LSE creators

Number of items: 43.
Data Science Institute
  • Liang, Kaiwei, Liu, Ruirui, Huang, Huichou, Ruf, Johannes, Zhao, Peilin, Wu, Qingyao (2025). Hexagon-net: heterogeneous cross-view aligned graph attention networks for implied volatility surface prediction. In Proceedings of the 31st ACM SIGKDD Conference on Knowledge Discovery and Data Mining (pp. 1671 - 1682). Association for Computing Machinery. https://doi.org/10.1145/3711896.3736996 picture_as_pdf
  • Liu, Ruirui, Huang, Huichou, Ruf, Johannes (2025). Asset pricing with contrastive adversarial variational Bayes. In Kwok, James (Ed.), Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence (pp. 7572 - 7579). International Joint Conferences on Artificial Intelligence. https://doi.org/10.24963/ijcai.2025/842 picture_as_pdf
    • Mathematics
  • Liang, Kaiwei, Liu, Ruirui, Huang, Huichou, Ruf, Johannes, Zhao, Peilin, Wu, Qingyao (2025). Hexagon-net: heterogeneous cross-view aligned graph attention networks for implied volatility surface prediction. In Proceedings of the 31st ACM SIGKDD Conference on Knowledge Discovery and Data Mining (pp. 1671 - 1682). Association for Computing Machinery. https://doi.org/10.1145/3711896.3736996 picture_as_pdf
  • Larsson, Martin, Ramdas, Aaditya, Ruf, Johannes (2025). The numeraire e-variable and reverse information projection. Annals of Statistics, 53(3), 1015 - 1043. https://doi.org/10.1214/24-aos2487 picture_as_pdf
  • Liu, Ruirui, Huang, Huichou, Ruf, Johannes, Liu, Haoxian, Wu, Qingyao (2025). Context-aware frequency-embedding networks for spatio-temporal portfolio selection. In Papalexakis, Vagelis, Riondato, Matteo, Zheleva, Elena, Weninger, Tim, Ding, Wei (Eds.), Proceedings of the 2025 SIAM International Conference on Data Mining (SDM) (pp. 317 - 326). Society for Industrial and Applied Mathematics. https://doi.org/10.1137/1.9781611978520.31 picture_as_pdf
  • Liu, Ruirui, Huang, Huichou, Ruf, Johannes (2025). Asset pricing with contrastive adversarial variational Bayes. In Kwok, James (Ed.), Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence (pp. 7572 - 7579). International Joint Conferences on Artificial Intelligence. https://doi.org/10.24963/ijcai.2025/842 picture_as_pdf
  • Larsson, Martin, Ramdas, Aaditya, Ruf, Johannes (2024). Martin Larsson, Aaditya Ramdas, and Johannes Ruf's contribution to the Discussion of 'Safe testing' by Grünwald, de Heide, and Koolen. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 86(5), 1135 – 1136. https://doi.org/10.1093/jrsssb/qkae061
  • Larsson, Martin, Ruf, Johannes (2024). Minimum curvature flow and martingale exit times. Electronic Journal of Probability, 29, https://doi.org/10.1214/24-EJP1166 picture_as_pdf
  • Larsson, Martin, Ramdas, Aaditya, Ruf, Johannes (2024). Larsson, Ramdas, and Ruf’s contribution to the Discussion of Safe Testing by Grünwald, de Heide, and Koolen. Journal of the Royal Statistical Society. Series B: Statistical Methodology, picture_as_pdf
  • Larsson, Martin, Ruf, Johannes (2024). Martin Larsson and Johannes Ruf’s contribution to the Discussion of ‘Estimating means of bounded random variables by betting’ by Waudby-Smith and Ramdas. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 86(1), 39 - 40. https://doi.org/10.1093/jrsssb/qkad120 picture_as_pdf
  • Ruf, Johannes, Larsson, Martin, Koolen, Wouter m., Ramdas, Aaditya (2023). A composite generalization of Ville’s martingale theorem using e-processes. Electronic Journal of Probability, 28, https://doi.org/10.1214/23-EJP1019 picture_as_pdf
  • Černý, Aleš, Ruf, Johannes (2023). Simplified calculus for semimartingales: multiplicative compensators and changes of measure. Stochastic Processes and Their Applications, 161, 572 - 602. https://doi.org/10.1016/j.spa.2023.04.010 picture_as_pdf
