Rama Cont | |
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Born | Rama Cont 30 June 1972 |
Nationality | Iran |
Alma mater | École Polytechnique |
Known for | Systemic risk modelling, Functional Ito calculus, Pathwise Ito calculus, Model risk, Liquidity at risk |
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Scientific career | |
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Institutions | |
Thesis | Des marches aléatoires aux marchés aléatoires. Modélisation statistique des marchés financiers: études empiriques et approches théoriques. [4] (1998) |
Doctoral advisor | Jean-Philippe Bouchaud [5] |
Website | people |
Rama Cont is the Professor of Mathematical Finance at the University of Oxford. [6] [7] He is known for contributions to probability theory, 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.
Born in Tehran (Iran), Cont obtained his undergraduate degree from Ecole Polytechnique (France), [7] 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. [8] 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. [8] He was appointed 'Directeur de Recherche CNRS' (CNRS Senior Research Scientist) in 2008 and was chair of mathematical finance at Imperial College London [9] 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. [10] [11]
Cont's research focuses on probability theory, stochastic analysis and mathematical modelling in finance. [12] His mathematical work focuses on pathwise methods in stochastic analysis [13] and the Functional Ito calculus. [14]
In quantitative finance he is known in particular for his work on models based on jump processes, [15] the stochastic modelling of limit order books as queueing systems [16] , [17] machine learning methods in finance [18] and the mathematical modelling of systemic risk. [19] [20] He was editor in chief of the Encyclopedia of Quantitative Finance. [21]
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 [22] has influenced central banks and regulators . [23] He has given numerous media interviews [24] [25] [26] [27] [28] 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 [29] . Cont and collaborators built on the seminal work of German mathematician Hans Föllmer [30] and Bruno Dupire to construct a calculus for non-anticipative functionals [31] , which includes as a special case the so-called Ito-Föllmer calculus, a pathwise counterpart of Ito's stochastic calculus. [32] Subsequent work by Cont and Nicolas Perkowski [33] 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. [23] [34]
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. [35] 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. [36]
Cont introduced a rigorous approach for the assessment of model risk [37] which has been influential in the design of model risk management frameworks in financial institutions. [38] [39] [40]
Cont, Deguest and Scandolo [41] 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. [42]
Cont, Kotlicki and Valderrama define the concept of Liquidity at risk, [43] 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. [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] [44]
Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. This field was created and started by the Japanese mathematician Kiyosi Itô during World War II.
Credit risk is the possibility of losing a lender holds due to a risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost principal and interest, disruption to cash flows, and increased collection costs. The loss may be complete or partial. In an efficient market, higher levels of credit risk will be associated with higher borrowing costs. Because of this, measures of borrowing costs such as yield spreads can be used to infer credit risk levels based on assessments by market participants.
In probability theory and related fields, Malliavin calculus is a set of mathematical techniques and ideas that extend the mathematical field of calculus of variations from deterministic functions to stochastic processes. In particular, it allows the computation of derivatives of random variables. Malliavin calculus is also called the stochastic calculus of variations. P. Malliavin first initiated the calculus on infinite dimensional space. Then, the significant contributors such as S. Kusuoka, D. Stroock, J-M. Bismut, S. Watanabe, I. Shigekawa, and so on finally completed the foundations.
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Kiyosi Itô was a Japanese mathematician who made fundamental contributions to probability theory, in particular, the theory of stochastic processes. He invented the concept of stochastic integral and stochastic differential equation, and is known as the founder of so-called Itô calculus.
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Itô calculus, named after Kiyosi Itô, extends the methods of calculus to stochastic processes such as Brownian motion. It has important applications in mathematical finance and stochastic differential equations.
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