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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
Renyuan XuNew York UniversityVerified email at nyu.edu
Jose DA FONSECAAuckland University TechonologyVerified email at aut.ac.nz
Rishi TalrejaTwo SigmaVerified email at columbia.edu
Mihai CucuringuProfessor of Mathematics, UCLA; Department of Statistics, University of OxfordVerified email at math.ucla.edu
Lakshithe WagalathIESEG School of ManagementVerified email at ieseg.fr
Amal MoussaColumbia UniversityVerified email at columbia.edu
Hamed AminiAssociate Professor, University of FloridaVerified email at ufl.edu
Eric SchaanningNordeaVerified email at nordea.com
Thomas KokholmProfessor, Aarhus UniversityVerified email at econ.au.dk
Marco AvellanedaNew York UniversityVerified email at cims.nyu.edu
Chao ZHANG (张超)HKUST (GZ)Verified email at hkust-gz.edu.cn
Giacomo ScandoloUniversità di FirenzeVerified email at unifi.it
Justin SirignanoUniversity of OxfordVerified email at maths.ox.ac.uk
Artur KotlickiBank of EnglandVerified email at bankofengland.co.uk
cecilia manciniUniversity of VeronaVerified email at univr.it
Purba DasDepartment of Mathematics, King's College LondonVerified email at kcl.ac.uk

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

Verified email at math.cnrs.fr - Homepage

Stochastic Analysis Rough 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 / CRC Press, 2004	6479*	2004
Empirical properties of asset returns: stylized facts and statistical issues R Cont Quantitative Finance 1 (2), 223-236, 2001	4488	2001
Herd behavior and aggregate fluctuations in financial markets R Cont, JP Bouchaud Macroeconomic dynamics 4 (2), 170-196, 2000	1210	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	676	2005
Network structure and systemic risk in banking systems R Cont, A Moussa, E Santos Handbook on Systemic Risk, 327-368, 2013	641	2013
A stochastic model for order book dynamics R Cont, S Stoikov, R Talreja Operations Research 58 (3), 549-563, 2010	621	2010
Dynamics of implied volatility surfaces R Cont, J Da Fonseca Quantitative finance 2 (1), 45-60, 2002	605	2002
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models. R Cont Long Memory in Economics, 289-310, 2007	572	2007
The price impact of order book events R Cont, A Kukanov, S Stoikov Journal of Financial Econometrics 12 (1), 48-77, 2014	534	2014
Model uncertainty and its impact on the pricing of derivative instruments R Cont Mathematical Finance 16 (3), 519-547, 2006	511	2006
Robustness and sensitivity analysis of risk measurement procedures R Cont, R Deguest, G Scandolo Quantitative finance 10 (6), 593-606, 2010	489	2010
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	463	1998
Resilience to contagion in financial networks H Amini, R Cont, A Minca Mathematical Finance 26 (2), 329-365, 2016	449	2016
Nonparametric calibration of jump-diffusion processes R Cont, P Tankov Journal of Computational Finance 7 (3), 1-49, 2004	406*	2004
Price dynamics in a Markovian limit order market R Cont, A De Larrard SIAM Journal on Financial Mathematics 4 (1), 1-25, 2013	381	2013
Universal features of price formation in financial markets: perspectives from Deep Learning J Sirignano, R Cont Quantitative Finance 19 (9), 1449-1459, 2019	370	2019
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	350	1997
Functional Ito calculus and stochastic integral representation of martingales R Cont, DA Fournie Annals of Probability 41 (1), 109-133, 2013	328	2013
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	317*	1997
Integro-differential equations for option prices in exponential Lévy models R Cont, E Voltchkova Finance and Stochastics 9 (3), 299-325, 2005	256	2005

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