  • Wang, Weiguan, Ruf, Johannes (2022). A note on spurious model selection. Quantitative Finance, 22(10), 1797 - 1800. https://doi.org/10.1080/14697688.2022.2097120 picture_as_pdf
  • Ruf, Johannes, Wang, Weiguan (2022). Hedging with linear regressions and neural networks. Journal of Business and Economic Statistics, 40(4), 1442 - 1454. https://doi.org/10.1080/07350015.2021.1931241 picture_as_pdf
  • Ramdas, Aaditya, Ruf, Johannes, Larsson, Martin, M. Koolen, Wouter (2022). Testing exchangeability: fork-convexity, supermartingales and e-processes. International Journal of Approximate Reasoning, 141, 83 - 109. https://doi.org/10.1016/j.ijar.2021.06.017 picture_as_pdf
  • Černý, Aleš, Ruf, Johannes (2022). Simplified stochastic calculus via semimartingale representations. Electronic Journal of Probability, 27, 1 - 32. https://doi.org/10.1214/21-EJP729 picture_as_pdf
  • Černý, Aleš, Ruf, Johannes (2021). Pure-jump semimartingales. Bernoulli, 27(4), 2624 - 2648. https://doi.org/10.3150/21-BEJ1325 picture_as_pdf
  • Larsson, Martin, Ruf, Johannes (2021). Relative arbitrage: sharp time horizons and motion by curvature. Mathematical Finance, 31(3), 885 - 906. https://doi.org/10.1111/mafi.12303 picture_as_pdf
  • Manggala, Putra, Atoyan, Tigran, Samosir, Gracia, Varsava, Jan, Ruf, Johannes (2021-05-04 - 2021-05-07) On augmenting the references section with a citation network visualization [Paper]. ICLR 2021 Ninth International Conference on Learning Representations, Virtual Conference.
  • Černý, Aleš, Ruf, Johannes (2020). Simplified stochastic calculus with applications in economics and finance. European Journal of Operational Research, https://doi.org/10.1016/j.ejor.2020.12.037 picture_as_pdf
  • Larsson, Martin, Ruf, Johannes (2020). Convergence of local supermartingales. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 56(4), 2774 - 2791. https://doi.org/10.1214/20-AIHP1058 picture_as_pdf
  • Kardaras, Constantinos, Ruf, Johannes (2020). Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24(4), 871 - 901. https://doi.org/10.1007/s00780-020-00435-2 picture_as_pdf
  • Ruf, Johannes, Xie, Kangjianan (2020). Impact of proportional transaction costs on systematically generated portfolios. SIAM Journal on Financial Mathematics, 11(3), 881–896. https://doi.org/10.1137/19M1282313 picture_as_pdf
  • Ruf, Johannes, Wang, Weiguan (2020). Neural networks for option pricing and hedging: a literature review. Journal of Computational Finance, 24(1), 1 - 46. https://doi.org/10.21314/JCF.2020.390 picture_as_pdf
  • Ruf, Johannes, Wolter, James Lewis (2020). Nonparametric identification of the mixed hazard model using martingale-based moments. Econometric Theory, 36(2), 331 - 346. https://doi.org/10.1017/S0266466619000033 picture_as_pdf
  • Paola, Iannone, Czichowsky, Christoph, Ruf, Johannes (2020). The impact of high stakes oral performance assessment on students’ approaches to learning: a case study. Educational Studies in Mathematics, 103(3), 313 - 337. https://doi.org/10.1007/s10649-020-09937-4 picture_as_pdf
  • Ruf, Johannes, Xie, Kangjianan (2019). Generalized Lyapunov functions and functionally generated trading strategies. Applied Mathematical Finance, 26(4), 293-327. https://doi.org/10.1080/1350486X.2019.1584041 picture_as_pdf
  • Banner, Adrian, Fernholz, Robert, Papathanakos, Vassilios, Ruf, Johannes, Schofield, David (2019). Diversification, volatility, and surprising alpha. Journal of Investment Consulting, 19(1), 23 - 30. picture_as_pdf
