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- Rama Cont
- 2001

We present a set of stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets. We first discuss some general issues common to all… (More)

- Rama Cont, Joël Bessis, +7 authors Franck Viollet
- 2004

Uncertainty on the choice of an option pricing model can lead to “model risk” in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model… (More)

- Rama Cont, JEAN-PHILIPE BOUCHAUD
- 2000

We present a simple model of a stock market where a random communication structure between agents generically gives rise to heavy tails in the distribution of stock price variations in the form of an… (More)

- Rama Cont, Sasha Stoikov, Rishi Talreja
- Operations Research
- 2010

We propose a stochastic model for the continuous-time dynamics of a limit order book. The model strikes a balance between two desirable features: it captures key empirical properties of order book… (More)

- Rama Cont, Peter Tankov
- 2004

generally, exponential Lévy models to a finite set of observed option prices. We show that the usual formulations of the inverse problem via non-linear least squares are ill-posed and propose a… (More)

- Rama Cont, Ekaterina Voltchkova
- SIAM J. Numerical Analysis
- 2005

We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the… (More)

- Rama Cont, Arseniy Kukanov, Sasha Stoikov
- 2010

We study the price impact of order book events limit orders, market orders and cancelations using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are… (More)

- Didier Sornette, Rama Cont
- 1997

Levy and Solomon have found that random multiplicative processes wi =11 A2. At

We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and… (More)

- Rama Cont, José Da Fonseca
- 2002

The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have… (More)