Financial Mathematics Group

Dr. habil. Sascha Desmettre

Office: -

Tel.: -



At the University of Graz until March 2020.


Lecturer (Akademischer Rat) at the Financial Mathematics Group of TU Kaiserslautern

Affiliate Researcher of RTG 1932 "Stochastic Models for Innovations in the Engineering Sciences"

Scientific Advisor for Fraunhofer ITWM Research Institute

Textbook Moderne Finanzmathematik Band 2

Moderne FiMa 2 now available.


[2] S. Desmettre (2018): Change of Measure in the Heston Model given a violated Feller Condition, available at arXiv (Link)

[1] N. Bäuerle, S. Desmettre (2018): Portfolio Optimization in Fractional and Rough Heston Models, available at arXiv (Link)

[15] W. Bock, S. Desmettre, J.L. da Silva (2019): Integral Representation of Generalized Grey Brownian Motion, accepted for publication in Stochastics on July 4, 2019, DOI.

[14] C. Laudagé, S. Desmettre, J. Wenzel (2019): Severity Modeling of Extreme Insurance Claims for Tariffication, Insurance: Mathematics and Economics, Vol 88, 77-92.

[13] S. Coskun, R. Korn, S. Desmettre (2018): Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model, The Journal of Computational Finance, Vol 23(1), 1-24.

[12] S. Desmettre, S. Grün, R. Korn (2018): Portfolio Optimization with Early Announced Discrete Dividends, Operations Research Letters, Vol 46, 548-552.

[11] S. Desmettre, S. Grün, R. Korn (2018): Can Outstanding Dividend Payments be estimated by American Options?, Quantitative Finance, Vol 18(9), 1437-1446.

[10] S. Desmettre, J. de Kock, P. Ruckdeschel, F.T. Seifried (2018): Generalized Pareto Processes and Fund Liquidity Risk, Quantitative Finance, Vol 18(8), 1327-1343.

[9] S. Desmettre, S. Grün, F.T. Seifried (2017): Estimating Discrete Dividends by No-Arbitrage, Quantitative Finance, Vol 17(2), 261-274.

[8] S. Desmettre, R. Korn, J. Varela, N. Wehn (2016): Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency, Risks, Vol. 4(4), 36, 35 pages.

[7] S. Desmettre, M. Deege (2016): Modeling Redemption Risks of Mutual Funds using Extreme Value Theory, The Journal of Risk, Vol. 18(6), pp. 1-37

[6] S. Desmettre, F.T. Seifried (2016): Optimal Asset Allocation with Fixed-Term Securities, Journal of Economic Dynamics and Control, Vol. 66, pp. 1-19

[5] S. Desmettre, R. Korn, F.T. Seifried (2015): Lifetime Consumption and Investment for Worst-Case Crash Scenarios, International Journal of Theoretical and Applied Finance, Vol. 18(1)30 pages

[4] S. Desmettre, R. Korn, P. Ruckdeschel, F.T. Seifried (2015): Robust Worst-Case Optimal Investment, OR Spectrum, Vol. 37(3), pp. 677-701

[3] S. Desmettre (2012): Optimal Investment for Executive Stockholders with Exponential Utility, Decisions in Economics and Finance, Vol. 35(2), pp. 151-170

[2] S. Desmettre, A. Szimayer (2011): Work Effort, Consumption and Portfolio Selection: When the Occupational Choice Matters, Mathematical Methods of Operations Research, Vol. 74(1), pp. 121-145

[1] S. Desmettre, J. Gould, A. Szimayer (2010): Own-Company Stockholding and Work Effort Preferences of an Unconstrained Executive, Mathematical Methods of Operations Research, Vol. 72(3), pp. 347-378

[3] J. Varela, N. Wehn, S. Desmettre, R. Korn (2017): Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL, Proceedings of the 7th Workshop on Python for High-Performance and Scientific Computing (PyHPC '17) (Denver, USA)

[2] S. Desmettre, R. Korn (2015): 10 Computational Challenges in Finance, 'FPGA Based Accelerators for Financial Applications', Springer

[1] S. Desmettre, R. Korn, T. Sayer (2015): Option Pricing in Practice - Heston’s Stochastic
Volatility Model, 'Currents in Industrial Mathematics', Springer

PhD Thesis: S. Desmettre (2010): Optimal Portfolios for Executive Stockholders (Kluedo)

Diploma Thesis: S. Desmettre (2007): Four Generations of Asset Pricing Models and Volatility Dynamics (Kluedo)

Teaching experience

Summer Term 2018

  • Preparatory Course: Probability Concepts for Financial Markets
  • Seminar: Monte Carlo Methods in Financial and Actuarial Mathematics
  • Lecture: Life Insurance Mathematics

Winter Term 2017/18

  • Preparatory Course: Probability Concepts for Financial Markets
  • Lecture: Non-Life Insurance Mathematics

Winter Term 2016/17

  • Preparatory Course: Probability Concepts for Financial Markets

Summer Term 2016

  • BSc Project (Fachpraktikum): Modeling and Option Pricing using Binomial Trees

Summer Term 2015

  • Lernzentrum: Wednesday 15:00-16:00

Winter Term 2014/15

  • Workshop to project Robust Risk Estimation
  • TU KL - TU Munich Hiking Seminar
  • DGVFM Workshop Science meets Practice
  • BSc Project (Fachpraktikum): Stresstesting Methods for the Liquidity Risk of Mutual Funds

Summer Term 2012

  • Seminar: Continuous-Time Contract Theory (with JProf. Dr. Frank Seifried)

Summer Term 2017


  • Practitioner Workshop: The Heston Model and its Application


  • Practitioner Workshop: Continuous-Time Portfolio Optimization
  • Practitioner Workshop: The Heston Model: Theory and Practical Implementation


  • Practitioner Workshop: Continuous-Time Portfolio Optimization
  • Practitioner Workshop: The Heston Model: Theory and Practical Implementation

Research interests

  • Portfolio Optimization
  • Risk Management
  • Liquidity Risks
  • Extreme Value Theory
  • Monte Carlo Simulation
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