Rama Cont

According to our database, Rama Cont authored at least 21 papers between 2005 and 2022.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2022

Asymptotic Analysis of Deep Residual Networks.

Rama Cont, Alain Rossier, Renyuan Xu

CoRR, 2022

Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks.

Rama Cont, Alain Rossier, Renyuan Xu

CoRR, 2022

Dynamic Calibration of Order Flow Models with Generative Adversarial Networks.

Felix Prenzel, Rama Cont, Mihai Cucuringu, Jonathan Kochems

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

2021

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics.

Rama Cont, Marvin S. Müller

SIAM J. Financial Math., 2021

Scaling Properties of Deep Residual Networks.

Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu

Proceedings of the 38th International Conference on Machine Learning, 2021

Interactions of market making algorithms: a study on perceived collusion.

Wei Xiong, Rama Cont

Proceedings of the ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3, 2021

2016

Preface to the Special Issue on Systemic Risk: Models and Mechanisms.

Rama Cont, Darrell Duffie, Paul Glasserman, Chris Rogers, Fernando Vega-Redondo

Oper. Res., 2016

Credit default swaps and systemic risk.

Rama Cont, Andreea Minca

Ann. Oper. Res., 2016

2015

Forward equations for option prices in semimartingale models.

Amel Bentata, Rama Cont

Finance Stochastics, 2015

Optimal rounding under integer constraints.

Rama Cont, Massoud Heidari

CoRR, 2015

2013

Customisable pipelined engine for intensity evaluation in multivariate hawkes point processes.

Ce Guo, Wayne Luk, Ekaterina Vinkovskaya, Rama Cont

SIGARCH Comput. Archit. News, 2013

Price Dynamics in a Markovian Limit Order Market.

Rama Cont, Adrien de Larrard

SIAM J. Financial Math., 2013

2011

Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors].

Ilya Pollak, Marco Avellaneda, Emmanuel Bacry, Rama Cont, Sanjeev R. Kulkarni

IEEE Signal Process. Mag., 2011

Statistical Modeling of High-Frequency Financial Data.

Rama Cont

IEEE Signal Process. Mag., 2011

A Reduced Basis for Option Pricing.

Rama Cont, Nicolas Lantos, Olivier Pironneau

SIAM J. Financial Math., 2011

Dynamic Hedging of Portfolio Credit Derivatives.

Rama Cont, Yu Hang Kan

SIAM J. Financial Math., 2011

2010

Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration.

Rama Cont, Romain Deguest, Yu Hang Kan

SIAM J. Financial Math., 2010

A Stochastic Model for Order Book Dynamics.

Rama Cont, Sasha Stoikov, Rishi Talreja

Oper. Res., 2010

2006

Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem.

Rama Cont, Peter Tankov

SIAM J. Control. Optim., 2006

2005

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

Rama Cont, Ekaterina Voltchkova

SIAM J. Numer. Anal., 2005

Integro-differential equations for option prices in exponential Lévy models.

Rama Cont, Ekaterina Voltchkova

Finance Stochastics, 2005