Ralf Korn - RankMe

45 papers A 1Journal 37Unranked 7

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Simulating Intraday Electricity Consumption with ForGAN. Algorithms Ralf Korn, Laurena Ramadani
2024	J	`jnl`	A Comprehensive guide to Generative Adversarial Networks (GANs) and application to individual electricity demand. Expert Syst. Appl. Bilgi Yilmaz, Ralf Korn
2024	J	`jnl`	Ruin probability for heavy-tailed and dependent losses under reinsurance strategies. Math. Comput. Simul. Bükre Yildirim Külekci, Ralf Korn, A. Sevtap Selcuk-Kestel
2023	J	`jnl`	Sig-Splines: universal approximation and convex calibration of time series generative models. CoRR Magnus Wiese, Phillip Murray, Ralf Korn
2021	J	`jnl`	A Generalised Linear Model Framework for β-Variational Autoencoders based on Exponential Dispersion Families. J. Mach. Learn. Res. Robert Sicks, Ralf Korn, Stefanie Schwaar
2021	J	`jnl`	Estimating the Value-at-Risk by Temporal VAE. CoRR Robert Sicks, Stefanie Grimm, Ralf Korn, Ivo Richert
2021	J	`jnl`	Multi-Asset Spot and Option Market Simulation. CoRR Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Phillip Murray, Lianjun Bai
2020	J	`jnl`	A Generalised Linear Model Framework for Variational Autoencoders based on Exponential Dispersion Families. CoRR Robert Sicks, Ralf Korn, Stefanie Schwaar
2020	J	`jnl`	A lower bound for the ELBO of the Bernoulli Variational Autoencoder. CoRR Robert Sicks, Ralf Korn, Stefanie Schwaar
2019	J	`jnl`	Copula & Marginal Flows: Disentangling the Marginal from its Joint. CoRR Magnus Wiese, Robert Knobloch, Ralf Korn
2019	J	`jnl`	Optimal control of electricity input given an uncertain demand. Math. Methods Oper. Res. Simone Göttlich, Ralf Korn, Kerstin Lux
2019	J	`jnl`	Quant GANs: Deep Generation of Financial Time Series. CoRR Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer
2019	J	`jnl`	Worst-case portfolio optimization in discrete time. Math. Methods Oper. Res. Lihua Chen, Ralf Korn
2018	J	`jnl`	Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. Ann. Oper. Res. Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel
2018	J	`jnl`	Constant proportion portfolio insurance in defined contribution pension plan management. Ann. Oper. Res. Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel
2018	J	`jnl`	Portfolio optimization with early announced discrete dividends. Oper. Res. Lett. Sascha Desmettre, Sarah Grün, Ralf Korn
2018	J	`jnl`	Pricing barrier options in the Heston model using the Heath-Platen estimator. Monte Carlo Methods Appl. Sema Coskun, Ralf Korn
2017	—	`conf`	Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL. PyHPC@SC Javier Alejandro Varela, Norbert Wehn, Sascha Desmettre, Ralf Korn
2017	J	`jnl`	Stochastic impulse control with regime-switching dynamics. Eur. J. Oper. Res. Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried
2015	—	`conf`	Optimization strategies for portable code for Monte Carlo-based value-at-risk systems. WHPCF@SC Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn
2015	A	`conf`	Reverse longstaff-schwartz american option pricing on hybrid CPU/FPGA systems. DATE Christian Brugger, Javier Alejandro Varela, Norbert Wehn, Songyin Tang, Ralf Korn
2015	J	`jnl`	Robust worst-case optimal investment. OR Spectr. Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
2014	—	`conf`	Mixed precision multilevel Monte Carlo on hybrid computing systems. CIFEr Christian Brugger, Christian de Schryver, Norbert Wehn, Steffen Omland, Mario Hefter, Klaus Ritter, Anton Kostiuk, Ralf Korn
2013	J	`jnl`	Efficient basket Monte Carlo option pricing via a simple analytical approximation. J. Comput. Appl. Math. Ralf Korn, Serkan Zeytun
2013	J	`jnl`	The optimal-drift model: an accelerated binomial scheme. Finance Stochastics Ralf Korn, Stefanie Müller
2012	J	`jnl`	A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision. Int. J. Reconfigurable Comput. Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Anton Kostiuk, Ralf Korn
2011	—	`conf`	Algorithmic complexity in the heston model: an implementation view. WHPCF@SC Henning Marxen, Anton Kostiuk, Ralf Korn, Christian de Schryver, Stephan Wurm, Ivan Shcherbakov, Norbert Wehn
2011	—	`conf`	An Energy Efficient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model. ReConFig Christian de Schryver, Ivan Shcherbakov, Frank Kienle, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn
2011	—	`conf`	Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing. KES (4) Christian de Schryver, Matthias Jung, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn
2010	—	`conf`	A New Hardware Efficient Inversion Based Random Number Generator for Non-uniform Distributions. ReConFig Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Ralf Korn
2009	J	`jnl`	Editorial. Finance Stochastics Ralf Korn, Martin Schweizer
2009	J	`jnl`	Introduction to the Special Theme - Modern Mathematics for Finance and Economics. ERCIM News Ralf Korn
2008	J	`jnl`	Optimal portfolios: new variations of an old theme. Comput. Manag. Sci. Ralf Korn
2007	J	`jnl`	On Worst-Case Portfolio Optimization. SIAM J. Control. Optim. Ralf Korn, Mogens Steffensen
2005	J	`jnl`	Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. Math. Methods Oper. Res. Ralf Korn, Olaf Menkens
2004	J	`jnl`	Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach. Math. Methods Oper. Res. Ralf Korn
2002	J	`jnl`	A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates. SIAM J. Control. Optim. Ralf Korn, Holger Kraft
1999	J	`jnl`	On value preserving and growth optimal portfolios. Math. Methods Oper. Res. Ralf Korn, Manfred Schäl
1999	J	`jnl`	Some applications of impulse control in mathematical finance. Math. Methods Oper. Res. Ralf Korn
1998	J	`jnl`	Portfolio optimisation with strictly positive transaction costs and impulse control. Finance Stochastics Ralf Korn
1998	J	`jnl`	Value preserving portfolio strategies and the minimal martingale measure. Math. Methods Oper. Res. Ralf Korn
1997	J	`jnl`	Optimal Impulse Control When Control Actions Have Random Consequences. Math. Oper. Res. Ralf Korn
1997	J	`jnl`	Value preserving portfolio strategies in continuous-time models. Math. Methods Oper. Res. Ralf Korn
1995	J	`jnl`	Contingent claim valuation in a market with different interest rates. Math. Methods Oper. Res. Ralf Korn
1995	J	`jnl`	Continuous-time portfolio optimization under terminal wealth constraints. Math. Methods Oper. Res. Ralf Korn, Siegfried Trautmann