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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 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
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.