フォロー
Johannes Ruf
タイトル
引用先
引用先
Neural networks for option pricing and hedging: a literature review
J Ruf, W Wang
Journal of Computational Finance, Forthcoming, 2020
1602020
Hedging under arbitrage
J Ruf
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
1102013
Admissible anytime-valid sequential inference must rely on nonnegative martingales
A Ramdas, J Ruf, M Larsson, W Koolen
arXiv preprint arXiv:2009.03167, 2020
882020
On the hedging of options on exploding exchange rates
P Carr, T Fisher, J Ruf
Finance and Stochastics 18 (1), 115-144, 2014
622014
How can one test if a binary sequence is exchangeable? Fork-convex hulls, supermartingales, and e-processes
A Ramdas, J Ruf, M Larsson, W M Koolen
International Journal of Approximate Reasoning, 2021
56*2021
Trading strategies generated by Lyapunov functions
I Karatzas, J Ruf
Finance and Stochastics 21 (3), 753-787, 2017
492017
Distribution of the time to explosion for one-dimensional diffusions
I Karatzas, J Ruf
Probability Theory and Related Fields 164 (3), 1027-1069, 2016
442016
The impact of high stakes oral performance assessment on students’ approaches to learning: a case study
P Iannone, C Czichowsky, J Ruf
Educational Studies in Mathematics 103 (3), 313-337, 2020
412020
Hedging with linear regressions and neural networks
J Ruf, W Wang
Journal of Business & Economic Statistics, 1-33, 2021
38*2021
Supermartingales as Radon–Nikodym densities and related measure extensions
N Perkowski, J Ruf
The Annals of Probability 43 (6), 3133-3176, 2015
382015
The martingale property in the context of stochastic differential equations
J Ruf
Electronic Communications in Probability 20, 2015
362015
Optimal Trading Strategies Under Arbitrage
JKD Ruf
COLUMBIA UNIVERSITY, 2011
312011
A new proof for the conditions of Novikov and Kazamaki
J Ruf
Stochastic Processes and Their Applications 123 (2), 404-421, 2013
302013
A weak convergence criterion for constructing changes of measure
J Blanchet, J Ruf
Stochastic Models 32 (2), 233-252, 2016
292016
Why are quadratic normal volatility models analytically tractable?
P Carr, T Fisher, J Ruf
SIAM Journal on Financial Mathematics 4 (1), 185-202, 2013
282013
Volatility and arbitrage
ER Fernholz, I Karatzas, J Ruf
The Annals of Applied Probability 28 (1), 378-417, 2018
272018
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
J Ruf, M Scherer
Journal of Computational Finance 14 (3), 127, 2011
272011
The impact of proportional transaction costs on systematically generated portfolios
J Ruf, K Xie
SIAM Journal on Financial Mathematics 11 (3), 881-896, 2020
202020
Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps
M Larsson, J Ruf
arXiv preprint arXiv:1411.6229, 2014
192014
A practical guide to measuring social structure using indirectly observed network data
TH McCormick, A Moussa, J Ruf, TA DiPrete, A Gelman, J Teitler, T Zheng
Journal of Statistical Theory and Practice 7 (1), 120-132, 2013
182013
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