Rama Cont
801C Schapiro CEPSR
530 W. 120 Street
New York, New York 10027
Phone: +1 212-854-1477
Fax: +1 212-854-8103
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Rama Cont joined Columbia University's IEOR Department in 2006, after previous positions as CNRS research scientist at Centre de Mathématiques Appliquées, Ecole Polytechnique (France), and visiting professor at Princeton University. His research deals with probability theory and the modelling of extreme risks -market discontinuities, systemic risk and instabilities - in financial markets. His research focuses on stochastic modeling and applications in financial risk management, in particular systemic risk. Rama has taught at various academic institutions in Europe and the U.S. including Ecole Polytechnique, Université de Paris VI, Sorbonne, Princeton, Osaka University, Université Paris-Dauphine, and HEC. He has worked as a consultant for financial institutions and regulatory bodies worldwide, on topics such as the design of large-scale risk management systems, the central clearing of OTC derivatives and the impact of automated trading strategies on market stability. Currently Rama is the Editor in Chief of the Encyclopedia of Quantitative Finance, a 4 volume major reference work in quantitative finance, and the director of the Center for Financial Engineering at Columbia University.
In 2010, he was awarded the Louis Bachelier Grand Prize by the French Academy of Sciences for his research on the mathematical modeling of financial risks.
Publications
R. Cont (ed.): Encyclopedia of Quantitative Finance, Wiley, 2010
R. Cont, P. Tankov: Financial Modeling with Jump Processes. Chapman & Hall / CRC Press, 2003. ISBN: 1584884134.
R. Cont (ed.): Frontiers in Quantitative Finance: credit risk and volatility modeling. Wiley, 2008.