Johannes Ruf

London School of Economics & Political Science (LSE) - London School of Economics

United Kingdom

SCHOLARLY PAPERS

14

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61

CROSSREF CITATIONS

16

Scholarly Papers (14)

Neural Networks for Option Pricing and Hedging: A Literature Review

Journal of Computational Finance
Number of pages: 32 Posted: 25 Nov 2019 Last Revised: 11 May 2020
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
Downloads 1,240 (24,284)
Citation 13

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Neural network, Option pricing, Option hedging, Survey

Neural Networks for Option Pricing and Hedging: A Literature Review

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 46 Posted: 19 Jan 2021
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
Downloads 2 (964,053)
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benchmarking, calibration, data leakage, partial differential equations (PDEs), regularization, survey

Neural Networks for Option Pricing and Hedging: A Literature Review

Journal of Computational Finance, Forthcoming
Number of pages: 46 Posted: 14 Aug 2020
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
Downloads 1 (979,947)
Citation 8
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benchmarking, calibration, data leakage, partial differential equations (PDEs), regularization, survey

2.

Simplified Stochastic Calculus With Applications in Economics and Finance

European Journal of Operational Research, 2021, 293(2), 547-560
Number of pages: 30 Posted: 23 Dec 2019 Last Revised: 19 Apr 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 903 (38,972)

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drift, Émery formula, Girsanov's theorem, simplified stochastic calculus

3.

Hedging with Linear Regressions and Neural Networks

Forthcoming in Journal of Business and Economic Statistics
Number of pages: 29 Posted: 14 May 2020 Last Revised: 18 Nov 2021
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
Downloads 883 (40,152)
Citation 6

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Benchmarking; Black-Scholes; Information Leakage; Hedging error; Leverage effect; Statistical hedging

4.
Downloads 554 ( 73,865)
Citation 3

Diversification, Volatility, and Surprising Alpha

Number of pages: 17 Posted: 28 Sep 2018
Enhanced Investment Technologies, Inc. (INTECH), Allocation Strategies, LLC, INTECH Investment Management, LLC, London School of Economics & Political Science (LSE) - London School of Economics and Enhanced Investment Technologies, Inc. (INTECH)
Downloads 342 (128,979)
Citation 4

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Portfolio Management, Diversification

Diversification, Volatility, and Surprising Alpha

Journal of Investment Consulting, Vol. 19, no. 1, 2019, pp. 23-30
Number of pages: 10 Posted: 05 Feb 2020
Enhanced Investment Technologies, Inc. (INTECH), Allocation Strategies, LLC, INTECH Investment Management, LLC, London School of Economics & Political Science (LSE) - London School of Economics and Enhanced Investment Technologies, Inc. (INTECH)
Downloads 212 (209,185)

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Portfolio Management, Diversification

5.

Information Leakage in Backtesting

Number of pages: 12 Posted: 04 May 2021 Last Revised: 24 Jun 2022
Weiguan Wang and Johannes Ruf
Shanghai University and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 200 (221,035)

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Data snooping; Hedging; Information leakage; Overfitting; Pseudo real-time; Time series

6.

Supplement to: Simplified stochastic calculus with applications in Economics and Finance

Number of pages: 4 Posted: 11 Feb 2021 Last Revised: 15 Jun 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 123 (328,588)
Citation 1

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7.

Simplified Stochastic Calculus via Semimartingale Representations

Electronic Journal of Probability, 2022, 27, paper no.3, 1-32
Number of pages: 32 Posted: 23 Jun 2020 Last Revised: 19 Apr 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 94 (394,072)
Citation 1

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Complex-valued process; generalized Yor formula; Émery formula; Itô formula

8.

Simplified Calculus for Semimartingales: Multiplicative Compensators and Changes of Measure

arXiv preprint 2006.12765
Number of pages: 22 Posted: 23 Jun 2020 Last Revised: 28 Oct 2022
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 70 (467,712)
Citation 1

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Girsanov, Lévy-Khintchin, Mellin transform, predictable compensator, process with independent increments, semimartingale representation

9.

The Impact of Proportional Transaction Costs on Systematically Generated Portfolios

SIAM Journal of Financial Mathematics, 2020
Number of pages: 16 Posted: 17 Jul 2020
Johannes Ruf and Kangjianan Xie
London School of Economics & Political Science (LSE) - London School of Economics and Lloyds Banking Group
Downloads 57 (517,980)

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Diversity-weighted portfolio, equally-weighted portfolio, functionally generated portfolio, portfolio analysis, Stochastic Portfolio Theory, transaction cost

10.

Estimation of Growth in Fund Models

Number of pages: 40 Posted: 09 Aug 2022
London School of Economics & Political Science (LSE), Ajou University and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 43 (583,394)

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Bayesian inference, CAPM, Fund model, Growth-optimal portfolio. Filtering, Shrinkage

11.

Filtration Shrinkage, the Structure of Deflators, and Failure of Market Completeness

Number of pages: 32 Posted: 16 Dec 2019 Last Revised: 31 Aug 2020
Constantinos Kardaras and Johannes Ruf
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 39 (605,181)
Citation 2

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Bayesian; Brownian Motion; Deflator; Levy Transform; Local Martingale; Market Completeness; Predictable Representation Property

12.

Generalised Lyapunov Functions and Functionally Generated Trading Strategies

Applied Mathematical Finance, 2020
Number of pages: 28 Posted: 17 Jul 2020
Johannes Ruf and Kangjianan Xie
London School of Economics & Political Science (LSE) - London School of Economics and Lloyds Banking Group
Downloads 27 (681,248)
Citation 1

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Additive generation, Lyapunov function, market diversity, multiplicative generation, portfolio analysis, portfolio generating function, S&P 500, Stochastic Portfolio Theory

13.

Hedging Under Arbitrage

Mathematical Finance, Vol. 23, Issue 2, pp. 297-317, 2013
Number of pages: 21 Posted: 06 Mar 2013
Johannes Ruf
London School of Economics & Political Science (LSE) - London School of Economics
Downloads 3 (910,535)
Citation 2

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Benchmark Approach, Stochastic Portfolio Theory, bubbles, local martingales, Föllmer measure, continuous time, diffusions, stochastic discount factor, market price of risk, trading strategies, arbitrage, pricing, hedging, options, put‐call‐parity, Black–Scholes PDE, stochastic flows, Schauder estimates, Bessel process

14.

Financial Models with Defaultable Numéraires

Mathematical Finance, Vol. 29, Issue 1, pp. 117-136, 2019
Number of pages: 20 Posted: 11 Jan 2019
Travis Fisher, Sergio Pulido and Johannes Ruf
University of Paris-Saclay, Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071 and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 2 (923,942)

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defaultable numéraire, devaluation, nonclassical valuation formulas