Johannes Ruf

According to our database, Johannes Ruf authored at least 12 papers between 2013 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

Testing exchangeability: Fork-convexity, supermartingales and e-processes.

Aaditya Ramdas, Johannes Ruf, Martin Larsson, Wouter M. Koolen

Int. J. Approx. Reason., 2022

A composite generalization of Ville's martingale theorem.

Johannes Ruf, Martin Larsson, Wouter M. Koolen, Aaditya Ramdas

CoRR, 2022

2021

Simplified stochastic calculus with applications in Economics and Finance.

Ales Cerný, Johannes Ruf

Eur. J. Oper. Res., 2021

How can one test if a binary sequence is exchangeable? Fork-convex hulls, supermartingales, and Snell envelopes.

Aaditya Ramdas, Johannes Ruf, Martin Larsson, Wouter M. Koolen

CoRR, 2021

Energy hub gas: a multi-domain system modelling and co-simulation approach.

Rafael Poppenborg, Johannes Ruf, Malte Chlosta, Jianlei Liu, Christian Hotz, Clemens Düpmeier, Thomas Kolb, Veit Hagenmeyer

Proceedings of the MSCPES@CPSIoTWeek '21: Proceedings of the 9th Workshop on Modeling and Simulation of Cyber-Physical Energy Systems, Virtual Event, May 19, 2021

2020

The Impact of Proportional Transaction Costs on Systematically Generated Portfolios.

Johannes Ruf, Kangjianan Xie

SIAM J. Financial Math., 2020

Hedging with Neural Networks.

Johannes Ruf, Weiguan Wang

CoRR, 2020

2019

Neural networks for option pricing and hedging: a literature review.

Johannes Ruf, Weiguan Wang

CoRR, 2019

2017

Trading strategies generated by Lyapunov functions.

Ioannis Karatzas, Johannes Ruf

Finance Stochastics, 2017

2014

Convergence in models with bounded expected relative hazard rates.

Carlos Oyarzun, Johannes Ruf

J. Econ. Theory, 2014

On the hedging of options on exploding exchange rates.

Peter Carr, Travis Fisher, Johannes Ruf

Finance Stochastics, 2014

2013

Why Are Quadratic Normal Volatility Models Analytically Tractable?

Peter Carr, Travis Fisher, Johannes Ruf

SIAM J. Financial Math., 2013