Johannes Ruf

 

Welcome! - Willkommen!

I am an Assistant Professor at the Department of Mathematics of the London School of Economics and an Associate Member at the Oxford-Man Institute of Quantitative Finance. My primary research interests involve the modelling of dynamic systems that arise in finance and economics.

 

Publications

Published and forthcoming papers in peer-reviewed journals (The original publications are available on the corresponding journal websites.)

  1. Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions, Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2016, Volume 52, Issue 2 (with Ioannis Karatzas)
  2. Distribution of the time to explosion for one-dimensional diffusions, Probability Theory and Related Fields, 2016, Volume 164, Issue 3 (with Ioannis Karatzas)
  3. A one-dimensional diffusion hits points fast, Electronic Communications in Probability, 2016, Volume 21, Issue 22 (with Cameron Bruggeman)
  4. A weak convergence criterion for constructing changes of measure, Stochastic Models, 2016, Volume 32, Issue 2 (with Jose Blanchet)
  5. Supermartingales as Radon-Nikodym densities and related measure extensions, Annals of Probability, 2015, Volume 43, Issue 6 (with Nicolas Perkowski)
  6. The uniform integrability of martingales. On a question of Alexander Cherny, Stochastic Processes and their Applications, 2015, Volume 125, Issue 10
  7. The martingale property in the context of stochastic differential equations, Electronic Communications in Probability, 2015, Volume 20, Issue 34
  8. Convergence in models with bounded expected relative hazard rates, Journal of Economic Theory, 2014, Volume 154 (with Carlos Oyarzun). Online Appendix
  9. On the hedging of options on exploding exchange rates, Finance and Stochastics, 2014, Volume 18, Issue 1 (with Peter Carr, Travis Fisher)
  10. Why are quadratic normal volatility models analytically tractable?, SIAM Journal on Financial Mathematics, 2013, Volume 4 (with Peter Carr, Travis Fisher)
  11. Negative call prices, Annals of Finance, 2013, Volume 9, Issue 4
  12. Hedging under arbitrage, Mathematical Finance, 2013, Volume 23, Issue 2
  13. A practical guide to measuring social structure using indirectly observed network data, Journal of Statistical Theory and Practice, 2013, Volume 7, Issue 1 (with Tyler McCormick, Amal Moussa, Thomas DiPrete, Andrew Gelman, Julien Teitler, Tian Zheng)
  14. A new proof for the conditions of Novikov and Kazamaki, Stochastic Processes and their Applications, 2013, Volume 123. (This version includes an Addendum.)
  15. Conditioned martingales, Electronic Communications in Probability, 2012, Volume 17, Issue 48 (with Nicolas Perkowski)
  16. Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm, Journal of Computational Finance, 2011, Volume 14, Issue 3 (with Matthias Scherer)
  17. Monotone imitation, Economic Theory, 2009, Volume 41, Issue 3 (with Carlos Oyarzun)

Conference proceedings

  1. A systematic way to construct markets with arbitrage, Arbitrage, Credit and Informational Risks. Proceedings of the Sino-French Research Program in Financial Mathematics Conference, Beijing June 2013 (with Wolfgang Runggaldier)
  2. Optimal trading strategies and the Bessel process, Proceedings for the Actuarial and Financial Mathematics Conference, Brussels 2010
  3. Comparing two methods for predicting opinions using social structure, JSM Proceedings 2009 (with Tyler McCormick, Amal Moussa, Thomas DiPrete, Andrew Gelman, Julien Teitler, Tian Zheng)

Theses

  1. Optimal trading strategies under arbitrage, (Ph.D. dissertation 2011, awarded Morgan Stanley Prize for Excellence in Financial Markets 2010)
  2. Structural default models with jumps (Diplom thesis 2006, awarded DZ-Bank Karrierepreis 2007)

Technical reports

  1. B-splines of third order on a non-uniform grid (2008)

Papers submitted to peer-reviewed journals

  1. Volatility and arbitrage (2016, with E. Robert Fernholz and Ioannis Karatzas)
  2. Nonparametric identification of the mixed hazard model using nartingale-based moments (2016, with James Wolter)
  3. Trading strategies generated by Lyapunov functions (2016, with Ioannis Karatzas)
  4. Financial models with defaultable numeraires (2015, with Travis Fisher, Sergio Pulido)
  5. Weak tail conditions for local martingales (2015, with Hardy Hulley)
  6. Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps (2014, with Martin Larsson)

Poster

  1. Tell me who you know and I'll tell you who you are, JSM 2009

 

Future and past events

  1. Thera Stochastics -- A Mathematics Conference in Honor of Ioannis Karatzas (May 2017)
  2. London-Paris Bachelier Workshop on Mathematical Finance (September 2016)
  3. Probability, Control and Finance. A Conference in Honor of the 60th Birthday of Ioannis Karatzas (June 2012)
  4. Minghui Yu Memorial Research Day 2009

 

Industrial experience

During several internships I had great opportunites not only facing exciting challenges but also participating in the transformation of theoretical knowledge into valuable products.