Items where Author is "Ruf, Johannes"

Article

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2024) Minimum curvature flow and martingale exit times. Electronic Journal of Probability, 29. ISSN 1083-6489

Larsson, Martin, Ramdas, Aaditya and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2024) Larsson, Ramdas, and Ruf’s contribution to the Discussion of Safe Testing by Grünwald, de Heide, and Koolen. Journal of the Royal Statistical Society. Series B: Statistical Methodology. ISSN 1369-7412 (In Press)

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2024) Martin Larsson and Johannes Ruf’s contribution to the Discussion of ‘Estimating means of bounded random variables by betting’ by Waudby-Smith and Ramdas. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 86 (1). 39 - 40. ISSN 1369-7412

Ruf, Johannes ORCID: 0000-0003-3616-2194, Larsson, Martin, Koolen, Wouter m. and Ramdas, Aaditya (2023) A composite generalization of Ville’s martingale theorem using e-processes. Electronic Journal of Probability, 28. ISSN 1083-6489

Černý, Aleš and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2023) Simplified calculus for semimartingales: multiplicative compensators and changes of measure. Stochastic Processes and Their Applications, 161. pp. 572-602. ISSN 0304-4149

Wang, Weiguan and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2022) A note on spurious model selection. Quantitative Finance, 22 (10). 1797 - 1800. ISSN 1469-7688

Ruf, Johannes ORCID: 0000-0003-3616-2194 and Wang, Weiguan (2022) Hedging with linear regressions and neural networks. Journal of Business and Economic Statistics, 40 (4). 1442 - 1454. ISSN 0735-0015

Ramdas, Aaditya, Ruf, Johannes ORCID: 0000-0003-3616-2194, Larsson, Martin and M. Koolen, Wouter (2022) Testing exchangeability: fork-convexity, supermartingales and e-processes. International Journal of Approximate Reasoning, 141. 83 - 109. ISSN 0888-613X

Černý, Aleš and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2022) Simplified stochastic calculus via semimartingale representations. Electronic Journal of Probability, 27. 1 - 32. ISSN 1083-6489

Černý, Aleš and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2021) Pure-jump semimartingales. Bernoulli, 27 (4). 2624 - 2648. ISSN 1350-7265

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2021) Relative arbitrage: sharp time horizons and motion by curvature. Mathematical Finance, 31 (3). 885 - 906. ISSN 0960-1627

Černý, Aleš and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) Simplified stochastic calculus with applications in economics and finance. European Journal of Operational Research. ISSN 0377-2217

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) Convergence of local supermartingales. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 56 (4). 2774 - 2791. ISSN 0246-0203

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24 (4). 871 - 901. ISSN 0949-2984

Ruf, Johannes ORCID: 0000-0003-3616-2194 and Xie, Kangjianan (2020) Impact of proportional transaction costs on systematically generated portfolios. SIAM Journal on Financial Mathematics, 11 (3). 881–896. ISSN 1945-497X

Ruf, Johannes ORCID: 0000-0003-3616-2194 and Wang, Weiguan (2020) Neural networks for option pricing and hedging: a literature review. Journal of Computational Finance, 24 (1). 1 - 46. ISSN 1460-1559

Ruf, Johannes ORCID: 0000-0003-3616-2194 and Wolter, James Lewis (2020) Nonparametric identification of the mixed hazard model using martingale-based moments. Econometric Theory, 36 (2). 331 - 346. ISSN 0266-4666

Paola, Iannone, Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) The impact of high stakes oral performance assessment on students’ approaches to learning: a case study. Educational Studies in Mathematics, 103 (3). 313 - 337. ISSN 0013-1954

Ruf, Johannes ORCID: 0000-0003-3616-2194 and Xie, Kangjianan (2019) Generalized Lyapunov functions and functionally generated trading strategies. Applied Mathematical Finance, 26 (4). pp. 293-327. ISSN 1350-486X

Banner, Adrian, Fernholz, Robert, Papathanakos, Vassilios, Ruf, Johannes ORCID: 0000-0003-3616-2194 and Schofield, David (2019) Diversification, volatility, and surprising alpha. Journal of Investment Consulting, 19 (1). 23 - 30. ISSN 1424-6035

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2019) Projections of scaled bessel processes. Electronic Communications in Probability, 24. ISSN 1083-589X

Hulley, Hardy and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2019) Weak tail conditions for local martingales. Annals of Probability, 47 (3). pp. 1811-1825. ISSN 0091-1798

Fisher, Travis, Pulido, Sergio and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2019) Financial models with defaultable numéraires. Mathematical Finance, 29 (1). 117 - 136. ISSN 0960-1627

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2018) Stochastic exponentials and logarithms on stochastic intervals: a survey. Journal of Mathematical Analysis and Applications. pp. 1-14. ISSN 0022-247X

Prokaj, Vilmos and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2018) Local martingales in discrete time. Electronic Communications in Probability, 23 (31). ISSN 1083-589X

Fernholz, E. Robert, Karatzas, Ioannis and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2018) Volatility and arbitrage. Annals of Applied Probability, 28 (1). pp. 378-417. ISSN 1050-5164

Ruf, Johannes ORCID: 0000-0003-3616-2194 (2017) Piecewise constant local martingales with bounded numbers of jumps. Electronic Communications in Probability, 22 (31). ISSN 1083-589X

Karatzas, Ioannis and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2017) Trading strategies generated by Lyapunov functions. Finance and Stochastics. ISSN 0949-2984

Karatzas, Ioannis and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2016) Distribution of the time to explosion for one-dimensional diffusions. Probability Theory and Related Fields, 164 (3-4). pp. 1027-1069. ISSN 0178-8051

Bruggeman, Cameron and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2016) A one-dimensional diffusion hits points fast. Electronic Communications in Probability, 21 (22). pp. 1-7. ISSN 1083-589X

Karatzas, Ioannis and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2016) Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 52 (2). pp. 915-938. ISSN 0246-0203

Perkowski, Nicolas and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2015) Supermartingales as Radon-Nikodym densities and related measure extensions. Annals of Probability, 43 (6). pp. 3133-3176. ISSN 0091-1798

Blanchet, Jose and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2015) A weak convergence criterion for constructing changes of measure. Stochastic Models, 32 (2). pp. 233-252. ISSN 1532-6349

Ruf, Johannes ORCID: 0000-0003-3616-2194 (2015) The martingale property in the context of stochastic differential equations. Electronic Communications in Probability, 20 (34). pp. 1-10. ISSN 1083-589X

Ruf, Johannes ORCID: 0000-0003-3616-2194 (2015) The uniform integrability of Martingales. On a question by Alexander Cherny. Stochastic Processes and Their Applications, 125 (10). pp. 3657-3662. ISSN 0304-4149

Oyarzun, Carlos and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2014) Convergence in models with bounded expected relative hazard rates. Journal of Economic Theory, 154. pp. 229-244. ISSN 1095-7235

Carrol, Peter, Fisher, Travis and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2013) On the hedging of options on exploding exchange rates. Finance and Stochastics, 18 (1). pp. 115-144. ISSN 0949-2984

Conference or Workshop Item

Manggala, Putra, Atoyan, Tigran, Samosir, Gracia, Varsava, Jan and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2021) On augmenting the references section with a citation network visualization. In: ICLR 2021 Ninth International Conference on Learning Representations, 2021-05-04 - 2021-05-07, Virtual Conference.