Rama Cont

Born in Tehran (Iran), Cont obtained his undergraduate degree from Ecole Polytechnique (France), a master's degree in theoretical physics from Ecole Normale Superieure and a degree in Chinese Language from Institut national des langues et civilisations orientales.{{cite web

| url = https://aktuar.de/custom/download/dav/termine/2011-JT/Scientific-Day/SD%20MV11-CV_Cont.pdf

| title = Rama Cont's CV

| publisher = Deutsche GesellSchaft fuer Versicherungs und Finanzmathematik

| access-date = 2018-08-03

}}{{Dead link|date=December 2024 |bot=InternetArchiveBot |fix-attempted=yes }} His doctoral thesis focused on the application of Lévy processes in financial modelling.

Cont started his career as a CNRS researcher in applied mathematics at Ecole Polytechnique (France) in 1998 and held academic positions at Ecole Polytechnique, Columbia University and Imperial College London. He was appointed 'Directeur de Recherche CNRS' (CNRS Senior Research Scientist) in 2008 and was chair of mathematical finance at Imperial College London{{Cite web|url=https://www.imperial.ac.uk/people/r.cont|title = Home - Professor Rama Cont}} from 2012 to 2018. He was elected Statutory Professor in Mathematical Finance at the Oxford Mathematical Institute and professorial fellow of St Hugh's College, Oxford in 2018.{{cite web|title=Appointments|website=Oxford Gazette|publisher=Oxford University|date=2018|url=http://www.ox.ac.uk/gazette/2017-2018/18january2018-no5191/notices/#264221|access-date=22 January 2018|archive-date=23 February 2018|archive-url=https://web.archive.org/web/20180223060315/https://www.ox.ac.uk/gazette/2017-2018/18january2018-no5191/notices/#264221|url-status=dead}}{{cite web|title= Rama Cont appointed to the Professorship of Mathematical Finance in Oxford

|publisher=Oxford University|date=2018|url=https://www.maths.ox.ac.uk/node/27599|access-date=1 February 2018}}

Cont's research focuses on probability theory, stochastic analysis and mathematical modelling in finance.http://rama.cont.perso.math.cnrs.fr/ {{Bare URL inline|date=August 2024}}

His mathematical work focuses on pathwise methods in stochastic analysis {{cite journal| last1=Ananova|first1=Anna|last2=Cont|first2=Rama|title= Pathwise integration with respect to paths of finite quadratic variation|journal=Journal de Mathématiques Pures et Appliquées

|volume=107|issue=6|year=2017|pages=737–757|doi=10.1016/j.matpur.2016.10.004|s2cid=16318176|doi-access=free|arxiv=1603.03305}} and the Functional Ito calculus.{{Cite book|doi = 10.1007/978-3-319-27128-6|title = Stochastic Integration by Parts and Functional Itô Calculus|series = Advanced Courses in Mathematics - CRM Barcelona|year = 2016|last1 = Bally|first1 = Vlad|last2 = Caramellino|first2 = Lucia|last3 = Cont|first3 = Rama|isbn = 978-3-319-27127-9}}

In quantitative finance he is known in particular for his work on models based on jump processes,{{cite book|last1 = Cont|first1 = Rama|last2=Tankov| first2=Peter |title = Financial Modelling with Jump Processes|publisher = CRC Press|year = 2004|isbn = 9781584884132|url = https://www.crcpress.com/Financial-Modelling-with-Jump-Processes/Tankov-Cont/p/book/9781584884132}} the stochastic modelling of limit order books as queueing systems

{{cite journal|last1=Cont|first1=Rama|last2=De Larrard|first2=Adrien|title=Price Dynamics in a Markovian Limit Order Market|journal=SIAM Journal on Financial Mathematics|volume=4|issue=1|year=2013|pages=1–25|doi=10.1137/110856605|arxiv=1104.4596|s2cid=1238587}}

,{{cite journal|last1=Cont|first1=Rama|last2=Stoikov|first2=Sasha|last3=Talreja|first3=Rishi|title=A Stochastic Model for Order Book Dynamics|journal=Operations Research|volume=58|issue=7176|year=2008|pages=340–344|doi=10.1287/opre.1090.0780}} machine learning methods in finance {{cite journal|last1=Mannix|first1=Rob|title=Neural network learns 'universal model' for stock-price moves|journal=RISK|year=2018|url=https://www.risk.net/asset-management/5447501/neural-network-learns-universal-model-for-stock-price-moves}}

and the mathematical modelling of systemic risk.{{YouTube|id=tfg2lBATh2c|title=Systemic Risk: a challenge for Mathematical Modelling}}

