Professor Johannes Ruf

Professor Johannes Ruf


Department of Mathematics

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English, German
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.

I am the Deputy Head (Teaching) in the Department of Mathematics for 2021-22. I am also a DSI Affiliate with LSE's Data Science Institute.

Expertise Details

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