighted Average Price (VWAP)

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 30 KB
english, 2010
3

A Stochastic Model for Order Book Dynamics

Cont, Rama, Stoikov, Sasha, Talreja, Rishi
Journal:
Operations Research
Année:
2010
Langue:
english
Fichier:
PDF, 278 KB
english, 2010
5

Optimal order placement in limit order markets

Cont, Rama, Kukanov, Arseniy
Journal:
Quantitative Finance
Année:
2016
Langue:
english
Fichier:
PDF, 2.77 MB
english, 2016
6

Encyclopedia of Quantitative Finance || Risk-Adjusted Return on Capital (RAROC)

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 47 KB
english, 2010
8

Price Dynamics in a Markovian Limit Order Market

Cont, Rama, de Larrard, Adrien
Journal:
SIAM Journal on Financial Mathematics
Année:
2013
Langue:
english
Fichier:
PDF, 485 KB
english, 2013
9

Robustness and sensitivity analysis of risk measurement procedures

Cont, Rama, Deguest, Romain, Scandolo, Giacomo
Journal:
Quantitative Finance
Année:
2010
Langue:
english
Fichier:
PDF, 343 KB
english, 2010
10

Encyclopedia of Quantitative Finance || Option Pricing Theory: Historical Perspectives

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 95 KB
english, 2010
11

Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models.

Cont, Rama
Journal:
SSRN Electronic Journal
Année:
2005
Langue:
english
Fichier:
PDF, 206 KB
english, 2005
12

Encyclopedia of Quantitative Finance || Sharpe, William F.

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 36 KB
english, 2010
13

Encyclopedia of Quantitative Finance || Constant Elasticity of Variance (CEV) Diffusion Model

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 128 KB
english, 2010
14

Encyclopedia of Quantitative Finance || Probability of Informed Trading

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 61 KB
english, 2010
15

Functional Itô calculus and stochastic integral representation of martingales

Cont, Rama, Fournié, David-Antoine
Journal:
The Annals of Probability
Année:
2013
Langue:
english
Fichier:
PDF, 236 KB
english, 2013
16

Encyclopedia of Quantitative Finance || Gaussian Copula Model

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 108 KB
english, 2010
17

Statistical Modeling of High-Frequency Financial Data

Cont, Rama
Journal:
IEEE Signal Processing Magazine
Année:
2011
Langue:
english
Fichier:
PDF, 2.22 MB
english, 2011
18

Dynamics of implied volatility surfaces

Cont, Rama, da Fonseca, José
Journal:
Quantitative Finance
Année:
2002
Langue:
english
Fichier:
PDF, 674 KB
english, 2002
19

Encyclopedia of Quantitative Finance || Algorithmic Trading

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 104 KB
english, 2010
20

Loss-based risk measures

Cont, Rama, Deguest, Romain, He, Xue Dong
Journal:
Statistics & Risk Modeling
Année:
2013
Langue:
english
Fichier:
PDF, 350 KB
english, 2013
21

HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS

Cont, Rama, Bouchaud, Jean-Philipe
Journal:
Macroeconomic Dynamics
Année:
2000
Langue:
english
Fichier:
PDF, 178 KB
english, 2000
22

Encyclopedia of Quantitative Finance || Pricing Kernels

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 118 KB
english, 2010
23

Encyclopedia of Quantitative Finance || Vanna-Volga Pricing

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 133 KB
english, 2010
24

Margin Requirements for Non-Cleared Derivatives

Cont, Rama
Journal:
SSRN Electronic Journal
Année:
2018
Langue:
english
Fichier:
PDF, 1.38 MB
english, 2018
26

Integro-differential equations for option prices in exponential Lévy models

Rama Cont, Ekaterina Voltchkova
Journal:
Finance and Stochastics
Année:
2005
Langue:
english
Fichier:
PDF, 288 KB
english, 2005
27

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

Rama Cont
Journal:
Mathematical Finance
Année:
2006
Langue:
english
Fichier:
PDF, 863 KB
english, 2006
28

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

Rama Cont, Peter Tankov
Journal:
Mathematical Finance
Année:
2009
Langue:
english
Fichier:
PDF, 200 KB
english, 2009
29

A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

Rama Cont, Thomas Kokholm
Journal:
Mathematical Finance
Année:
2012
Langue:
english
Fichier:
PDF, 513 KB
english, 2012
30

EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS

Rama Cont, Romain Deguest
Journal:
Mathematical Finance
Année:
2012
Langue:
english
Fichier:
PDF, 890 KB
english, 2012
31

Encyclopedia of Quantitative Finance Volume c || Binomial Tree

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 79 KB
english, 2010
32

Dynamic Hedging of Portfolio Credit Derivatives

Cont, Rama, Kan, Yu Hang
Journal:
SIAM Journal on Financial Mathematics
Année:
2011
Langue:
english
Fichier:
PDF, 415 KB
english, 2011
33

A Reduced Basis for Option Pricing

Cont, Rama, Lantos, Nicolas, Pironneau, Olivier
Journal:
SIAM Journal on Financial Mathematics
Année:
2011
Langue:
english
Fichier:
PDF, 488 KB
english, 2011
34

Encyclopedia of Quantitative Finance || CDO Square

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 50 KB
english, 2010
35

Encyclopedia of Quantitative Finance || Arbitrage Pricing Theory

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 56 KB
english, 2010
36

Encyclopedia of Quantitative Finance || Black-Litterman Approach

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 71 KB
english, 2010
37

Encyclopedia of Quantitative Finance || Modern Portfolio Theory

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 87 KB
english, 2010
40

Encyclopedia of Quantitative Finance || Copulas In Econometrics

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 67 KB
english, 2010
41

Encyclopedia of Quantitative Finance || Markov Processes

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 184 KB
english, 2010
42

STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS

AMINI, HAMED, CONT, RAMA, MINCA, ANDREEA
Journal:
International Journal of Theoretical and Applied Finance
Année:
2012
Langue:
english
Fichier:
PDF, 482 KB
english, 2012
44

Encyclopedia of Quantitative Finance || Long-Term Capital Management

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 78 KB
english, 2010
45

Encyclopedia of Quantitative Finance || Hull-White Stochastic Volatility Model

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 51 KB
english, 2010
46

Encyclopedia of Quantitative Finance || Poisson Process

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 82 KB
english, 2010
47

Encyclopedia of Quantitative Finance || Model Calibration

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 455 KB
english, 2010
48

Encyclopedia of Quantitative Finance || Equivalent Martingale Measures

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 92 KB
english, 2010
49

Encyclopedia of Quantitative Finance || Bermudan Swaptions and Callable Libor Exotics

Cont, Rama
Année:
2010
Langue:
english
Fichier:
PDF, 62 KB
english, 2010