{{cite book |last1=Cont |first1=Rama |last2=Moussa |first2=Amal |last3=Santos |first3=Edson Bastos |editor1-last=Fouque |editor1-first=Jean-Pierre |editor2-last=Langsam |editor2-first=Joseph |title=Handbook of Systemic Risk |date=2013 |publisher=Cambridge University Press |isbn=9781107023437 |url=http://rama.cont.perso.math.cnrs.fr/pdf/ContMoussaSantos.pdf

|archive-url=https://web.archive.org/web/20130801000000/http://rama.cont.perso.math.cnrs.fr/pdf/ContMoussaSantos.pdf |archive-date=1 Aug 2013|chapter=Network structure and systemic risk in banking systems |access-date=5 August 2018|doi=10.1017/CBO9781139151184.018 |citeseerx=10.1.1.637.587 }} [https://dx.doi.org/10.1017/CBO9781139151184.018 Alt URL]

He was editor in chief of the Encyclopedia of Quantitative Finance.{{cite book |last1=Cont |first1=Rama |title=Encyclopedia of Quantitative Finance |date=2010 |publisher=Wiley |location=Chichester |isbn=9780470057568 |url=https://www.wiley.com/WileyCDA/Section/id-400799.html}}

Cont has served as advisor to central banks and international 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 {{cite web |title=Rama Cont - Central bank research hub |url=https://www.bis.org/cbhub/list/author/author_7847/index.htm |website=BIS |access-date=5 August 2018 |archive-date=23 February 2017 |archive-url=https://web.archive.org/web/20170223002248/http://www.bis.org/cbhub/list/author/author_7847/index.htm |url-status=dead }} has influenced central banks and regulators

.{{cite web |last1=Yellen |first1=Janet |title=Interconnectedness and Systemic Risk: Lessons from the Financial Crisis and Policy Implications |url=https://www.federalreserve.gov/newsevents/speech/yellen20130104a.htm |website=Board of Governors of the Federal Reserve System |access-date=5 August 2018}}

He has given numerous media interviews{{cite news |last1=Cypel |first1=Sylvain |title=Si AIG s'écroule, toute l'économie américaine est affectée |url=https://www.lemonde.fr/ameriques/article/2008/09/17/si-aig-s-ecroule-toute-l-economie-americaine-est-affectee_1096124_3222.html |newspaper=Le Monde.fr |date=17 September 2008 |publisher=Le Monde |access-date=5 August 2018}}

{{cite AV media| url-status = live| archive-url = https://ghostarchive.org/varchive/youtube/20211209/NwxaIqR0ADE| archive-date = 2021-12-09| url = https://www.youtube.com/watch?v=NwxaIqR0ADE| title = ISDA AGM 2018: Rama Cont - Imperial College London | website=YouTube}}{{cbignore}}{{cite news |last1=Cypel |first1=Sylvain |title=Les "conflits d'intérêts" d'Abacus |url=https://www.lemonde.fr/economie/article/2010/05/03/goldman-sachs-les-conflits-d-interets-d-abacus_1345879_3234.html |newspaper=Le Monde.fr |date=3 May 2010 |publisher=Le Monde |access-date=5 August 2018}}{{cite journal |last1=Sorman |first1=Guy |title=Wild Randomness |journal=Forbes |issue=August 2009 |url=https://www.forbes.com/2009/08/03/rama-cont-benoit-mandelbrot-columbia-economics-opinions-contributors-guy-sorman.html#69a529cd57fc |access-date=5 August 2018}}

{{Cite web|url=https://www.louisbachelier.org/chambres-de-compensation-transforment-risque-de-contrepartie-risque-de-liquidite/|title = Les chambres de compensation transforment le risque de contrepartie en risque de liquidité|date = 27 February 2017}} on issues related to systemic risk and financial regulation.

