Professor Johannes Ruf

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

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