Items where Author is "Ruf, Johannes"

Article

Larsson, Martin, Ramdas, Aaditya and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2024) The numeraire e-variable and reverse information projection. Annals of Statistics. ISSN 0090-5364 (In Press)

Larsson, Martin, Ramdas, Aaditya and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2024) Martin Larsson, Aaditya Ramdas, and Johannes 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, 86 (5). 1135 – 1136. ISSN 1369-7412

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. 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

Book Section

Liang, Kaiwei, Liu, Ruirui, Huang, Huichou, Ruf, Johannes ORCID: 0000-0003-3616-2194, Zhao, Peilin and Wu, Qingyao (2025) Hexagon-net: heterogeneous cross-view aligned graph attention networks for implied volatility surface prediction. In: Proceedings of the 31st ACM SIGKDD Conference on Knowledge Discovery and Data Mining. Association for Computing Machinery. (In Press)

Liu, Ruirui, Huang, Huichou, Ruf, Johannes ORCID: 0000-0003-3616-2194, Liu, Haoxian and Wu, Qingyao (2025) Context-aware frequency-embedding networks for spatio-temporal portfolio selection. In: Papalexakis, Vagelis, Riondato, Matteo, Zheleva, Elena, Weninger, Tim and Ding, Wei, (eds.) Proceedings of the 2025 SIAM International Conference on Data Mining (SDM). Society for Industrial and Applied Mathematics, 317 - 326. ISBN 9781611978520

Liu, Ruirui, Huang, Huichou and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2025) Asset pricing with contrastive adversarial variational Bayes. In: Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence. Proceedings of the International Joint Conference on Artificial Intelligence,34. International Joint Conferences on Artificial Intelligence.

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.