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Johannes Ruf

Identifiers

  • name variant Johannes Ruf 0.60 · backfill

Papers (28)

  1. Dynamically optimal portfolios for monotone mean--variance preferences q-fin.PM · 2025 · author #2
  2. The impact of proportional transaction costs on systematically generated portfolios q-fin.PM · 2019 · author #1
  3. Diversification, Volatility, and Surprising Alpha q-fin.PM · 2018 · author #4
  4. Projections of scaled Bessel processes math.PR · 2018 · author #2
  5. A remark on H1 martingales math.PR · 2018 · author #2
  6. Generalised Lyapunov Functions and Functionally Generated Trading Strategies q-fin.MF · 2018 · author #1
  7. Local martingales in discrete time math.PR · 2017 · author #2
  8. Piecewise constant local martingales with bounded numbers of jumps math.PR · 2016 · author #1
  9. Volatility and Arbitrage q-fin.PM · 2016 · author #3
  10. Trading Strategies Generated by Lyapunov Functions q-fin.MF · 2016 · author #2
  11. Financial Models with Defaultable Num\'eraires q-fin.PR · 2015 · author #3
  12. Weak Tail Conditions for Local Martingales math.PR · 2015 · author #2
  13. A one-dimensional diffusion hits points fast math.PR · 2015 · author #2
  14. The Uniform Integrability of Martingales. On a Question by Alexander Cherny math.PR · 2015 · author #1
  15. Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps math.PR · 2014 · author #2
  16. Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions math.PR · 2013 · author #2
  17. Supermartingales as Radon-Nikodym densities and related measure extensions math.PR · 2013 · author #2
  18. A Systematic Approach to Constructing Market Models With Arbitrage q-fin.PR · 2013 · author #1
  19. The Martingale Property in the Context of Stochastic Differential Equations math.PR · 2013 · author #1
  20. Distribution of the time to explosion for one-dimensional diffusions math.PR · 2013 · author #2
  21. Convergence in Models with Bounded Expected Relative Hazard Rates math.PR · 2012 · author #2
  22. A Weak Convergence Criterion Constructing Changes of Measure math.PR · 2012 · author #2
  23. Negative Call Prices q-fin.PR · 2012 · author #1
  24. Conditioned Martingales math.PR · 2012 · author #2
  25. On the Hedging of Options On Exploding Exchange Rates q-fin.PR · 2012 · author #3
  26. Why are quadratic normal volatility models analytically tractable? q-fin.PR · 2012 · author #3
  27. A new proof for the conditions of Novikov and Kazamaki math.PR · 2011 · author #1
  28. Hedging under arbitrage q-fin.PR · 2010 · author #1

Mentions

  • 1208.3088 #2 · backfill · confidence 0.70 Johannes Ruf
  • 1208.2606 #2 · backfill · confidence 0.70 Johannes Ruf
  • 1204.1903 #1 · backfill · confidence 0.70 Johannes Ruf
  • 1203.2587 #2 · backfill · confidence 0.70 Johannes Ruf
  • 1202.6188 #3 · backfill · confidence 0.70 Johannes Ruf
  • 1202.6187 #3 · backfill · confidence 0.70 Johannes Ruf
  • 1111.5583 #1 · backfill · confidence 0.70 Johannes Ruf
  • 2503.08272 #2 · arxiv_oai · confidence 0.70 Johannes Ruf
  • 1003.4797 #1 · backfill · confidence 0.70 Johannes Ruf

Frequent Coauthors