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Scopus Author ID: 36247106800
GND: 142577820

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Johannes Kepler Universität Linz: Linz, AT

Professor
Employment
Source: Self-asserted source
Sascha Desmettre

Works (36)

A comparative study of factor models for different periods of the electricity spot price market

Journal of Commodity Markets
2024-12 | Journal article
DOI: 10.1016/j.jcomm.2024.100435
Contributors: Christian Laudagé; Florian Aichinger; Sascha Desmettre
Source: check_circle
Crossref

Electricity GANs: Generative Adversarial Networks for Electricity Price Scenario Generation

Commodities
2024-07-08 | Journal article
DOI: 10.3390/commodities3030016
Contributors: Bilgi Yilmaz; Christian Laudagé; Ralf Korn; Sascha Desmettre
Source: check_circle
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MODELING LARGE SPOT PRICE DEVIATIONS IN ELECTRICITY MARKETS

arXiv
2023 | Other
EID:

2-s2.0-85164899241

Part of ISSN: 23318422
Contributors: Laudagé, C.; Aichinger, F.; Desmettre, S.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Equilibrium investment with random risk aversion

Mathematical Finance
2023-07 | Journal article
DOI: 10.1111/mafi.12394
Contributors: Sascha Desmettre; Mogens Steffensen
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Utility Maximization in Multivariate Volterra Models

SIAM Journal on Financial Mathematics
2023-03-31 | Journal article
DOI: 10.1137/21M1464543
Contributors: Florian Aichinger; Sascha Desmettre
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Crossref

A MEAN-FIELD EXTENSION of the LIBOR MARKET MODEL

International Journal of Theoretical and Applied Finance
2022 | Journal article
DOI: 10.1142/S0219024922500054
EID:

2-s2.0-85126443723

Part of ISSN: 02190249
Contributors: Desmettre, S.; Hochgerner, S.; Omerovic, S.; Thonhauser, S.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Dynamic surplus optimization with performance- and index-linked liabilities

European Actuarial Journal
2022-12 | Journal article
DOI: 10.1007/s13385-021-00292-z
Contributors: Sascha Desmettre; Markus Wahl; Rudi Zagst
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Supervised Machine Learning Classification for Short Straddles on the S&P500

Risks
2022-12-09 | Journal article
DOI: 10.3390/risks10120235
Contributors: Alexander Brunhuemer; Lukas Larcher; Philipp Seidl; Sascha Desmettre; Johannes Kofler; Gerhard Larcher
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Change of drift in one-dimensional diffusions

Finance and Stochastics
2021 | Journal article
DOI: 10.1007/s00780-021-00451-w
EID:

2-s2.0-85102942024

Part of ISSN: 14321122 09492984
Contributors: Desmettre, S.; Leobacher, G.; Rogers, L.C.G.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

On the Valuation of Discrete Asian Options in High Volatility Environments

Applied Mathematical Finance
2021-11-02 | Journal article
DOI: 10.1080/1350486X.2022.2108858
Contributors: Sascha Desmettre; Jörg Wenzel
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Crossref
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Integral representation of generalized grey Brownian motion

Stochastics
2020 | Journal article
DOI: 10.1080/17442508.2019.1641093
EID:

2-s2.0-85068760351

Part of ISBN:

17442516 17442508
Contributors: Bock, W.; Desmettre, S.; da Silva, J.L.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Portfolio Optimization in Fractional and Rough Heston Models

SIAM Journal on Financial Mathematics
2020 | Journal article
DOI: 10.1137/18M1217243
EID:

2-s2.0-85084644345

Part of ISBN:

1945497X
Contributors: Baüerle, N.; Desmettre, S.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints

Risks
2020-10-30 | Journal article
DOI: 10.3390/risks8040114
Contributors: Sascha Desmettre; Christian Laudagé; Jörn Sass
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Crossref
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Application of the heath–platen estimator in the fong–vasicek short rate model

Journal of Computational Finance
2019 | Journal article
DOI: 10.21314/JCF.2019.366
EID:

2-s2.0-85069711035

Part of ISBN:

17552850 14601559
Contributors: Coskun, S.; Korn, R.; Desmettre, S.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier
grade
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Severity modeling of extreme insurance claims for tariffication

Insurance: Mathematics and Economics
2019 | Journal article
DOI: 10.1016/j.insmatheco.2019.06.002
EID:

2-s2.0-85067621031

Part of ISBN:

01676687
Contributors: Laudagé, C.; Desmettre, S.; Wenzel, J.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier
grade
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Can outstanding dividend payments be estimated by American options?

Quantitative Finance
2018 | Journal article
DOI: 10.1080/14697688.2017.1401226
EID:

2-s2.0-85041566474
Contributors: Desmettre, S.; Grün, S.; Korn, R.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Generalized Pareto processes and fund liquidity risk

Quantitative Finance
2018 | Journal article
DOI: 10.1080/14697688.2017.1410214
EID:

2-s2.0-85041130153
Contributors: Desmettre, S.; de Kock, J.; Ruckdeschel, P.; Seifried, F.T.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Moderne Finanzmathematik – Theorie und praktische Anwendung Band 2

2018 | Book
DOI: 10.1007/978-3-658-21000-7
Part of ISBN: 9783658209995
Contributors: Sascha Desmettre; Ralf Korn
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search

