Senior Lecturer, Department of Mathematics, UCL
Professor Johannes Ruf is Assistant Professor at the Department of Mathematics of the London School of Economics and Honorary Senior Research Associate at University College London. Formerly, he served as Senior Lecturer in Mathematics at UCL and as an Associate Member at the Oxford-Man Institute of Quantitative Finance. His primary research interests involve the modelling of dynamic systems that arise in finance and economics.
Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions, 2016, .
Distribution of the time to explosion for one-dimensional diffusions, 2016, Probability Theory and Related Fields.
A one-dimensional diffusion hits points fast, 2016, Electronic Communications in Probability.
A weak convergence criterion for constructing changes of measure, 2016, Stochastic Models.
Supermartingales as Radon–Nikodym densities and related measure extensions, 2015, The Annals of Probability.
The uniform integrability of martingales. On a question by Alexander Cherny, 2015, Stochastic Processes and their Applications.
The martingale property in the context of stochastic differential equations, 2015, Electronic Communications in Probability.
A new proof for the conditions of Novikov and Kazamaki, 2013, Stochastic Processes and Their Applications.
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm, 2011, The Journal of Computational Finance.