List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| On the primal-dual algorithm for callable bermudan options Review of Derivatives Research | 2013-08-07 | Paper |
| Parameter identification in financial market models with a feasible point SQP algorithm Computational Optimization and Applications | 2012-06-19 | Paper |
| Adjoint-based Monte Carlo calibration of financial methods Finance and Stochastics | 2010-04-22 | Paper |
| A successive SDP-NSDP approach to a robust optimization problem in finance Computational Optimization and Applications | 2010-01-25 | Paper |
| Robust static hedging of barrier options in stochastic volatility models Mathematical Methods of Operations Research | 2009-12-11 | Paper |
| Robust static super-replication of barrier options Radon Series on Computational and Applied Mathematics | 2009-08-11 | Paper |
| Duality in static hedging of barrier options Optimization | 2009-05-12 | Paper |
| Robust Static Super-Replication of Barrier Options in the Black-Scholes model Robust Optimization-Directed Design | 2007-09-24 | Paper |
Research outcomes over time
This page was built for person: Jan H. Maruhn
