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Rama Cont

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Rama Cont
File:ProfRamaCont.jpg
Rama Cont in 2010
Born
Rama Cont

(1972-06-30) 30 June 1972 (age 52)
Tehran, Iran
Nationality Iran
Alma materÉcole Polytechnique
Known forSystemic risk modelling, Functional Ito calculus, Pathwise Ito calculus
Awards
Scientific career
Fields
Institutions
Thesis Des marches aléatoires aux marchés aléatoires. Modélisation statistique des marchés financiers: études empiriques et approches théoriques.[4]  (1998)
Doctoral advisorJean-Philippe Bouchaud[5]
Doctoral students
  • Andreea Minca[5]
  • Amal Moussa[5]
  • Eric Schaanning[5]
  • Emily Tanimura[5]
  • Peter Tankov[5]
Websitepeople.maths.ox.ac.uk/rama.cont/

Rama Cont is the Professor of Mathematical Finance at the University of Oxford[7] [8] He is known for contributions to probability, stochastic analysis and mathematical modelling in finance, in particular mathematical models of systemic risk.[3] He was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010.

Biography

Born in Tehran (Iran), Cont obtained his undergraduate degree from Ecole Polytechnique (France)[8], a Masters degree in Theoretical Physics from Ecole Normale Superieure and a degree in Chinese Language from Institut national des langues et civilisations orientales.[9] His doctoral thesis focused on the application of Lévy processes in financial modelling.

Research and career

Cont started his career as a CNRS researcher in Applied Mathematics at Ecole Polytechnique (France) in 1998 and held academic positions at Ecole Polytechnique and Columbia University.[9] He was appointed 'Directeur de Recherche CNRS' (CNRS Senior Research Scientist) in 2008 and was Chair of Mathematical Finance at Imperial College London[10] from 2012 to 2018. He was named Statutory Professor in Mathematical Finance at the Oxford Mathematical Institute and Professorial Fellow of St Hugh’s College, Oxford in 2018.[11][12]

Cont's research focuses on probability theory, stochastic analysis and mathematical modelling in finance.[13] His mathematical work focuses on pathwise methods in stochastic analysis [14] and the Functional Ito calculus.[15] In quantitative finance he is known in particular for his work on models based on jump processes, [16] the stochastic modelling of limit order books as queueing systems [17] [18], machine learning methods in finance [19] and the mathematical modelling of systemic risk.[20] [21] He was Editor in Chief of the Encyclopedia of Quantitative Finance.[22]

Cont has served as advisor to central banks and international regulatory organizations such as the International Monetary Fund and the Bank for International Settlements on stress testing and systemic risk monitoring. His work on network models, financial stability and central clearing [23]has influenced central banks and regulators [24] and he has given numerous media interviews[25] [26][27][6] [28]on issues related to systemic risk and financial regulation.

Awards and honours

Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his work on mathematical modelling of financial markets.[1] He was elected Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2017 for "contributions to stochastic analysis and mathematical finance".[3] He received the Award for Excellence in Interdisciplinary Research (APEX) from the Royal Society in 2017 for his research on mathematical modelling of systemic risk.[2] [29]

Publications

  • Cont, Rama; Ananova, Anna (2017). "Pathwise integration with respect to paths of finite quadratic variation". Journal de Mathématiques Pures et Appliquées. 107 (6): 737–757. doi:10.1016/j.matpur.2016.10.004.
  • Cont, Rama; Fournie, David-Antoine (2013). "Functional Ito calculus and stochastic integral representation of martingales". The Annals of Probability. 41 (1): 109–133. doi:10.1214/11-AOP721.
  • Cont, Rama; Moussa, Amal; Santos, Edson Bastos (2013). "Network structure and systemic risk in banking systems". In Fouque, Jean-Pierre; Langsam, Joseph (eds.). Handbook of Systemic Risk. Cambridge University Press. CiteSeerX 10.1.1.637.587. doi:10.1017/CBO9781139151184.018. ISBN 9781107023437. Archived from the original (PDF) on 1 Aug 2013. Retrieved 5 August 2018.

