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ORCIDRalf Korn
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- affiliation: University of Kaiserslautern
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2020 – today
- 2024
[j28]Bilgi Yilmaz
, Ralf Korn:
A Comprehensive guide to Generative Adversarial Networks (GANs) and application to individual electricity demand. Expert Syst. Appl. 250: 123851 (2024)- [j27]Bükre Yildirim Külekci, Ralf Korn, A. Sevtap Selcuk-Kestel:
Ruin probability for heavy-tailed and dependent losses under reinsurance strategies. Math. Comput. Simul. 226: 118-138 (2024) - 2023
- [i8]Magnus Wiese, Phillip Murray, Ralf Korn:
Sig-Splines: universal approximation and convex calibration of time series generative models. CoRR abs/2307.09767 (2023) - 2021
- [j26]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: 233:1-233:41 (2021) - [i7]Robert Sicks, Stefanie Grimm, Ralf Korn, Ivo Richert:
Estimating the Value-at-Risk by Temporal VAE. CoRR abs/2112.01896 (2021) - [i6]Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Phillip Murray, Lianjun Bai:
Multi-Asset Spot and Option Market Simulation. CoRR abs/2112.06823 (2021) - 2020
- [i5]Robert Sicks, Ralf Korn, Stefanie Schwaar:
A lower bound for the ELBO of the Bernoulli Variational Autoencoder. CoRR abs/2003.11830 (2020) - [i4]Robert Sicks, Ralf Korn, Stefanie Schwaar:
A Generalised Linear Model Framework for Variational Autoencoders based on Exponential Dispersion Families. CoRR abs/2006.06267 (2020)
2010 – 2019
- 2019
- [j25]Lihua Chen, Ralf Korn:
Worst-case portfolio optimization in discrete time. Math. Methods Oper. Res. 90(2): 197-227 (2019) - [j24]Simone Göttlich, Ralf Korn, Kerstin Lux:
Optimal control of electricity input given an uncertain demand. Math. Methods Oper. Res. 90(3): 301-328 (2019) - [i3]Magnus Wiese, Robert Knobloch, Ralf Korn:
Copula & Marginal Flows: Disentangling the Marginal from its Joint. CoRR abs/1907.03361 (2019) - [i2]Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer:
Quant GANs: Deep Generation of Financial Time Series. CoRR abs/1907.06673 (2019) - 2018
- [j23]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): 515-544 (2018) - [j22]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): 329-348 (2018) - [j21]Sema Coskun, Ralf Korn:
Pricing barrier options in the Heston model using the Heath-Platen estimator. Monte Carlo Methods Appl. 24(1): 29-41 (2018) - [j20]Sascha Desmettre, Sarah Grün, Ralf Korn:
Portfolio optimization with early announced discrete dividends. Oper. Res. Lett. 46(5): 548-552 (2018) - 2017
- [j19]Ralf Korn, Yaroslav Melnyk, Frank Thomas Seifried:
Stochastic impulse control with regime-switching dynamics. Eur. J. Oper. Res. 260(3): 1024-1042 (2017) - [c8]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: 3:1-3:10 - 2015
- [j18]Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried:
Robust worst-case optimal investment. OR Spectr. 37(3): 677-701 (2015) - [c7]Christian Brugger, Javier Alejandro Varela, Norbert Wehn, Songyin Tang, Ralf Korn:
Reverse longstaff-schwartz american option pricing on hybrid CPU/FPGA systems. DATE 2015: 1599-1602 - [c6]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: 3:1-3:8 - 2014
- [c5]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: 215-222 - 2013
- [j17]Ralf Korn, Stefanie Müller:
The optimal-drift model: an accelerated binomial scheme. Finance Stochastics 17(1): 135-160 (2013) - [j16]Ralf Korn, Serkan Zeytun:
Efficient basket Monte Carlo option pricing via a simple analytical approximation. J. Comput. Appl. Math. 243: 48-59 (2013) - 2012
- [j15]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: 675130:1-675130:11 (2012) - 2011
- [c4]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: 177-186 - [c3]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: 468-474 - [c2]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: 5-12 - 2010
- [c1]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: 190-195
2000 – 2009
- 2009
- [j14]Ralf Korn, Martin Schweizer:
Editorial. Finance Stochastics 13(3): 305-306 (2009) - [i1]Ralf Korn:
Introduction to the Special Theme - Modern Mathematics for Finance and Economics. ERCIM News 2009(78) (2009) - 2008
- [j13]Ralf Korn:
Optimal portfolios: new variations of an old theme. Comput. Manag. Sci. 5(4): 289-304 (2008) - 2007
- [j12]Ralf Korn, Mogens Steffensen:
On Worst-Case Portfolio Optimization. SIAM J. Control. Optim. 46(6): 2013-2030 (2007) - 2005
- [j11]Ralf Korn, Olaf Menkens:
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. Math. Methods Oper. Res. 62(1): 123-140 (2005) - 2004
- [j10]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): 165-174 (2004) - 2002
- [j9]Ralf Korn, Holger Kraft:
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates. SIAM J. Control. Optim. 40(4): 1250-1269 (2002)
1990 – 1999
- 1999
- [j8]Ralf Korn, Manfred Schäl:
On value preserving and growth optimal portfolios. Math. Methods Oper. Res. 50(2): 189-218 (1999) - [j7]Ralf Korn:
Some applications of impulse control in mathematical finance. Math. Methods Oper. Res. 50(3): 493-518 (1999) - 1998
- [j6]Ralf Korn:
Portfolio optimisation with strictly positive transaction costs and impulse control. Finance Stochastics 2(2): 85-114 (1998) - [j5]Ralf Korn:
Value preserving portfolio strategies and the minimal martingale measure. Math. Methods Oper. Res. 47(2): 169-179 (1998) - 1997
- [j4]Ralf Korn:
Value preserving portfolio strategies in continuous-time models. Math. Methods Oper. Res. 45(1): 1-43 (1997) - [j3]Ralf Korn:
Optimal Impulse Control When Control Actions Have Random Consequences. Math. Oper. Res. 22(3): 639-667 (1997) - 1995
- [j2]Ralf Korn, Siegfried Trautmann:
Continuous-time portfolio optimization under terminal wealth constraints. Math. Methods Oper. Res. 42(1): 69-92 (1995) - [j1]Ralf Korn:
Contingent claim valuation in a market with different interest rates. Math. Methods Oper. Res. 42(3): 255-274 (1995)
Coauthor Index
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