J. H. Maruhn

An augmented Lagrangian algorithm for optimization with equality constraints in Hilbert spaces

J. H. Maruhn, 2001 .

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

Jan H. Maruhn, Friedemann Leibfritz, F. Leibfritz, 2009, Comput. Optim. Appl..

Robust Static Super-Replication of Barrier Options

Jan H. Maruhn, J. H. Maruhn, 2009 .

Duality in static hedging of barrier options

J. H. Maruhn, 2009 .

Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis

Jan H. Maruhn, Matthias R. Fengler, Morten Nalholm, 2011 .

Robust static hedging of barrier options in stochastic volatility models

Ekkehard W. Sachs, Jan H. Maruhn, E. Sachs, 2009, Math. Methods Oper. Res..

Robust Static Super-Replication of Barrier Options in the Black-Scholes model

Ekkehard W. Sachs, Jan H. Maruhn, E. Sachs, 2006 .

Adjoint-based Monte Carlo calibration of financial market models

Ekkehard W. Sachs, Jan H. Maruhn, Christoph Käbe, 2009, Finance Stochastics.