51 citations · 256 across the 30 of their papers we have counts for
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q-fin.PR2015
Financial Models with Defaultable Numéraires
Travis Fisher, Sergio Pulido, Johannes Ruf
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classi…
math.PR2015
A one-dimensional diffusion hits points fast
Cameron Bruggeman, Johannes Ruf
A one-dimensional, continuous, regular, and strong Markov process with state space hits any point fast with positive probability. To wit, if $τ_z = \inf \{t \geq…
math.PR2015★ 5 cited
The Uniform Integrability of Martingales. On a Question by Alexander Cherny
Johannes Ruf
Let be a progressively measurable, almost surely right-continuous stochastic process such that and for each finite stopping time . In 2006, Ch…