Johannes Ruf

Available identifiers

zbMath Open ruf.johannesMaRDI QIDQ244987

List of research outcomes

Publication	Date of Publication	Type
A composite generalization of Ville's martingale theorem using e-processes	2024-01-17	Paper
Relative arbitrage: Sharp time horizons and motion by curvature	2023-09-28	Paper
Simplified calculus for semimartingales: multiplicative compensators and changes of measure	2023-06-19	Paper
Simplified stochastic calculus via semimartingale representations	2022-02-22	Paper
Testing exchangeability: fork-convexity, supermartingales and e-processes	2022-01-20	Paper
Pure-jump semimartingales	2021-09-10	Paper
Simplified stochastic calculus with applications in economics and finance	2021-06-07	Paper
Convergence of local supermartingales	2021-06-03	Paper
Testing exchangeability: fork-convexity, supermartingales, and e-processes	2021-01-31	Paper
Filtration shrinkage, the structure of deflators, and failure of market completeness	2020-11-11	Paper
The Impact of Proportional Transaction Costs on Systematically Generated Portfolios	2020-11-07	Paper
Minimum curvature flow and martingale exit times	2020-03-30	Paper
NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS	2020-03-25	Paper
Generalised Lyapunov Functions and Functionally Generated Trading Strategies	2020-01-13	Paper
A practical guide to measuring social structure using indirectly observed network data	2019-08-27	Paper
Projections of scaled Bessel processs	2019-08-06	Paper
Weak tail conditions for local martingales	2019-06-18	Paper
Stochastic exponentials and logarithms on stochastic intervals. A survey	2019-05-10	Paper
Financial models with defaultable numéraires	2019-05-08	Paper
Volatility and arbitrage	2018-05-25	Paper
Local martingales in discrete time	2018-05-11	Paper
A remark on H1 martingales	2018-04-26	Paper
Trading strategies generated by Lyapunov functions	2017-07-21	Paper
Piecewise constant local martingales with bounded numbers of jumps	2017-06-01	Paper
Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions	2016-06-27	Paper
A weak convergence criterion for constructing changes of measure	2016-06-09	Paper
A one-dimensional diffusion hits points fast	2016-05-23	Paper
Distribution of the time to explosion for one-dimensional diffusions	2016-04-07	Paper
Supermartingales as Radon-Nikodym densities and related measure extensions	2016-02-12	Paper
A Systematic Approach to Constructing Market Models with Arbitrage	2015-10-21	Paper
The uniform integrability of martingales. On a question by Alexander Cherny	2015-08-21	Paper
The martingale property in the context of stochastic differential equations	2015-08-17	Paper
Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps	2014-11-23	Paper
Convergence in models with bounded expected relative hazard rates	2014-11-19	Paper
On the hedging of options on exploding exchange rates	2014-11-14	Paper
Negative call prices	2014-11-12	Paper
Why Are Quadratic Normal Volatility Models Analytically Tractable?	2014-01-23	Paper
HEDGING UNDER ARBITRAGE	2013-04-29	Paper
A new proof for the conditions of Novikov and Kazamaki	2013-01-24	Paper
Conditioned martingales	2012-10-23	Paper
Monotone imitation	2009-10-23	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Johannes Ruf