Sascha Desmettre

Johannes Kepler University Linz

Altenbergerstr. 69

A-4040 Linz, Upper Austria 4040

Austria

http://shorturl.at/dwX47

SCHOLARLY PAPERS

17

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7

CROSSREF CITATIONS

7

Scholarly Papers (17)

1.

Liquidity at Risk for Mutual Funds

Number of pages: 30 Posted: 26 Jun 2014
Sascha Desmettre and Matthias Deege
Johannes Kepler University Linz and IPConcept (Luxemburg) S.A.
Downloads 217 (167,368)
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Liquidity at Risk, fund management, generalized Pareto distribution, threshold estimation

2.

Forecasting Discrete Dividends by No-Arbitrage

Number of pages: 15 Posted: 05 May 2015
Sascha Desmettre, Sarah Grün and Frank Thomas Seifried
Johannes Kepler University Linz, Fraunhofer ITWM and University of Trier
Downloads 193 (186,611)

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dividends, prediction, arbitrage, put-call parity, market-implied discount curve

3.

Severity Modeling of Extreme Insurance Claims for Tariffication

Number of pages: 33 Posted: 10 May 2018 Last Revised: 17 May 2019
Christian Laudagé, Sascha Desmettre and Jörg Wenzel
Fraunhofer ITWM - Department Financial Mathematics, Johannes Kepler University Linz and Fraunhofer ITWM
Downloads 153 (227,946)
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extreme claims, generalized linear model, truncated gamma distribution, extreme value theory, peaks-over-threshold, generalized Pareto distribution

4.

Optimal Asset Allocation with Fixed-Term Securities

Number of pages: 35 Posted: 03 Oct 2014 Last Revised: 03 Nov 2015
Sascha Desmettre and Frank Thomas Seifried
Johannes Kepler University Linz and University of Trier
Downloads 151 (230,457)
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optimal portfolio, fixed-term investment, bank deposit, closed-end security, martingale method

5.

Worst-Case Consumption-Portfolio Optimization

Number of pages: 30 Posted: 26 Mar 2013
Sascha Desmettre, Ralf Korn and Frank Thomas Seifried
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 148 (234,214)
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worst-case, crash, portfolio, consumption, verification

6.

Robust Worst-Case Optimal Investment

Number of pages: 24 Posted: 05 Jul 2013
Johannes Kepler University Linz, University of Kaiserslautern - Department of Mathematics, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 109 (294,986)

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worst-case, crash scenario, robust optimization, Knightian uncertainty, efficiency, min-max approach

7.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Johannes Kepler University Linz, Sanlam - Client Solutions and Research, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 83 (351,372)

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ARGP process, GPD, liquidity risk, data features

8.

Can Outstanding Dividend Payments Be Estimated by American Options?

Number of pages: 27 Posted: 24 Feb 2017 Last Revised: 10 Jun 2017
Sascha Desmettre, Sarah Grün and Ralf Korn
Johannes Kepler University Linz, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Downloads 75 (372,748)

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discrete dividends, no-arbitrage bounds, least squares estimator, American options

9.

Own-Company Stockholding and Work Effort Preferences of an Unconstrained Executive

Number of pages: 37 Posted: 21 Jan 2009 Last Revised: 26 Apr 2010
Sascha Desmettre, John Gould and Alexander Szimayer
Johannes Kepler University Linz, Curtin University and University of Hamburg - Faculty of Economics and Business Administration
Downloads 75 (372,748)

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optimal portfolio choice, executive compensation

10.

Work Effort, Consumption, and Portfolio Selection: When the Occupational Choice Matters

Number of pages: 34 Posted: 01 Jul 2010 Last Revised: 05 Jul 2010
Sascha Desmettre and Alexander Szimayer
Johannes Kepler University Linz and University of Hamburg - Faculty of Economics and Business Administration
Downloads 66 (399,505)
Citation 1

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Portfolio Choice, Work Effort, Consumption, Occupational Choice

Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model

Number of pages: 18 Posted: 09 Oct 2017
Sema Coskun, Ralf Korn and Sascha Desmettre
University of Kaiserslautern - Department of Mathematics, University of Kaiserslautern - Department of Mathematics and Johannes Kepler University Linz
Downloads 60 (425,169)

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Fong-Vasicek Model, Monte Carlo Method, Heath-Platen Estimator

Application of the Heath–Platen Estimator in the Fong–Vasicek Short Rate Model

Journal of Computational Finance, Forthcoming
Number of pages: 24 Posted: 24 May 2019
Sema Coskun, Ralf Korn and Sascha Desmettre
University of Kaiserslautern - Department of Mathematics, University of Kaiserslautern - Department of Mathematics and Johannes Kepler University Linz
Downloads 1 (792,527)
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Fong–Vasicek (FV) model, Monte Carlo method, Heath–Platen (HP) estimator, variance reduction, bond option pricing

12.

Portfolio Optimization with Early Announced Discrete Dividends

Number of pages: 13 Posted: 13 Feb 2018
Sascha Desmettre, Sarah Grün and Ralf Korn
Johannes Kepler University Linz, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Downloads 53 (444,172)
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discrete dividends, optimal portfolios, early announcement

13.

High Volatility Limits of Asset and Option Prices with Applications to Monte Carlo Valuation

Number of pages: 23 Posted: 13 Jan 2021 Last Revised: 10 Mar 2021
Sascha Desmettre and Jörg Wenzel
Johannes Kepler University Linz and Fraunhofer ITWM
Downloads 31 (542,215)

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Asset Price Convergence, High Volatility, CIR Process, Convergence Rates, Heston Model, Option Pricing, Asian Options, Monte-Carlo Valuation

14.

Optimal Investment for Executive Stockholders with Exponential Utility

Number of pages: 24 Posted: 19 Nov 2010
Sascha Desmettre
Johannes Kepler University Linz
Downloads 31 (542,215)

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Portfolio Choice, Executive Stockholder, Work Effort, Exponential Utility

15.

Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Number of pages: 31 Posted: 12 May 2020
Sascha Desmettre, Markus Wahl and Rudi Zagst
Johannes Kepler University Linz, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 29 (553,171)

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Surplus Optimization, Asset-Liability Management, Performance Participation, Stochastic Liabilities, Random Utility, Martingale Method

16.

Optimal Investment with Uncertain Risk Aversion

Number of pages: 11 Posted: 17 Mar 2021
Sascha Desmettre and Mogens Steffensen
Johannes Kepler University Linz and University of Copenhagen
Downloads 23 (590,318)

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Certainty equivalents, Uncertain risk aversion, Time-inconsistency, Equilibrium approach, Power and Exponential utility

17.

Modeling Redemption Risks of Mutual Funds Using Extreme Value Theory

Journal of Risk 18(6), 1–37 DOI:10.21314/JOR.2016.336
Number of pages: 38 Posted: 26 Jul 2016
Sascha Desmettre and Matthias Deege
Johannes Kepler University Linz and IPConcept (Luxemburg) S.A.
Downloads 2 (744,776)
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redemption risks, mutual funds, extreme value theory (EVT), generalized Pareto distribution (GPD), threshold estimation