Portfolio optimization with early announced discrete dividends

Operations Research Letters
2018-09 | Journal article
DOI: 10.1016/j.orl.2018.09.001
Part of ISSN: 0167-6377
Contributors: Sascha Desmettre; Sarah Grün; Ralf Korn
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search
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Estimating discrete dividends by no-arbitrage

Quantitative Finance
2017 | Journal article
DOI: 10.1080/14697688.2016.1176239
EID:

2-s2.0-84969750112
Contributors: Desmettre, S.; Grün, S.; Seifried, F.T.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL

Proceedings of PyHPC 2017: 7th Workshop on Python for High-Performance and Scientific Computing - Held in conjunction with SC 2017: The International Conference for High Performance Computing, Networking, Storage and Analysis
2017 | Conference paper
DOI: 10.1145/3149869.3149872
EID:

2-s2.0-85041380324
Contributors: Varela, J.A.; Desmettre, S.; Wehn, N.; Korn, R.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Modeling redemption risks of mutual funds using extreme value theory

Journal of Risk
2016 | Journal article
DOI: 10.21314/JOR.2016.336
EID:

2-s2.0-84983298750
Contributors: Desmettre, S.; Deege, M.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier
grade
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Optimal asset allocation with fixed-term securities

Journal of Economic Dynamics and Control
2016 | Journal article
DOI: 10.1016/j.jedc.2016.03.001
EID:

2-s2.0-84962568236
Contributors: Desmettre, S.; Seifried, F.T.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency

Risks
2016-10 | Journal article
DOI: 10.3390/risks4040036
Part of ISSN: 2227-9091
Contributors: Sascha Desmettre; Ralf Korn; Javier Varela; Norbert Wehn
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search

10 Computational Challenges in Finance

FPGA Based Accelerators for Financial Applications
2015 | Other
DOI: 10.1007/978-3-319-15407-7_1
Part of ISBN: 9783319154060
Contributors: Sascha Desmettre; Ralf Korn
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search

Lifetime consumption and investment for worst-case crash scenarios

International Journal of Theoretical and Applied Finance
2015 | Journal article
DOI: 10.1142/S0219024915500041
EID:

2-s2.0-84928398191
Contributors: Desmettre, S.; Korn, R.; Seifried, F.T.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Optimization strategies for portable code for monte carlo-based value-at-risk systems

Proceedings of WHPCF 2015: 8th Workshop on High Performance Computational Finance - Held in conjunction with SC 2015: The International Conference for High Performance Computing, Networking, Storage and Analysis
2015 | Conference paper
DOI: 10.1145/2830556.2830559
EID:

2-s2.0-84959356372
Contributors: Varela, J.A.; Kestel, C.; De Schryver, C.; Wehn, N.; Desmettre, S.; Korn, R.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Option Pricing in Practice—Heston’s Stochastic Volatility Model

Currents in Industrial Mathematics
2015 | Other
DOI: 10.1007/978-3-662-48258-2_10
Part of ISBN: 9783662482575
Contributors: Sascha Desmettre; Ralf Korn; Tilman Sayer
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search

Optionsbewertung in der Praxis: Das stochastische Volatilitätsmodell nach Heston

Mathematik im Fraunhofer-Institut
2015 | Other
DOI: 10.1007/978-3-662-44877-9_10
Part of ISBN: 9783662448762
Contributors: Sascha Desmettre; Ralf Korn; Tilman Sayer
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search
grade
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Robust worst-case optimal investment

OR Spectrum
2015 | Journal article
DOI: 10.1007/s00291-014-0370-y
EID:

2-s2.0-84931578616
Contributors: Desmettre, S.; Korn, R.; Ruckdeschel, P.; Seifried, F.T.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Optimal investment for executive stockholders with exponential utility

Decisions in Economics and Finance
2012 | Journal article
DOI: 10.1007/s10203-011-0119-x
EID:

2-s2.0-84866547996
Contributors: Desmettre, S.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Work effort, consumption, and portfolio selection: When the occupational choice matters

Mathematical Methods of Operations Research
2011 | Journal article
DOI: 10.1007/s00186-011-0358-1
EID:

2-s2.0-80054914008
Contributors: Desmettre, S.; Szimayer, A.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Optimal portfolios for executive stockholders

2010 | Dissertation or Thesis
DNB: 1009249282
Contributors: Sascha Desmettre
Source: Self-asserted source
Sascha Desmettre via Deutsche Nationalbibliothek (DNB)

Own-company stockholding and work effort preferences of an unconstrained executive

Mathematical Methods of Operations Research
2010 | Journal article
DOI: 10.1007/s00186-010-0322-5
EID:

2-s2.0-78650712950
Contributors: Desmettre, S.; Gould, J.; Szimayer, A.
Source: Self-asserted source
Sascha Desmettre via Scopus - Elsevier

Four Generations of Asset Pricing Models and Volatility Dynamics

2007 | Book
DNB: 1025101944
URN: urn:nbn:de:hbz:386-kluedo-16667
Contributors: Sascha Desmettre
Source: Self-asserted source
Sascha Desmettre via Deutsche Nationalbibliothek (DNB)

Scalarized utility-based multi-asset risk measures

SSRN Electronic Journal
Journal article
DOI: 10.2139/ssrn.3924271
Part of ISSN: 1556-5068
Contributors: Sascha Desmettre; Christian Laudagé; Jörn Sass
Source: Self-asserted source
Sascha Desmettre via Crossref Metadata Search
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