AG Finanzmathematik

Dr. habil. Sascha Desmettre


Büro: 48-620

Tel.: +49 (0)631 205 4311

E-Mail: desmettre(at)mathematik.uni-kl.de

Aktuelles

  • Bite melden Sie sich zum Kurs Non-Life Insurance über die OLAT-Plattform an.
  • Den Zugangscode erhalten Sie in der Vorlesung.

Anstellungen

Akademischer Rat in der AG Finanzmathematik an der TU Kaiserslautern

Assoziierter Wissenschaftler im GrK 1932 "Stochastic Models for Innovations in the Engineering Sciences"

Wissenschaftlicher Berater des Fraunhofer ITWM

Lehrerfahrung

Sommersemester 2018

  • Kompaktkurs: Probability Concepts for Financial Markets
  • Seminar: Monte Carlo Methods in Financial and Actuarial Mathematics
  • Vorlesung: Life Insurance Mathematics

Wintersemester 2017/18

  • Kompaktkurs: Probability Concepts for Financial Markets
  • Vorlesung: Non-Life Insurance Mathematics

Wintersemester 2016/17

  • Kompaktkurs: Probability Concepts for Financial Markets

Sommersemester 2016

  • Fachpraktikum: Modeling and Option Pricing using Binomial Trees

Sommersemester 2015

  • Lernzentrum: Mittwochs 15:00-16:00

Wintersemester 2014/15

  • Abschluss-Workshop zu Projekt Robust Risk Estimation
  • TU KL - TU Munich Hiking Seminar
  • DGVFM Workshop Science meets Practice
  • Fachpraktikum: Stresstesting Methods for the Liquidity Risk of Mutual Funds

Sommersemester 2012

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

Sommersemester 2017

Wintersemester 2016/17

2013

  • Practitioner-Workshop: The Heston Model and its Application

2012

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

2011

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

Lehrbuch Moderne Finanzmathematik Band 2

Moderne FiMa 2 jetzt erhältlich.

Publikationen

[4] W. Bock, S. Desmettre, J.L. da Silva (2018): Integral Representation of Generalized Grey Brownian Motion, available at arXiv (Link)

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

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

[1] C. Laudagé, S. Desmettre, J. Wenzel (2018): Severity Modeling of Extreme Insurance Claims for Tariffication, available at SSRN (Link).

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

[12] S. Coskun, R. Korn, S. Desmettre (2018): Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model, to appear in The Journal of Computational Finance.

[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

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

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

Forschungsinteressen

  • Portfoliooptimierung
  • Risikomanagement
  • Liquiditätsrisiken
  • Extremwerttheorie
  • Monte-Carlo-Simulation
Zum Seitenanfang