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Publications
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Nr. |
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Author / Title |
16
| | | | Maruhn, J. H., Nalholm, M. and Fengler, M. R. Static Hedges for Reverse Barrier Options with Robustness Against Skew Risk: An Empirical Analysis. Quantitative Finance, Volume 11, Issue 5, pp. 711-727, 2011. | 15
| | | | Mair, M. and Maruhn, J. H. On the Primal-Dual Algorithm for Callable Bermudan Options (submitted). Technical Report, 2011. |
| 14 |
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Gerlich, F., Giese, A. M., Maruhn, J. H. and Sachs, E. W. Parameter Identification in Financial Market Models with a Feasible Point SQP Algorithm. Journal of Computational Optimization and Applications (to appear), 2010. |
13
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Kaebe, C., Maruhn, J. H. and Sachs, E. W. Speeding up Monte Carlo Calibrations of Jump Diffusions with Adjoint Calculus (submitted). Technical Report, 2009. |
12
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Maruhn, J. H. Robust Static Super-Replication of Barrier Options. de Gruyter, Radon Series on Computational and Applied Mathematics, Volume 7, 2009. |
11
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Kaebe, C., Maruhn, J. H. and Sachs, E. W. Adjoint Based Monte Carlo Calibration of Financial Market Models. Finance and Stochastics, Volume 13, Number 3, pp. 351-379, 2009. |
10
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Maruhn, J. H. Duality in Static Hedging of Barrier Options. Optimization, Volume 58, Issue 3, pp. 319-333, 2009. |
9
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Maruhn, J. H. and Sachs, E. W. Robust Static Hedging of Barrier Options in Stochastic Volatility Models. Mathematical Methods of Operations Research, Volume 70, Number 3, pp. 405-433, 2009. |
| 8 |
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Leibfritz, F. and Maruhn, J. H. A Successive SDP-NSDP Approach to a Robust Optimization Problem in Finance. Journal of Computational Optimization and Applications, Volume 44, Number 3, pp. 443-466, 2009. |
7
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Loerx, A., Maruhn, J. H. and Sachs, E. W. The Role of Adjoints in the Calibration of Local Volatility Models (submitted). Technical Report, 2008. |
6
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Giese, A. M., Kaebe, C., Maruhn, J. H. and Sachs, E. W. Efficient Calibration for Problems in Option Pricing. Proceedings in Applied Mathematics and Mechanics (PAMM), Volume 7, Number 1, pp. 1062601-1062602, 2008. |
5
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Maruhn, J. H. Jobprofil Quantitative Research. Perspektive Investment Banking & Asset Management, E-fellows.net, 2008. |
| 4 |
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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. |
3
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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. |
2
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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 |
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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. | |
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