Jan H. Maruhn

According to our database1, Jan H. Maruhn authored at least 4 papers between 2009 and 2012.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2012
Parameter identification in financial market models with a feasible point SQP algorithm.
Comput. Optim. Appl., 2012

2009
Robust static hedging of barrier options in stochastic volatility models.
Math. Methods Oper. Res., 2009

Adjoint-based Monte Carlo calibration of financial market models.
Finance Stochastics, 2009

A successive SDP-NSDP approach to a robust optimization problem in finance.
Comput. Optim. Appl., 2009


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