Ralf Korn

Publication Activity (10 Years)

Years Active: 1995-2024
Publications (10 Years): 18

Top Topics

Top Venues

Math. Methods Oper. Res.

Ann. Oper. Res.

Oper. Res. Lett.

Publications

Bilgi Yilmaz, Ralf Korn
A Comprehensive guide to Generative Adversarial Networks (GANs) and application to individual electricity demand. Expert Syst. Appl. 250 (2024)
Bükre Yildirim Külekci, Ralf Korn, A. Sevtap Selcuk-Kestel
Ruin probability for heavy-tailed and dependent losses under reinsurance strategies. Math. Comput. Simul. 226 (2024)
Magnus Wiese, Phillip Murray, Ralf Korn
Sig-Splines: universal approximation and convex calibration of time series generative models. CoRR (2023)
Robert Sicks, Stefanie Grimm, Ralf Korn, Ivo Richert
Estimating the Value-at-Risk by Temporal VAE. CoRR (2021)
Robert Sicks, Ralf Korn, Stefanie Schwaar
A Generalised Linear Model Framework for β-Variational Autoencoders based on Exponential Dispersion Families. J. Mach. Learn. Res. 22 (2021)
Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Phillip Murray, Lianjun Bai
Multi-Asset Spot and Option Market Simulation. CoRR (2021)
Robert Sicks, Ralf Korn, Stefanie Schwaar
A Generalised Linear Model Framework for Variational Autoencoders based on Exponential Dispersion Families. CoRR (2020)
Robert Sicks, Ralf Korn, Stefanie Schwaar
A lower bound for the ELBO of the Bernoulli Variational Autoencoder. CoRR (2020)
Simone Göttlich, Ralf Korn, Kerstin Lux
Optimal control of electricity input given an uncertain demand. Math. Methods Oper. Res. 90 (3) (2019)
Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer
Quant GANs: Deep Generation of Financial Time Series. CoRR (2019)
Magnus Wiese, Robert Knobloch, Ralf Korn
Copula & Marginal Flows: Disentangling the Marginal from its Joint. CoRR (2019)
Lihua Chen, Ralf Korn
Worst-case portfolio optimization in discrete time. Math. Methods Oper. Res. 90 (2) (2019)
Sascha Desmettre, Sarah Grün, Ralf Korn
Portfolio optimization with early announced discrete dividends. Oper. Res. Lett. 46 (5) (2018)
Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel
Constant proportion portfolio insurance in defined contribution pension plan management. Ann. Oper. Res. 266 (1-2) (2018)
Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. Ann. Oper. Res. 260 (1-2) (2018)
Sema Coskun, Ralf Korn
Pricing barrier options in the Heston model using the Heath-Platen estimator. Monte Carlo Methods Appl. 24 (1) (2018)
Javier Alejandro Varela, Norbert Wehn, Sascha Desmettre, Ralf Korn
Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL. PyHPC@SC (2017)
Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried
Stochastic impulse control with regime-switching dynamics. Eur. J. Oper. Res. 260 (3) (2017)
Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems. WHPCF@SC (2015)
Christian Brugger, Javier Alejandro Varela, Norbert Wehn, Songyin Tang, Ralf Korn
Reverse longstaff-schwartz american option pricing on hybrid CPU/FPGA systems. DATE (2015)
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
Robust worst-case optimal investment. OR Spectr. 37 (3) (2015)
Christian Brugger, Christian de Schryver, Norbert Wehn, Steffen Omland, Mario Hefter, Klaus Ritter, Anton Kostiuk, Ralf Korn
Mixed precision multilevel Monte Carlo on hybrid computing systems. CIFEr (2014)
Ralf Korn, Serkan Zeytun
Efficient basket Monte Carlo option pricing via a simple analytical approximation. J. Comput. Appl. Math. 243 (2013)
Ralf Korn, Stefanie Müller
The optimal-drift model: an accelerated binomial scheme. Finance Stochastics 17 (1) (2013)
Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Anton Kostiuk, Ralf Korn
A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision. Int. J. Reconfigurable Comput. 2012 (2012)
Christian de Schryver, Matthias Jung, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn
Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing. KES (4) (2011)
Christian de Schryver, Ivan Shcherbakov, Frank Kienle, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn
An Energy Efficient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model. ReConFig (2011)
Henning Marxen, Anton Kostiuk, Ralf Korn, Christian de Schryver, Stephan Wurm, Ivan Shcherbakov, Norbert Wehn
Algorithmic complexity in the heston model: an implementation view. WHPCF@SC (2011)
Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Ralf Korn
A New Hardware Efficient Inversion Based Random Number Generator for Non-uniform Distributions. ReConFig (2010)
Ralf Korn, Martin Schweizer
Editorial. Finance Stochastics 13 (3) (2009)
Ralf Korn
Introduction to the Special Theme - Modern Mathematics for Finance and Economics. ERCIM News 2009 (78) (2009)
Ralf Korn
Optimal portfolios: new variations of an old theme. Comput. Manag. Sci. 5 (4) (2008)
Ralf Korn, Mogens Steffensen
On Worst-Case Portfolio Optimization. SIAM J. Control. Optim. 46 (6) (2007)
Ralf Korn, Olaf Menkens
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. Math. Methods Oper. Res. 62 (1) (2005)
Ralf Korn
Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach. Math. Methods Oper. Res. 60 (2) (2004)
Ralf Korn, Holger Kraft
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates. SIAM J. Control. Optim. 40 (4) (2002)
Ralf Korn
Some applications of impulse control in mathematical finance. Math. Methods Oper. Res. 50 (3) (1999)
Ralf Korn, Manfred Schäl
On value preserving and growth optimal portfolios. Math. Methods Oper. Res. 50 (2) (1999)
Ralf Korn
Portfolio optimisation with strictly positive transaction costs and impulse control. Finance Stochastics 2 (2) (1998)
Ralf Korn
Value preserving portfolio strategies and the minimal martingale measure. Math. Methods Oper. Res. 47 (2) (1998)
Ralf Korn
Optimal Impulse Control When Control Actions Have Random Consequences. Math. Oper. Res. 22 (3) (1997)
Ralf Korn
Value preserving portfolio strategies in continuous-time models. Math. Methods Oper. Res. 45 (1) (1997)
Ralf Korn
Contingent claim valuation in a market with different interest rates. Math. Methods Oper. Res. 42 (3) (1995)
Ralf Korn, Siegfried Trautmann
Continuous-time portfolio optimization under terminal wealth constraints. Math. Methods Oper. Res. 42 (1) (1995)