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Robust static hedging of barrier options in stochastic volatility models

Maruhn, J.; Sachs, E. - In: Mathematical Methods of Operations Research 70 (2009) 3, pp. 405-433

Static hedge portfolios for barrier options are extremely sensitive with respect to changes of the volatility surface. In this paper we develop a semi-infinite programming formulation of the static super-replication problem in stochastic volatility models which allows to robustify the hedge...

Persistent link: https://www.econbiz.de/10010950114

Parameter identification in financial market models with a feasible point SQP algorithm

Gerlich, F.; Giese, A.; Maruhn, J.; Sachs, E. - In: Computational Optimization and Applications 51 (2012) 3, pp. 1137-1161

Persistent link: https://www.econbiz.de/10010539369

Adjoint-based Monte Carlo calibration of financial market models

Kaebe, C.; Maruhn, J.; Sachs, E. - In: Finance and Stochastics 13 (2009) 3, pp. 351-379

Persistent link: https://www.econbiz.de/10005061366

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

Leibfritz, F.; Maruhn, J. - In: Computational Optimization and Applications 44 (2009) 3, pp. 443-466

Persistent link: https://www.econbiz.de/10008502547

Adjoint-based Monte Carlo calibration of financial market models

Kaebe, C.; Maruhn, J. H.; Sachs, Ekkehard - In: Finance and stochastics 13 (2009) 3, pp. 351-379

Persistent link: https://www.econbiz.de/10003899315

Robust static hedging of barrier options in stochastic volatility models

Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433

Persistent link: https://www.econbiz.de/10003909254

Model order reduction in parameter identification problems : error estimates and application to implied volatility surfaces

Schneider, Marina - 2015

Persistent link: https://www.econbiz.de/10011532683

Reduced-order models for the implied variance under local volatility

Sachs, Ekkehard; Schneider, Marina - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-23

Persistent link: https://www.econbiz.de/10010498793

Stability and Sensitivity of an EWMA Controller

Ingolfsson, A.; Sachs, E. - In: Journal of quality technology : a quarterly journal of … 25 (1993) 4, pp. 271-287

Persistent link: https://www.econbiz.de/10006600739

Recent advances in optimization : proceedings of the 8th French German Conference on Optimization, Trier, July 21 - 26, 1996

Gritzmann, Peter (ed.); Horst, Reiner (contributor); … - 1997

Persistent link: https://www.econbiz.de/10013278165