Cont is known in mathematics for his the "Causal functional calculus", a calculus for non-anticipative, or "causal", functionals on the space of paths.{{citation |last2=Cont|first2=Rama|last1=Chiu|first1=Henry|title=Causal Functional Calculus |journal= Transactions of the London Mathematical Society|volume=9|issue=1|year=2022|pages=237–269|doi=10.1112/tlm3.12050|s2cid=16318176|doi-access=free|hdl=10044/1/99908|hdl-access=free}}

Cont and collaborators built on the seminal work of German mathematician Hans Föllmer

{{citation

| url = http://eudml.org/doc/113318

| title = Calcul d'Ito sans probabilités.

| journal = Séminaire de probabilités de Strasbourg

| last = Föllmer

| first = Hans

| date = 1981

| volume = 15

| publisher = Springer

| access-date = 2023-12-09 }} and Bruno Dupire to construct a calculus for non-anticipative functionals,{{cite journal|last1=Cont|first1=Rama|last2=Fournie|first2=David-Antoine|title= Change of variable formulas for non-anticipative functional on path space

|journal=Journal of Functional Analysis|volume=259|year=2010|issue=4 |pages=1043–1072|doi=10.1016/j.jfa.2010.04.017|doi-access=free|hdl=10044/1/10539|hdl-access=free}} which includes as a special case the so-called Ito-Föllmer calculus, a pathwise counterpart of Ito's stochastic calculus.

{{citation |last2=Cont|first2=Rama|last1=Ananova|first1=Anna|title= Pathwise integration with respect to paths of finite quadratic variation|journal=Journal de Mathématiques Pures et Appliquées

|volume=107|issue=6|year=2017|pages=737–757|doi=10.1016/j.matpur.2016.10.004|s2cid=16318176|doi-access=free|arxiv=1603.03305}}

Subsequent work by Cont and Nicolas Perkowski {{citation| last1=Cont|first1=Rama|last2=Perkowski|first2=Nicolas|title= Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity |journal= Transactions of the American Mathematical Society|volume=6|year=2020|issue=5 |page=161-186|doi=10.1090/btran/34|doi-access=free|arxiv=1803.09269}}

extended

the Ito-Föllmer calculus to functions and functionals of more general irregular paths with non-zero p-th order variation.

Work by Cont and his collaborators on mathematical modeling of systemic risk and financial stability, in particular on network models of financial contagion and the modeling of indirect contagion via 'fire sales', has influenced academic research and policy in this area.[John Fell, Francesco Mazzaferro, Richard Portes, Eric Schaanning (2020) Fallen angels and indirect contagion: Rationale for and lessons from a system-wide analysis,

11 September 2020 https://voxeu.org/article/fallen-angels-and-indirect-contagion]

Cont's research on central clearing in over-the-counter (OTC) markets has influenced risk management practices of central counterparties and regulatory thinking on central clearing.{{citation

| url = https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2588986

| title = The end of the waterfall: default resources of central counterparties

| journal = Journal of Risk Management in Financial Institutions

| last = Cont

| first = Rama

| date = 2015

| volume = 8

| issue = 4

| page = 365

| publisher = Henry Stewart Publications

| doi = 10.69554/JZQP9267

| hdl = 11250/2495799

| ssrn = 2588986

| access-date = 2020-12-09 | hdl-access = free

}} Cont has argued that central clearing does not eliminate counterparty risk but transforms it into liquidity risk, therefore risk management and stress testing of central counterparties should focus on liquidity risk and liquidity resources, not capital.{{citation

| url = https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2919260

| title = Central clearing and risk transformation

| journal = Financial Stability Review

| last = Cont

| first = Rama

| date = 2017

| volume = 21

| publisher = Banque de France

| ssrn = 2919260

| access-date = 2020-12-09 }}

Cont introduced a rigorous approach for the assessment of model risk

* {{Cite journal | doi = 10.1111/j.1467-9965.2006.00281.x| title = Model Uncertainty and Its Impact on the Pricing of Derivative Instruments| journal = Mathematical Finance| volume = 16| issue = 3| pages = 519–547| year = 2006| last1 = Cont | first1 = Rama| s2cid = 16075069| url = https://halshs.archives-ouvertes.fr/halshs-00002695/file/ModelRisk.pdf}} which has been influential in the design of model risk management frameworks in financial institutions.

