Johannes Ruf

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

United Kingdom

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 35,206

in Total Papers Citations

12

CROSSREF CITATIONS

8

Scholarly Papers (11)

1.

Finance Without Brownian Motions: An Introduction to Simplified Stochastic Calculus

ArXiv preprint
Number of pages: 30 Posted: 23 Dec 2019 Last Revised: 26 Jun 2020
Aleš Černý and Johannes Ruf
Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 401 (79,946)

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

2.
Downloads 346 ( 94,725)
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 249 (134,199)
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 97 (296,866)

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Portfolio Management, Diversification

3.

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 London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 313 (105,797)
Citation 3

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Neural network, Option pricing, Option hedging, Survey

4.

Hedging with Neural Networks

Number of pages: 31 Posted: 14 May 2020 Last Revised: 10 Jul 2020
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 150 (213,668)

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Benchmarking, Black-Scholes, Data leakage, Delta-vega hedging, Hedging error, Linear regression, Neural network, Statistical hedging

5.

Simplified Stochastic Calculus: Multiplicative Compensators and Changes of Measure

Number of pages: 18 Posted: 23 Jun 2020
Aleš Černý and Johannes Ruf
Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 23 (548,539)

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

6.

Simplified Stochastic Calculus via Semimartingale Representations

ArXiv preprint, 2020
Number of pages: 27 Posted: 23 Jun 2020
Aleš Černý and Johannes Ruf
Business School, City, University of London and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 17 (586,888)

Abstract:

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

7.

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 15 (599,982)

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

8.

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 14 (606,765)
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

9.

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

Number of pages: 30 Posted: 16 Dec 2019
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 8 (648,791)

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

10.

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
Université Paris Sud-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 1 (708,574)
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defaultable numéraire, devaluation, nonclassical valuation formulas

11.

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 1 (708,574)
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