AG Finanzmathematik

Dr. habil. Sascha Desmettre

Büro: -

Tel.: -

E-Mail: desmettre(at)


Bis einschließlich März 2020 bin ich an der Karl-Franzens-Universität Graz angestellt.


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

Lehrbuch Moderne Finanzmathematik Band 2

Moderne FiMa 2 jetzt erhältlich.


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


  • 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


[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, akzeptiert in Stochastics am 04. Juli 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 (2019): 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

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

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


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