Stochastic Control and Financial Mathematics

Prof. Dr. Jörn Sass » Publications

Publications



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Accepted Papers
  1. J. Sass, U.G. Haussmann (2004): Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. Finance and Stochastics 8, 553-577.
  2. U.G. Haussmann, J. Sass (2004): Optimal terminal wealth under partial information for HMM stock returns. In: G. Yin and Q. Zhang (eds.): Mathematics of Finance: Proceedings of an AMS-IMS-SIAM Summer Conference June 22-26, 2003, Utah, AMS Contemporary Mathematics 351, 171-185.
  3. J. Sass and U.G. Haussmann (2004): Portfolio optimization under partial information: Stochastic volatility in a hidden Markov model. In: D. Ahr, R. Fahrion, M. Oswald, G. Reinelt (eds.): Operations Research Proceedings 2003, Springer, Berlin, 387-394.
  4. J. Sass (2005): Portfolio optimization under transaction costs in the CRR model. Mathematical Methods of Operations Research 61, 239-259.
  5. A. Irle, J. Sass (2005): Good portfolio strategies under transaction costs: A renewal theoretic appoach. In M. do Rosario Grossinho, A.N. Shiryaev, M.L. Esquivel, P.E. Oliveira (eds.): Stochastic Finance, Springer, New York, 321-341.
  6. A. Gabih, J. Sass, R. Wunderlich (2005): Utility maximization with bounded shortfall risk in an HMM for the stock returns. In: N.Kolev, P. Morettin (eds.): Proceedings of the Second Brazilian Confrerence: on Statistical Modelling in Insurance and Finance, Maresias, August 28 -- September 3, 2005, Institute of Mathematics and Statistics, University of Sao Paulo, 116-121.
  7. J. Sass (2006): Portfolio optimization under partial information and convex constraints in a hidden Markov model. In H.-D. Haasis, H. Kopfer, J. Schönberger (eds.): Operations Research Proceedings 2005, Springer, Berlin, 223-228.
  8. A. Irle, J. Sass (2006): Optimal portfolio policies under fixed and proportional transaction costs. Advances in Applied Probability 38, 916-942.
  9. M. Hahn, W. Putschögl, J. Sass (2007): Portfolio optimization with non-constant volatility and partial information, Brazilian Journal of Probability and Statistics 21, 27-61.
  10. M. Hahn, W. Putschögl, J. Sass (2007): Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods. In: K.-H. Waldmann, U.M. Stocker (eds.): Operations Research Proceedings 2006, Springer, Berlin, 227-232.
  11. R. Wunderlich, J. Sass, A. Gabih (2007): Optimal portfolios under bounded shortfall risk and partial information. In: K.-H. Waldmann, U.M. Stocker (eds.): Operations Research Proceedings 2006, Springer, Berlin, 581-586.
  12. K. Kunisch, J. Sass (2007): Trading regions under proportional transaction costs.> In: K.-H. Waldmann, U.M. Stocker (eds.): Operations Research Proceedings 2006, Springer, Berlin, 563-568.
  13. J. Sass (2007): Utility maximization with convex constraints and partial information. Acta Applicandae Mathematicae 97, 221-238.
  14. J. Sass, R. Wunderlich (2007): Computing optimal portfolio policies with unobservable Markov modulated drift process and bounded expected loss. In: C. Fernandes, H. Schmidli, N. Kolev (eds.): Third Brazilian Conference on Statistical Modelling in Insurance and Finance, IME, Sao Paulo, 242-247.
  15. M. Hahn, W. Putschögl, J. Sass (2008): Optimizing consumption and investment: The case of partial information. In: J. Kalcsics, S. Nickel (eds.): Operations Research Proceedings 2007, 57-62.
  16. W. Putschögl, J. Sass (2008): Optimal consumption and investment under partial information, Decisions in Economics and Finance 31, 131-170.
  17. R.J. Elliott, V. Krishnamurthy, J. Sass (2008): Moment based regression algorithm for drift and volatility estimation in continuous time Markov switching models, Econometrics Journal 11, 244-270.
  18. B. Rudloff, J. Sass, R. Wunderlich (2008): Entropic risk constraints for utility maximization. In: C. Tammer, F. Heyde (eds.): Festschrift in Celebration of Wilfried Prof. Dr. Grecksch 60th Birthday. Shaker Verlag, Aachen, 149-180.
  19. M. Hahn, J. Sass (2009): Parameter estimation in continuous time Markov switching models - A semi-continuous Markov chain Monte Carlo approach, Bayesian Analysis 4, 63-84.
  20. A. Gabih, J. Sass, R. Wunderlich (2009): Utility maximization under bounded expected loss, Stochastic Models 25, 375-407.
  21. M. Hahn, S. Frühwirth-Schnatter, J. Sass (2009): Estimating continuous-time Markov processes based on merged time series, AStA Advances in Statistical Analysis 93, 403--425.
  22. W. Putschögl, J. Sass (2010): Optimal investment under dynamic risk constraints and partial information, Quantitative Finance, to appear.
  23. M. Hahn, S. Frühwirth-Schnatter, J. Sass (2010): Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models, Journal of Financial Econometrics 8, 88-121.
  24. J. Sass, R. Wunderlich (2010): Optimal portfolio policies under bounded expected loss and partial information, Mathematical Methods of Operations Research, to appear.
Submitted papers
  1. Under construction.
Technical Reports
  1. A. Irle, J. Sass (2001): Portfoliooptimierung unter Transaktionskosten im Black-Scholes-Modell - ein Überblick (Portfolio optimization under transaction costs - an overview), Berichtsreihe des Mathematischen Seminars 01-14, CAU Kiel.
  2. J. Sass (2001): Portfoliooptimierung bei logarithmischen Nutzen in einer Periode (Portfolio optimization under logarithmic utility in one period), Berichtsreihe des Mathematischen Seminars 01-15, CAU Kiel.
  3. J. Sass (2004): Portfolio optimization under transaction costs in the CRR model, RICAM Report 2004-06.
  4. A. Irle, J. Sass (2005): Optimal portfolio policies under fixed and proportional transaction costs, Berichtsreihe des Mathematischen Seminars 05-30, CAU Kiel.
  5. A. Gabih, J. Sass, R. Wunderlich (2006): Utility maximization under bounded expected loss, RICAM Report 2006-24.
  6. M. Hahn, S. Frühwirth-Schnatter, J. Sass (2007): Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models, RICAM Report 2007-09.
  7. J. Sass, R. Wunderlich (2008): Optimal portfolio policies under bounded expected loss and partial information, RICAM Report 2008-01.
  8. M. Hahn, S. Frühwirth-Schnatter, J. Sass (2009): Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models. IFAS Research Paper Series 2009-41, JKU Linz.
Theses
  • Das No-Arbitrage-Theorem mit diskretem Zeitparameter (The Fundamental Theorem> of Asset Pricing in Discrete Time), Master Ed. thesis, University of Kiel, 1998.
  • Das No-Arbitrage-Theorem (The Fundamental Theorem of Asset Pricing), Master Sci. thesis, University of Kiel, 1998.
  • Portfoliooptimierung unter Transaktionskosten (Portfolio Optimization under Transaction Costs), doctoral dissertation, University of Kiel, 2001.
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