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Peter TankovENSAE ParisTechVerified email at ensae.fr
Andreea MincaCornell UniversityVerified email at cornell.edu
Sasha StoikovSenior Research Associate, Cornell UniversityVerified email at cornell.edu
Romain DeguestIESEG School of ManagementVerified email at ieseg.fr
Lakshithe WagalathIESEG School of ManagementVerified email at ieseg.fr
Amal MoussaColumbia UniversityVerified email at columbia.edu
Jose DA FONSECAAuckland University TechonologyVerified email at aut.ac.nz
Rishi TalrejaTwo SigmaVerified email at columbia.edu
Hamed AminiAssociate Professor, University of FloridaVerified email at ufl.edu
Eric SchaanningCredit SuisseVerified email at credit-suisse.com
Renyuan XuUniversity of Southern CaliforniaVerified email at usc.edu
Thomas KokholmProfessor, Aarhus UniversityVerified email at econ.au.dk
Marco AvellanedaNew York UniversityVerified email at cims.nyu.edu
Giacomo ScandoloUniversità di FirenzeVerified email at unifi.it
cecilia manciniUniversity of VeronaVerified email at univr.it
Justin SirignanoUniversity of OxfordVerified email at maths.ox.ac.uk
Artur KotlickiBank of EnglandVerified email at bankofengland.co.uk
Mihai CucuringuDepartment of Statistics and Mathematical Institute, University of Oxford; The Alan Turing InstituteVerified email at stats.ox.ac.uk
Sana Ben HamidaMCF Informatique, Université Paris Nanterre - LAMSADE- Université Paris DauphineVerified email at parisnanterre.fr
Purba DasDepartment of Mathematics, University of MichiganVerified email at umich.edu

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University of Oxford. 牛津大学数学系 دانشگاه آکسفورد Օքսֆորդ

Verified email at math.cnrs.fr - Homepage

Probability Stochastic Analysis Quantitative Finance Mathematical Finance Systemic Risk


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Financial modelling with jump processes R Cont, P Tankov Chapman & Hall, 2004	6052*	2004
Empirical properties of asset returns: stylized facts and statistical issues R Cont Quantitative Finance 1 (2), 223-236, 2001	3887	2001
Herd behavior and aggregate fluctuations in financial markets R Cont, JP Bouchaud Macroeconomic dynamics 4 (2), 170-196, 2000	1137	2000
A finite difference scheme for option pricing in jump-diffusion and exponential Lévy models R Cont, E Voltchkova SIAM Journal of Numerical Analysis 43 (4), 1596-1626, 2005	625	2005
Network structure and systemic risk in banking systems R Cont, A Moussa, E Santos Handbook on Systemic Risk, 327-368, 2013	598	2013
A stochastic model for order book dynamics R Cont, S Stoikov, R Talreja Operations Research 59 (September/October), 1233-1245, 2010	566	2010
Dynamics of implied volatility surfaces R Cont, J Da Fonseca Quantitative finance 2 (1), 45-60, 2002	548	2002
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models. R Cont Long Memory in Economics, 289-310, 2007	482	2007
Model uncertainty and its impact on the pricing of derivative instruments R Cont Mathematical Finance 16 (3), 519-547, 2006	480	2006
A Langevin approach to stock market fluctuations and crashes JP Bouchaud, R Cont The European Physical Journal B-Condensed Matter and Complex Systems 6 (4 …, 1998	428	1998
The price impact of order book events R Cont, A Kukanov, S Stoikov Journal of Financial Econometrics 12 (1), 48-77, 2014	417	2014
Robustness and sensitivity analysis of risk measurement procedures R Cont, R Deguest, G Scandolo Quantitative finance 10 (6), 593-606, 2010	413	2010
Resilience to contagion in financial networks H Amini, R Cont, A Minca Mathematical Finance 26 (2), 329-365, 2016	397	2016
Nonparametric calibration of jump-diffusion processes R Cont, P Tankov Journal of Computational Finance 7 (3), 1-49, 2004	384*	2004
Price dynamics in a Markovian limit order market R Cont, A De Larrard SIAM Journal on Financial Mathematics 4 (1), 1-25, 2013	344	2013
Convergent multiplicative processes repelled from zero: power laws and truncated power laws D Sornette, R Cont Journal de Physique I 7 (3), 431-444, 1997	340	1997
Scaling in stock market data: stable laws and beyond R Cont, JP Bouchaud, M Potters B. Dubrulle, F. Graner, D. Sornette (eds.) Scale Invariance and Beyond, 75-85, 1997	297*	1997
Functional Ito calculus and stochastic integral representation of martingales R Cont, DA Fournie Annals of Probability 41 (1), 109-133, 2013	284	2013
Universal features of price formation in financial markets: perspectives from Deep Learning J Sirignano, R Cont Quantitative Finance 19 (9), 1449-1459, 2019	255	2019
Integro-differential equations for option prices in exponential Lévy models R Cont, E Voltchkova Finance and Stochastics 9 (3), 299-325, 2005	232	2005

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