Johannes Ruf

London School of Economics

United Kingdom

SCHOLARLY PAPERS

14

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5,771

SSRN CITATIONS
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Top 23,385

in Total Papers Citations

48

CROSSREF CITATIONS

5

Scholarly Papers (14)

1.

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 and Shanghai University
Downloads 1,638 (20,921)
Citation 13

Abstract:

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Neural network, Option pricing, Option hedging, Survey

2.

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 and Shanghai University
Downloads 1,180 (34,021)
Citation 9

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

3.

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
Downloads 1,073 (38,962)

Abstract:

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

4.
Downloads 653 (76,277)
Citation 4

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 and Enhanced Investment Technologies, Inc. (INTECH)
Downloads 386 (142,720)
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 and Enhanced Investment Technologies, Inc. (INTECH)
Downloads 267 (211,777)

Abstract:

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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
Downloads 358 (156,530)
Citation 1

Abstract:

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

6.

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
Downloads 156 (349,061)
Citation 1

Abstract:

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

7.

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
Downloads 148 (364,411)

Abstract:

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8.

Simplified Calculus for Semimartingales: Multiplicative Compensators and Changes of Measure

Stochastic Processes and Their Applications, 2023, 161, 572-602
Number of pages: 25 Posted: 23 Jun 2020 Last Revised: 01 Nov 2023
Aleš Černý and Johannes Ruf
Bayes Business School, City, University of London and London School of Economics
Downloads 137 (387,302)
Citation 1

Abstract:

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

9.

Growth and fund structures

Number of pages: 38 Posted: 09 Aug 2022 Last Revised: 15 Nov 2023
London School of Economics & Political Science (LSE), Ajou University and London School of Economics
Downloads 121 (426,031)

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Bayesian inference, Filtering, Fund model;, Growth-optimal portfolio, Shrinkage

10.

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 and Lloyds Banking Group
Downloads 78 (570,841)
Citation 1

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

11.

Diversifying an Index

Number of pages: 3 Posted: 25 Jul 2023
Johannes Ruf
London School of Economics
Downloads 66 (625,426)

Abstract:

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12.

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
Downloads 62 (645,771)
Citation 1

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

13.

Mandate Models and the Inelastic Market Hypothesis

Number of pages: 38 Posted: 18 Jan 2024 Last Revised: 13 Feb 2024
Johannes Ruf and Yueying Sun
London School of Economics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 57 (672,603)

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Equilibrium, Flow, Fixed point, Inelastic market hypothesis, Price elasticity, Volatility propagation

14.

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 and Lloyds Banking Group
Downloads 44 (752,856)
Citation 1

Abstract:

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