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Johannes Ruf
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2020 – today
- 2022
- [j7]Aaditya Ramdas
, Johannes Ruf
, Martin Larsson
, Wouter M. Koolen
:
Testing exchangeability: Fork-convexity, supermartingales and e-processes. Int. J. Approx. Reason. 141: 83-109 (2022) - [i4]Johannes Ruf, Martin Larsson, Wouter M. Koolen, Aaditya Ramdas:
A composite generalization of Ville's martingale theorem. CoRR abs/2203.04485 (2022) - 2021
- [j6]Ales Cerný
, Johannes Ruf:
Simplified stochastic calculus with applications in Economics and Finance. Eur. J. Oper. Res. 293(2): 547-560 (2021) - [c1]Rafael Poppenborg
, Johannes Ruf, Malte Chlosta, Jianlei Liu, Christian Hotz, Clemens Düpmeier, Thomas Kolb, Veit Hagenmeyer:
Energy hub gas: a multi-domain system modelling and co-simulation approach. MSCPES@CPSIoTWeek 2021: 12:1-12:7 - [i3]Aaditya Ramdas, Johannes Ruf, Martin Larsson, Wouter M. Koolen:
How can one test if a binary sequence is exchangeable? Fork-convex hulls, supermartingales, and Snell envelopes. CoRR abs/2102.00630 (2021) - 2020
- [j5]Johannes Ruf, Kangjianan Xie:
The Impact of Proportional Transaction Costs on Systematically Generated Portfolios. SIAM J. Financial Math. 11(3): 881-896 (2020) - [i2]Johannes Ruf, Weiguan Wang:
Hedging with Neural Networks. CoRR abs/2004.08891 (2020)
2010 – 2019
- 2019
- [i1]Johannes Ruf, Weiguan Wang:
Neural networks for option pricing and hedging: a literature review. CoRR abs/1911.05620 (2019) - 2017
- [j4]Ioannis Karatzas, Johannes Ruf:
Trading strategies generated by Lyapunov functions. Finance Stochastics 21(3): 753-787 (2017) - 2014
- [j3]Peter Carr, Travis Fisher, Johannes Ruf:
On the hedging of options on exploding exchange rates. Finance Stochastics 18(1): 115-144 (2014) - [j2]Carlos Oyarzun, Johannes Ruf:
Convergence in models with bounded expected relative hazard rates. J. Econ. Theory 154: 229-244 (2014) - 2013
- [j1]Peter Carr, Travis Fisher, Johannes Ruf:
Why Are Quadratic Normal Volatility Models Analytically Tractable? SIAM J. Financial Math. 4(1): 185-202 (2013)
Coauthor Index
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