Professor Johannes Ruf

Professor Johannes Ruf

Professor

Department of Mathematics

Telephone
020 7955 7620
Room No
COL.3.06
Office Hours
See office hours page on this site
Connect with me

Languages
English
Key Expertise
Stochastic portfolio theory, econometrics, financial mathematics

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