Dr Johannes Ruf

Dr Johannes Ruf

Associate Professor

Department of Mathematics

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About me

My research focuses on the field of stochastic analysis and its applications to mathematical finance. In the area of mathematical finance I have published on stochastic portfolio theory, exchange rate options, and the modelling of financial markets in the presence of arbitrage. In stochastic analysis, I have mostly focused on the uniform integrability of local martingales and on one-dimensional diffusions. I have also worked on economic learning models and stochastic approximation, and on estimating social structure with indirectly observed network data.

Prior to joining the mathematics department of LSE, I was a Senior Research Fellow at the Oxford-Man Institute of Quantitative Finance and a Senior Lecturer at the University College London.

Expertise Details

Stochastic portfolio theory; econometrics; financial mathematics; option pricing; stochastic analysis

My research