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Author / Title

 14   Loerx, A., Maruhn, J. H. and Sachs, E. W. The Role of Adjoints in the Calibration of Local Volatility Models (submitted). Technical Report, 2008.
 13   Maruhn, J. H., Nalholm, M. and Fengler, M. R. Empirically Robust Static Uncertain Skew Hedges for Reverse Barrier Options (submitted). Technical Report, 2008.
 12   Kaebe, C., Maruhn, J. H. and Sachs, E. W. Adjoint Based Monte Carlo Calibration of Financial Market Models. To appear in Finance and Stochastics, Special Issue on Computational Methods in Finance, 2008.
 11   Maruhn, J. H. Duality in Static Hedging of Barrier Options. To appear in Optimization, Special Issue of Optimization in Finance, 2008.
10
   
Giese, A. M., Kaebe, C., Maruhn, J. H. and Sachs, E. W. Efficient Calibration for Problems in Option Pricing. To appear in Proceedings in Applied Mathematics and Mechanics (PAMM), Volume 7, Issue 1, 2008.
 9
   Maruhn, J. H. and Sachs, E. W. Robust Static Hedging of Barrier Options in Stochastic Volatility Models. To appear in Mathematical Methods of Operations Research, 2008.
8
   Leibfritz, F. and Maruhn, J. H. A Successive SDP-NSDP Approach to a Robust Optimization Problem in Finance. To appear in Journal of Computational Optimization and Applications, 2008.
  7
   Maruhn, J. H. Jobprofil Quantitative Research. To appear in Perspektive Investment Banking & Asset Management, E-fellows.net Wissen, 2008.
 6   Giese, A. M. and Maruhn, J. H. Cost-Optimal Static Super-Replication of Barrier Options - An Optimization Approach. Journal of Computational Finance, Volume 10, Number 3, pp. 71-97, 2007.
 5
   Kaebe, C., Maruhn, J. H. and Sachs, E. W. Efficient Derivative Calculation for Monte Carlo Based Calibration Problems in Finance. Technical Report, University of Trier, 2007.
 4
   Maruhn, J. H. Robust Static Super-Replication of Barrier Options. PhD thesis, University of Trier, Germany, 2007.
 3   Gerlich, F., Giese, A. M., Maruhn, J. H. and Sachs, E. W. Parameter Identification in Stochastic Volatility Models with Time-Dependent Model Parameters (submitted). Technical Report, University of Trier, 2006.
 2
   Maruhn, J. H. and Sachs, E. W. Robust Static Super-Replication of Barrier Options in the Black Scholes Model. In `Robust Optimization-Directed Design' (ed. A.J. Kurdila, P.M. Pardalos, M. Zabarankin), pp. 127-143, Springer, 2005.
 1   Maruhn, J. H. An augmented Lagrangian algorithm for optimization with equality constraints in Hilbert spaces. Master thesis, Virginia Polytechnic Institute and State University, United States of America, 2001.