{{cite book|last1 = Morini|first1 = Massimo |title = Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators|publisher = Wiley|year = 2012|isbn = 9781118467312|doi = 10.1002/9781118467312}}{{Cite web|url=https://aziroff.com/model-risk/|title = Model risk|date = 17 September 2017}}

Cont, Deguest and Scandolo{{cite journal|last1=Cont|first1=Rama|last2=Deguest|first2=Romain|last3=Giacomo|first3=Giacomo|title=Robustness and Sensitivity Analysis of Risk Measurement Procedures|journal=Quantitative Finance|volume=10|year=2010|issue=6|pages=593–606|doi=10.1080/14697681003685597|s2cid=158678050|url=https://hal.archives-ouvertes.fr/hal-00413729/file/robustriskarxiv.pdf}} introduced the concept of 'risk measurement procedure', an empirical counterpart of the notion of risk measure, and defined a robust class of risk measurement procedures known as 'Range Value-at-risk' (RVaR), a robust alternative to Expected shortfall.{{Cite journal|arxiv = 1902.04489|last1 = Fissler|first1 = Tobias|last2 = Ziegel|first2 = Johanna F.|title = On the elicitability of range value at risk |journal = Statistics & Risk Modeling|year = 2021|volume = 38|issue = 1–2|pages = 25–46|doi = 10.1515/strm-2020-0037|s2cid = 85517050}}

Cont, Kotlicki and Valderrama define the concept of Liquidity at risk,

{{cite journal| last1=Cont|first1=Rama|last2=Kotlicki|first2=Artur|last3=Valderrama|first3=Laura|title= Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity|journal= Journal of Banking and Finance|volume=118|year=2020|page=105871|doi=10.1016/j.jbankfin.2020.105871|doi-access=free|hdl=11250/2652653|hdl-access=free}}

as the amount of liquid assets needed by a financial institution to face liquidity outflows in this scenario.

Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his work on mathematical modelling of financial markets.

He was elected Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2017 for "contributions to stochastic analysis and mathematical finance".

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.

{{cite web |last1=Dunning |first1=Hayley |title=Maths researcher awarded funding for interdisciplinary risk project |url=https://www.imperial.ac.uk/news/182887/maths-researcher-awarded-funding-interdisciplinary-risk/ |website=Imperial College London |date=3 November 2017 |access-date=5 August 2018}}

• {{cite journal|last2=Cont|first2=Rama|last1=Ananova|first1=Anna|title= Pathwise integration with respect to paths of finite quadratic variation|journal=Journal de Mathématiques Pures et Appliquées

|volume=107|issue=6|year=2017|pages=737–757|doi=10.1016/j.matpur.2016.10.004|s2cid=16318176|doi-access=free|arxiv=1603.03305}}

• {{cite journal|last2=Cont|first2=Rama|last1=Chiu|first1=Henry|title=Causal Functional Calculus |journal= Transactions of the London Mathematical Society|volume=9|issue=1|year=2022|pages=237–269|doi=10.1112/tlm3.12050|s2cid=16318176|doi-access=free|hdl=10044/1/99908|hdl-access=free}}
• {{Cite journal | doi = 10.1111/j.1467-9965.2006.00281.x| title = Model Uncertainty and Its Impact on the Pricing of Derivative Instruments| journal = Mathematical Finance| volume = 16| issue = 3| pages = 519–547| year = 2006| last1 = Cont | first1 = R.| s2cid = 16075069| url = https://halshs.archives-ouvertes.fr/halshs-00002695/file/ModelRisk.pdf}}
• {{cite journal|last1=Cont|first1=Rama|last2=Fournie|first2=David-Antoine|title= Change of variable formulas for non-anticipative functional on path space

|journal=Journal of Functional Analysis|volume=259|year=2010|issue=4 |pages=1043–1072|doi=10.1016/j.jfa.2010.04.017|doi-access=free|hdl=10044/1/10539|hdl-access=free}}

