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Jan H. Maruhn

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Journal Articles

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2012
[j4]
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  - journals/coap/GerlichGMS12
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  - https://dblp.org/rec/journals/coap/GerlichGMS12
F. Gerlich, A. M. Giese, Jan H. Maruhn, Ekkehard W. Sachs:
Parameter identification in financial market models with a feasible point SQP algorithm. Comput. Optim. Appl. 51(3): 1137-1161 (2012)
2009
[j3]
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Friedemann Leibfritz, Jan H. Maruhn:
A successive SDP-NSDP approach to a robust optimization problem in finance. Comput. Optim. Appl. 44(3): 443-466 (2009)
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Christoph Käbe, Jan H. Maruhn, Ekkehard W. Sachs:
Adjoint-based Monte Carlo calibration of financial market models. Finance Stochastics 13(3): 351-379 (2009)
[j1]
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Jan H. Maruhn, Ekkehard W. Sachs:
Robust static hedging of barrier options in stochastic volatility models. Math. Methods Oper. Res. 70(3): 405-433 (2009)

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