Jan H. Maruhn

According to our database, Jan H. Maruhn authored at least 4 papers between 2009 and 2012.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2012

Parameter identification in financial market models with a feasible point SQP algorithm.

F. Gerlich, A. M. Giese, Jan H. Maruhn, Ekkehard W. Sachs

Comput. Optim. Appl., 2012

2009

Robust static hedging of barrier options in stochastic volatility models.

Jan H. Maruhn, Ekkehard W. Sachs

Math. Methods Oper. Res., 2009

Adjoint-based Monte Carlo calibration of financial market models.

Christoph Käbe, Jan H. Maruhn, Ekkehard W. Sachs

Finance Stochastics, 2009

A successive SDP-NSDP approach to a robust optimization problem in finance.

Friedemann Leibfritz, Jan H. Maruhn

Comput. Optim. Appl., 2009