Jan H. Maruhn

Publication Activity (10 Years)

Years Active: 2009-2012
Publications (10 Years): 0

Top Topics

Expectation Maximization

Top Venues

Comput. Optim. Appl.

Publications

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) (2012)
Friedemann Leibfritz, Jan H. Maruhn
A successive SDP-NSDP approach to a robust optimization problem in finance. Comput. Optim. Appl. 44 (3) (2009)
Jan H. Maruhn, Ekkehard W. Sachs
Robust static hedging of barrier options in stochastic volatility models. Math. Methods Oper. Res. 70 (3) (2009)
Christoph Käbe, Jan H. Maruhn, Ekkehard W. Sachs
Adjoint-based Monte Carlo calibration of financial market models. Finance Stochastics 13 (3) (2009)