  • Kardaras, Constantinos, Ruf, Johannes (2019). Projections of scaled bessel processes. Electronic Communications in Probability, 24, https://doi.org/10.1214/19-ECP246 picture_as_pdf
  • Hulley, Hardy, Ruf, Johannes (2019). Weak tail conditions for local martingales. Annals of Probability, 47(3), 1811-1825. https://doi.org/10.1214/18-AOP1302
  • Fisher, Travis, Pulido, Sergio, Ruf, Johannes (2019). Financial models with defaultable numéraires. Mathematical Finance, 29(1), 117 - 136. https://doi.org/10.1111/mafi.12178
  • Larsson, Martin, Ruf, Johannes (2018). Stochastic exponentials and logarithms on stochastic intervals: a survey. Journal of Mathematical Analysis and Applications, 1-14. https://doi.org/10.1016/j.jmaa.2018.11.040 picture_as_pdf
  • Prokaj, Vilmos, Ruf, Johannes (2018). Local martingales in discrete time. Electronic Communications in Probability, 23(31). https://doi.org/10.1214/18-ECP133
  • Fernholz, E. Robert, Karatzas, Ioannis, Ruf, Johannes (2018). Volatility and arbitrage. Annals of Applied Probability, 28(1), 378-417. https://doi.org/10.1214/17-AAP1308
  • Ruf, Johannes (2017). Piecewise constant local martingales with bounded numbers of jumps. Electronic Communications in Probability, 22(31). https://doi.org/10.1214/17-ECP64
  • Karatzas, Ioannis, Ruf, Johannes (2017). Trading strategies generated by Lyapunov functions. Finance and Stochastics, https://doi.org/10.1007/s00780-017-0332-8
  • Karatzas, Ioannis, Ruf, Johannes (2016). Distribution of the time to explosion for one-dimensional diffusions. Probability Theory and Related Fields, 164(3-4), 1027-1069. https://doi.org/10.1007/s00440-015-0625-9
  • Bruggeman, Cameron, Ruf, Johannes (2016). A one-dimensional diffusion hits points fast. Electronic Communications in Probability, 21(22), 1-7. https://doi.org/10.1214/16-ECP4544
  • Karatzas, Ioannis, Ruf, Johannes (2016). Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 52(2), 915-938. https://doi.org/10.1214/14-AIHP660
  • Perkowski, Nicolas, Ruf, Johannes (2015). Supermartingales as Radon-Nikodym densities and related measure extensions. Annals of Probability, 43(6), 3133-3176. https://doi.org/10.1214/14-AOP956
  • Blanchet, Jose, Ruf, Johannes (2015). A weak convergence criterion for constructing changes of measure. Stochastic Models, 32(2), 233-252. https://doi.org/10.1080/15326349.2015.1114891
  • Ruf, Johannes (2015). The martingale property in the context of stochastic differential equations. Electronic Communications in Probability, 20(34), 1-10. https://doi.org/10.1214/ECP.v20-3449
  • Ruf, Johannes (2015). The uniform integrability of Martingales. On a question by Alexander Cherny. Stochastic Processes and Their Applications, 125(10), 3657-3662. https://doi.org/10.1016/j.spa.2015.04.002
  • Oyarzun, Carlos, Ruf, Johannes (2014). Convergence in models with bounded expected relative hazard rates. Journal of Economic Theory, 154, 229-244. https://doi.org/10.1016/j.jet.2014.09.014
  • Carrol, Peter, Fisher, Travis, Ruf, Johannes (2013). On the hedging of options on exploding exchange rates. Finance and Stochastics, 18(1), 115-144. https://doi.org/10.1007/s00780-013-0218-3
    • Statistics
  • Kardaras, Constantinos, Ruf, Johannes (2020). Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24(4), 871 - 901. https://doi.org/10.1007/s00780-020-00435-2 picture_as_pdf
  • Ruf, Johannes, Wang, Weiguan (2020). Neural networks for option pricing and hedging: a literature review. Journal of Computational Finance, 24(1), 1 - 46. https://doi.org/10.21314/JCF.2020.390 picture_as_pdf
  • Kardaras, Constantinos, Ruf, Johannes (2019). Projections of scaled bessel processes. Electronic Communications in Probability, 24, https://doi.org/10.1214/19-ECP246 picture_as_pdf