Ralf Korn

According to our database, Ralf Korn authored at least 44 papers between 1995 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of three.

2024

Ruin probability for heavy-tailed and dependent losses under reinsurance strategies.

Bükre Yildirim Külekci, Ralf Korn, A. Sevtap Selcuk-Kestel

Math. Comput. Simul., 2024

A Comprehensive guide to Generative Adversarial Networks (GANs) and application to individual electricity demand.

Bilgi Yilmaz, Ralf Korn

Expert Syst. Appl., 2024

2023

Sig-Splines: universal approximation and convex calibration of time series generative models.

Magnus Wiese, Phillip Murray, Ralf Korn

CoRR, 2023

2021

A Generalised Linear Model Framework for β-Variational Autoencoders based on Exponential Dispersion Families.

Robert Sicks, Ralf Korn, Stefanie Schwaar

J. Mach. Learn. Res., 2021

Multi-Asset Spot and Option Market Simulation.

Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Phillip Murray, Lianjun Bai

CoRR, 2021

Estimating the Value-at-Risk by Temporal VAE.

Robert Sicks, Stefanie Grimm, Ralf Korn, Ivo Richert

CoRR, 2021

2020

A Generalised Linear Model Framework for Variational Autoencoders based on Exponential Dispersion Families.

Robert Sicks, Ralf Korn, Stefanie Schwaar

CoRR, 2020

A lower bound for the ELBO of the Bernoulli Variational Autoencoder.

Robert Sicks, Ralf Korn, Stefanie Schwaar

CoRR, 2020

2019

Optimal control of electricity input given an uncertain demand.

Simone Göttlich, Ralf Korn, Kerstin Lux

Math. Methods Oper. Res., 2019

Worst-case portfolio optimization in discrete time.

Lihua Chen, Ralf Korn

Math. Methods Oper. Res., 2019

Quant GANs: Deep Generation of Financial Time Series.

Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer

CoRR, 2019

Copula & Marginal Flows: Disentangling the Marginal from its Joint.

Magnus Wiese, Robert Knobloch, Ralf Korn

CoRR, 2019

2018

Portfolio optimization with early announced discrete dividends.

Sascha Desmettre, Sarah Grün, Ralf Korn

Oper. Res. Lett., 2018

Pricing barrier options in the Heston model using the Heath-Platen estimator.

Sema Coskun, Ralf Korn

Monte Carlo Methods Appl., 2018

Constant proportion portfolio insurance in defined contribution pension plan management.

Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel

Ann. Oper. Res., 2018

Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading.

Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel

Ann. Oper. Res., 2018

2017

Stochastic impulse control with regime-switching dynamics.

Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried

Eur. J. Oper. Res., 2017

Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL.

Javier Alejandro Varela, Norbert Wehn, Sascha Desmettre, Ralf Korn

Proceedings of the 7th Workshop on Python for High-Performance and Scientific Computing, 2017

2015

Robust worst-case optimal investment.

Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried

OR Spectr., 2015

Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.

Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn

Proceedings of the 8th Workshop on High Performance Computational Finance, 2015

Reverse longstaff-schwartz american option pricing on hybrid CPU/FPGA systems.

Christian Brugger, Javier Alejandro Varela, Norbert Wehn, Songyin Tang, Ralf Korn

Proceedings of the 2015 Design, Automation & Test in Europe Conference & Exhibition, 2015

2014

Mixed precision multilevel Monte Carlo on hybrid computing systems.

Christian Brugger, Christian de Schryver, Norbert Wehn, Steffen Omland, Mario Hefter, Klaus Ritter, Anton Kostiuk, Ralf Korn

Proceedings of the IEEE Conference on Computational Intelligence for Financial Engineering & Economics, 2014

2013

Efficient basket Monte Carlo option pricing via a simple analytical approximation.

Ralf Korn, Serkan Zeytun

J. Comput. Appl. Math., 2013

The optimal-drift model: an accelerated binomial scheme.

Ralf Korn, Stefanie Müller

Finance Stochastics, 2013

2012

A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision.

Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Anton Kostiuk, Ralf Korn

Int. J. Reconfigurable Comput., 2012

2011

Algorithmic complexity in the heston model: an implementation view.

Henning Marxen, Anton Kostiuk, Ralf Korn, Christian de Schryver, Stephan Wurm, Ivan Shcherbakov, Norbert Wehn

Proceedings of the WHPCF'11, 2011

An Energy Efficient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model.

Christian de Schryver, Ivan Shcherbakov, Frank Kienle, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn

Proceedings of the 2011 International Conference on Reconfigurable Computing and FPGAs, 2011

Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing.

Christian de Schryver, Matthias Jung, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn

Proceedings of the Knowledge-Based and Intelligent Information and Engineering Systems, 2011

2010

A New Hardware Efficient Inversion Based Random Number Generator for Non-uniform Distributions.

Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Ralf Korn

Proceedings of the ReConFig'10: 2010 International Conference on Reconfigurable Computing and FPGAs, 2010

2009

Editorial.

Ralf Korn, Martin Schweizer

Finance Stochastics, 2009

Introduction to the Special Theme - Modern Mathematics for Finance and Economics.

Ralf Korn

ERCIM News, 2009

2008

Optimal portfolios: new variations of an old theme.

Ralf Korn

Comput. Manag. Sci., 2008

2007

On Worst-Case Portfolio Optimization.

Ralf Korn, Mogens Steffensen

SIAM J. Control. Optim., 2007

2005

Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach.

Ralf Korn, Olaf Menkens

Math. Methods Oper. Res., 2005

2004

Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.

Ralf Korn

Math. Methods Oper. Res., 2004

2002

A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates.

Ralf Korn, Holger Kraft

SIAM J. Control. Optim., 2002

1999

On value preserving and growth optimal portfolios.

Ralf Korn, Manfred Schäl

Math. Methods Oper. Res., 1999

Some applications of impulse control in mathematical finance.

Ralf Korn

Math. Methods Oper. Res., 1999

1998

Value preserving portfolio strategies and the minimal martingale measure.

Ralf Korn

Math. Methods Oper. Res., 1998

Portfolio optimisation with strictly positive transaction costs and impulse control.

Ralf Korn

Finance Stochastics, 1998

1997

Optimal Impulse Control When Control Actions Have Random Consequences.

Ralf Korn

Math. Oper. Res., 1997

Value preserving portfolio strategies in continuous-time models.

Ralf Korn

Math. Methods Oper. Res., 1997

1995

Continuous-time portfolio optimization under terminal wealth constraints.

Ralf Korn, Siegfried Trautmann

Math. Methods Oper. Res., 1995

Contingent claim valuation in a market with different interest rates.

Ralf Korn

Math. Methods Oper. Res., 1995