• {{cite journal|last1=Cont|first1=Rama|last2=Fournie|first2=David-Antoine|title= Functional Ito calculus and stochastic integral representation of martingales|journal=The Annals of Probability|volume=41|issue=1|year=2013|pages=109–133|doi=10.1214/11-AOP721|s2cid=8840440|doi-access=free|arxiv=1002.2446}}
• {{cite book |last1=Cont |first1=Rama |last2=Moussa |first2=Amal |last3=Santos |first3=Edson Bastos |editor1-last=Fouque |editor1-first=Jean-Pierre |editor2-last=Langsam |editor2-first=Joseph |title=Handbook of Systemic Risk |date=2013 |publisher=Cambridge University Press |isbn=9781107023437 |url=http://rama.cont.perso.math.cnrs.fr/pdf/ContMoussaSantos.pdf

|archive-url=https://web.archive.org/web/20130801000000/http://rama.cont.perso.math.cnrs.fr/pdf/ContMoussaSantos.pdf |archive-date=1 Aug 2013|chapter=Network structure and systemic risk in banking systems |access-date=5 August 2018|doi=10.1017/CBO9781139151184.018 |citeseerx=10.1.1.637.587 }} [https://dx.doi.org/10.1017/CBO9781139151184.018 Alt URL]

• {{cite book|last1=Bally|first1=Vlad|last2=Caramellino|first2=Lucia|last3=Cont|first3=Rama|title= Stochastic integration by parts and Functional Ito calculus|date=2016 |publisher=Springer |isbn=9783319271286 |url=https://link.springer.com/book/10.1007%2F978-3-319-27128-6|doi=10.1007/978-3-319-27128-6}}
• {{cite journal|last1=Cont|first1=Rama|last2=Deguest|first2=Romain|last3=Giacomo|first3=Giacomo|title=Robustness and Sensitivity Analysis of Risk Measurement Procedures|journal=Quantitative Finance|volume=10|year=2010|issue=6|pages=593–606|doi=10.1080/14697681003685597|s2cid=158678050|url=https://hal.archives-ouvertes.fr/hal-00413729/file/robustriskarxiv.pdf}}
• {{cite journal|last1=Cont|first1=Rama|last2=De Larrard|first2=Adrien|title=Price Dynamics in a Markovian Limit Order Market|journal=SIAM Journal on Financial Mathematics|volume=4|issue=1|year=2013|pages=1–25|doi=10.1137/110856605|arxiv=1104.4596|s2cid=1238587}}
• {{cite book|last1 = Cont|first1 = Rama|last2=Tankov| first2=Peter |title = Financial Modelling with Jump Processes|publisher = CRC Press|year = 2004|isbn = 9781584884132|url = https://www.crcpress.com/Financial-Modelling-with-Jump-Processes/Tankov-Cont/p/book/9781584884132}}
• {{cite journal| last1=Cont|first1=Rama|last2=Kotlicki|first2=Artur|last3=Valderrama|first3=Laura|title= Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity|journal= Journal of Banking and Finance|volume=118|year=2020|page=105871|doi=10.1016/j.jbankfin.2020.105871|doi-access=free|hdl=11250/2652653|hdl-access=free}}

• {{cite journal| last1=Cont|first1=Rama|last2=Perkowski|first2=Nicolas|title= Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity |journal= Transactions of the American Mathematical Society|volume=6|year=2020|issue=5 |page=161-186|doi=10.1090/btran/34|doi-access=free|arxiv=1803.09269}}

• {{cite journal|last1=Cont|first1=Rama|last2=Stoikov|first2=Sasha|last3=Talreja|first3=Rishi|title=A Stochastic Model for Order Book Dynamics |journal=Operations Research|volume=58|year=2010|issue=3|pages=549–563|doi=10.1287/opre.1090.0780|url=https://pubsonline.informs.org/doi/abs/10.1287/opre.1090.0780}}

{{reflist|35em}}

• [https://www.maths.ox.ac.uk/people/rama.cont Professional Homepage]
• {{Google Scholar id|id=stlWUqcAAAAJ}}
• {{MathGenealogy|id=55850}}

{{Authority control}}

{{DEFAULTSORT:Cont, Rama}}

Category:1972 births

Category:Living people

Category:École Polytechnique alumni

Category:21st-century Iranian mathematicians

Category:Applied mathematicians

Category:Probability theorists

Category:Fellows of St Hugh's College, Oxford

Category:Fellows of the Society for Industrial and Applied Mathematics

Category:Academics of the University of Oxford

Category:Statutory Professors of the University of Oxford

Category:Columbia University faculty