1. Recherche
30 résultats  enregistrer la recherche
...
hal-00002690v1  Pré-publication, Document de travail
Rama Cont, Peter Tankov. Recovering exponential Lévy models from option prices: regularization of an ill-posed inverse problem.
2004. 2004
...
hal-00002694v1  Article dans une revue
Rama Cont, Peter Tankov. Nonparametric calibration of jump-diffusion option pricing models.
Journal of Computational Finance, Incisive media Ltd, 2004, 7, pp.1-49
hal-00002693v1  Ouvrage (y compris édition critique et traduction)
Rama Cont, Peter Tankov. Financial modelling with jump processes
2004
...
hal-00667112v2  Rapport
Amel Bentata, Rama Cont. Short-time asymptotics for marginal distributions of semimartingales
2012
...
hal-00445641v3  Pré-publication, Document de travail
Amel Bentata, Rama Cont. Forward equations for option prices in semimartingale models
Section on Uniqueness (Sec 1.3.) added. 2009
...
hal-00552252v4  Article dans une revue
Rama Cont, Adrien De Larrard. Price Dynamics in a Markovian Limit Order Market
SIAM Journal on Financial Mathematics, SIAM, 2013, 4 (1), pp.1-25. <10.1137/110856605>
...
hal-00697224v1  Pré-publication, Document de travail
Rama Cont, Lakshithe Wagalath. Fire Sales Forensics: Measuring Endogenous Risk
2012
...
hal-00629929v1  Rapport
Rama Cont, Romain Deguest, Xuedong He. Loss-Based Risk Measures
2011
...
hal-01099787v2  Pré-publication, Document de travail
Rama Cont, Yi Lu. Weak approximation of martingale representations
2014
...
hal-00649050v2  Rapport
Rama Cont. Benoit Mandelbrot et la modélisation mathématique des risques financiers
2011
hal-00912018v1  Chapitre d'ouvrage
Rama Cont, Amal Moussa, Edson B Santos. Network structure and systemic risk in banking systems
JP Fouque & J Langsam. Handbook of Systemic Risk, Cambridge Univ Press, pp.327-368, 2013, 9781107023437
hal-01396602v1  Article dans une revue
Rama Cont, Lakshithe Wagalath. Risk management for whales
Risk, 2016, pp.73-80
...
hal-01286515v3  Pré-publication, Document de travail
Anna Ananova, Rama Cont. Pathwise integration with respect to paths of finite quadratic variation
A paraitre dans: Journal de Mathématiques Pures et Appliquées. 2016
hal-01396590v1  Article dans une revue
Yi Lu, Rama Cont. Weak approximations for martingale representations
Stochastic Processes and their Applications, Elsevier, 2016, 126 (3), pp.857-882
...
hal-00425345v3  Pré-publication, Document de travail
Amel Bentata, Rama Cont. Mimicking the marginal distributions of a semimartingale
Revision: 2011. 2009
...
hal-00129413v1  Pré-publication, Document de travail
Rama Cont, Peter Tankov. Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices
2007
hal-00801538v1  Article dans une revue
Hamed Amini, Rama Cont, Andreea Minca. Stress testing the resilience of financial networks
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2012, 15 (1), pp.1250006-1250026. <10.1142/S0219024911006504>
...
hal-00672274v2  Rapport
Rama Cont, Adrien De Larrard. Order book dynamics in liquid markets: limit theorems and diffusion approximations
2011
...
hal-00413729v1  Article dans une revue
Rama Cont, Romain Deguest, Giacomo Scandolo. Robustness and sensitivity analysis of risk measurement procedures
Quantitative Finance, Taylor & Francis (Routledge), 2010, 10 (6), pp.593 - 606. <10.1080/14697681003685597>
...
hal-00522410v1  Article dans une revue
Rama Cont, Nicolas Lantos, Olivier Pironneau. A reduced basis for option pricing
SIAM Journal on Financial Mathematics, SIAM, 2011, 2 (1), pp.287-316. <10.1137/10079851X>
hal-00425341v1  Article dans une revue
Rama Cont, Emily Tanimura. Small world graphs: characterization and alternative constructions
Advances in Applied Probability, Applied Probability Trust, 2008, 40 (4), pp.939-965. <10.1239/aap/1231340159>
...
hal-00455700v4  Article dans une revue
Rama Cont, David-Antoine Fournié. Functional Ito calculus and stochastic integral representation of martingales
Annals of Probability, Institute of Mathematical Statistics, 2013, 41 (1), pp.109-133. <10.1214/11-AOP721>
halshs-00445645v1  Article dans une revue
Rama Cont, Ekaterina Voltchkova. A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2005, 43 (4), pp.1596-1626. <10.1137/S0036142903436186>
hal-00588490v1  Article dans une revue
Rama Cont, Cecilia Mancini. Nonparametric tests for the pathwise properties of semimartingales
Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2011, 17 (2), pp.781-813. <10.3150/10-BEJ293>
hal-01301442v1  Article dans une revue
Hamed Amini, Rama Cont, Andreea Minca. Resilience to Contagion in Financial Networks
Mathematical Finance, Wiley, 2016, 26 (2), pp.329-365. <10.1111/mafi.12051>
...
hal-00471318v2  Article dans une revue
Rama Cont, David-Antoine Fournie. Change of variable formulas for non-anticipative functionals on path space
Journal of Functional Analysis, Elsevier, 2010, 259 (4), pp.1043-1072. <10.1016/j.jfa.2010.04.017>
hal-00801537v1  Article dans une revue
Rama Cont, David-Antoine Fournié. Change of variable formulas for non-anticipative functional on path space
Journal of Functional Analysis, Elsevier, 2010, 259 (4), pp.1043-1072. <10.1016/j.jfa.2010.04.017>

Contact


archive-ouverte@inria.fr