References

  1. ^ a b London Mathematical Society. "Louis Bachelier Prize". LMS. Retrieved 5 August 2018.
  2. ^ a b https://royalsociety.org/grants-schemes-awards/grants/apex-awards/2017-award-holders/
  3. ^ a b c Society for Industrial and Applied Mathematics. "SIAM Fellows: Class of 2017". SIAM. Retrieved 5 August 2018.
  4. ^ https://www.genealogy.math.ndsu.nodak.edu/id.php?id=55850&fChrono=1
  5. ^ a b c d e f Rama Cont at the Mathematics Genealogy Project
  6. ^ a b Sorman, Guy. "Wild Randomness". Forbes (August 2009). Retrieved 5 August 2018.
  7. ^ https://www.maths.ox.ac.uk/people/rama.cont
  8. ^ a b https://www.whoswho.fr/bio/rama-cont_70037
  9. ^ a b "Rama Cont's CV" (PDF). Deutsche GesellSchaft fuer Versicherungs und Finanzmathematik (PDF). Retrieved 2018-08-03. {{cite web}}: Check |archiveurl= value (help)
  10. ^ https://www.imperial.ac.uk/people/r.cont
  11. ^ "Appointments". Oxford Gazette. Oxford University. 2018. Retrieved 22 January 2018.
  12. ^ "Rama Cont appointed to the Professorship of Mathematical Finance in Oxford". Oxford University. 2018. Retrieved 1 February 2018.
  13. ^ http://rama.cont.perso.math.cnrs.fr/
  14. ^ Cont, Rama; Ananova, Anna (2017). "Pathwise integration with respect to paths of finite quadratic variation". Journal de Mathématiques Pures et Appliquées. 107 (6): 737–757. doi:10.1016/j.matpur.2016.10.004.
  15. ^ Bally, Vlad; Caramellino, Lucia; Cont, Rama (2016). Stochastic Integration by Parts and Functional Itô Calculus. Advanced Courses in Mathematics - CRM Barcelona. doi:10.1007/978-3-319-27128-6. ISBN 978-3-319-27127-9.
  16. ^ Cont, Rama; Tankov, Peter (2004). Financial Modelling with Jump Processes. CRC Press. ISBN 9781584884132.
  17. ^ Cont, Rama; De Larrard, Adrien (2013). "Price Dynamics in a Markovian Limit Order Market". SIAM Journal on Financial Mathematics. 4 (1): 1–25. arXiv:1104.4596. doi:10.1137/110856605.
  18. ^ Cont, Rama; Stoikov, Sasha; Talreja, Rishi (2008). "A Stochastic Model for Order Book Dynamics". Operations Research. 58 (7176): 340–344. doi:10.1287/opre.1090.0780.
  19. ^ Mannix, Rob (2018). "Neural network learns 'universal model' for stock-price moves". RISK.
  20. ^ Systemic Risk: a challenge for Mathematical Modelling on YouTube
  21. ^ Cont, Rama; Moussa, Amal; Santos, Edson Bastos (2013). "Network structure and systemic risk in banking systems". In Fouque, Jean-Pierre; Langsam, Joseph (eds.). Handbook of Systemic Risk. Cambridge University Press. CiteSeerX 10.1.1.637.587. doi:10.1017/CBO9781139151184.018. ISBN 9781107023437. Archived from the original (PDF) on 1 Aug 2013. Retrieved 5 August 2018.
  22. ^ Cont, Rama (2010). Encyclopedia of Quantitative Finance. Chichester: Wiley. ISBN 9780470057568.
  23. ^ "Rama Cont - Central bank research hub". BIS. Retrieved 5 August 2018.
  24. ^ Yellen, Janet. "Interconnectedness and Systemic Risk: Lessons from the Financial Crisis and Policy Implications". Board of Governors of the Federal Reserve System. Retrieved 5 August 2018.
  25. ^ Cypel, Sylvain. "Si AIG s'écroule, toute l'économie américaine est affectée". LeMonde.fr. Le Monde. Retrieved 5 August 2018.
  26. ^ https://www.youtube.com/watch?v=NwxaIqR0ADE
  27. ^ Cypel, Sylvain. "Les "conflits d'intérêts" d'Abacus". Le Monde. Le Monde. Retrieved 5 August 2018.
  28. ^ https://www.louisbachelier.org/chambres-de-compensation-transforment-risque-de-contrepartie-risque-de-liquidite/
  29. ^ Dunning, Hayley. "Maths researcher awarded funding for interdisciplinary risk project". Imperial College London. Retrieved 5 August 2018.


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