Sascha Desmettre

According to our database, Sascha Desmettre authored at least 11 papers between 2010 and 2025.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of three.

2025

First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds.

Sascha Desmettre, Devika Khurana, Amira Meddah

CoRR, July, 2025

2024

Exact simulation of the first-passage time of SDEs to time-dependent thresholds.

Devika Khurana, Sascha Desmettre, Evelyn Buckwar

CoRR, 2024

2023

Utility Maximization in Multivariate Volterra Models.

Florian Aichinger, Sascha Desmettre

SIAM J. Financial Math., March, 2023

2022

Supervised machine learning classification for short straddles on the S&P500.

Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher

CoRR, 2022

2020

Portfolio Optimization in Fractional and Rough Heston Models.

Nicole Bäuerle, Sascha Desmettre

SIAM J. Financial Math., 2020

2018

Portfolio optimization with early announced discrete dividends.

Sascha Desmettre, Sarah Grün, Ralf Korn

Oper. Res. Lett., 2018

2017

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

Javier Alejandro Varela, Norbert Wehn, Sascha Desmettre, Ralf Korn

Proceedings of the 7th Workshop on Python for High-Performance and Scientific Computing, 2017

2015

Robust worst-case optimal investment.

Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried

OR Spectr., 2015

Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.

Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn

Proceedings of the 8th Workshop on High Performance Computational Finance, 2015

2011

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

Sascha Desmettre, Alexander Szimayer

Math. Methods Oper. Res., 2011

2010

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

Sascha Desmettre, John Gould, Alexander Szimayer

Math. Methods Oper. Res., 2010