Jan H. Maruhn

Adjoint-based Monte Carlo calibration of financial market models

C. Kaebe, Jan H. Maruhn, E. W. Sachs · Finance and Stochastics · 2009 · 38 citations

Financial Market Models, Computational Finance, Asset Pricing +5

A successive SDP-NSDP approach to a robust optimization problem in finance

F. Leibfritz, Jan H. Maruhn · Computational Optimization and Applications · 2008 · 26 citations

Mathematical Programming, Engineering, Continuous Optimization +11

Robust static hedging of barrier options in stochastic volatility models

Jan H. Maruhn, E. W. Sachs · Mathematical Methods of Operations Research · 2008 · 21 citations

Option Pricing, Computational Finance, Asset Pricing +7

Cost-optimal static super-replication of barrier options: an optimization approach

Alexander Giese, Jan H. Maruhn · The Journal of Computational Finance · 2007 · 17 citations

Mathematical Programming, Large-scale Global Optimization, Engineering +16

Better Than Its Reputation: An Empirical Hedging Analysis Of The Local Volatility Model For Barrier Options

Stephen Taylor, Matthias R. Fengler, A. M. Giese et al. · SSRN Electronic Journal · 2006 · 11 citations · Full text

Option Pricing, Volatility Modeling, Financial Economics +11