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Sascha Desmettre
Sascha Desmettre
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Title
Cited by
Cited by
Year
Portfolio Optimization in Fractional and Rough Heston Models
N Bäuerle, S Desmettre
SIAM Journal on Financial Mathematics 11 (1), 240-273, 2020
412020
Moderne Finanzmathematik–Theorie und Praktische Anwendung Band 2
S Desmettre, R Korn
Springer Fachmedien Wiesbaden, 2018
30*2018
Severity modeling of extreme insurance claims for tariffication
C Laudagé, S Desmettre, J Wenzel
Insurance: Mathematics and Economics 88, 77-92, 2019
272019
Lifetime consumption and investment for worst-case crash scenarios
S Desmettre, R Korn, FT Seifried
International Journal of Theoretical and Applied Finance 18 (01), 1550004, 2015
19*2015
Robust worst-case optimal investment
S Desmettre, R Korn, P Ruckdeschel, FT Seifried
OR spectrum 37, 677-701, 2015
162015
Integral representation of generalized grey Brownian motion
W Bock, S Desmettre, JL da Silva
Stochastics 92 (4), 552-565, 2020
102020
Estimating discrete dividends by no-arbitrage
S Desmettre, S Grün, FT Seifried
Quantitative Finance 17 (2), 261-274, 2017
102017
Own-company stockholding and work effort preferences of an unconstrained executive
S Desmettre, J Gould, A Szimayer
Mathematical Methods of Operations Research 72, 347-378, 2010
92010
Optimal asset allocation with fixed-term securities
S Desmettre, FT Seifried
Journal of Economic Dynamics and Control 66, 1-19, 2016
82016
Equilibrium investment with random risk aversion
S Desmettre, M Steffensen
Mathematical Finance 33 (3), 946-975, 2023
7*2023
Modeling redemption risks of mutual funds using extreme value theory
S Desmettre, M Deege
Journal of Risk 18 (6), 1-37, 2016
7*2016
Work effort, consumption, and portfolio selection: when the occupational choice matters
S Desmettre, A Szimayer
Mathematical Methods of Operations Research 74 (1), 121-145, 2011
72011
Supervised machine learning classification for short straddles on the S&P500
A Brunhuemer, L Larcher, P Seidl, S Desmettre, J Kofler, G Larcher
Risks 10 (12), 235, 2022
62022
Change of drift in one-dimensional diffusions
S Desmettre, G Leobacher, LCG Rogers
Finance and Stochastics 25 (2), 359-381, 2021
62021
Nested MC-based risk measurement of complex portfolios: Acceleration and energy efficiency
S Desmettre, R Korn, JA Varela, N Wehn
Risks 4 (4), 36, 2016
5*2016
10 Computational Challenges in Finance
S Desmettre, R Korn
FPGA Based Accelerators for Financial Applications, 1-31, 2015
52015
Application of the Heath–Platen Estimator in the Fong–Vasicek Short Rate Model
S Coskun, R Korn, S Desmettre
Journal of Computational Finance 23 (1), 1-24, 2019
42019
Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL
JA Varela, N Wehn, S Desmettre, R Korn
Proceedings of the 7th Workshop on Python for High-Performance and …, 2017
32017
Option Pricing in Practice—Heston’s Stochastic Volatility Model
S Desmettre, R Korn, T Sayer
Currents in Industrial Mathematics, 351-400, 2015
3*2015
Utility maximization in multivariate Volterra models
F Aichinger, S Desmettre
SIAM Journal on Financial Mathematics 14 (1), 52-98, 2023
22023
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Articles 1–20