Sascha Desmettre

Available identifiers

zbMath Open desmettre.saschaMaRDI QIDQ607669

List of research outcomes

Publication	Date of Publication	Type
Book review of: S. Calogero, A first course in options pricing theory	2024-11-12	Paper
Equilibrium investment with random risk aversion	2024-01-31	Paper
Worst-Case Optimal Investment in Incomplete Markets	2023-11-16	Paper
Utility Maximization in Multivariate Volterra Models	2023-03-31	Paper
Dynamic surplus optimization with performance- and index-linked liabilities	2023-01-09	Paper
On the Valuation of Discrete Asian Options in High Volatility Environments	2022-10-18	Paper
Integral representation of generalized grey Brownian motion	2022-07-05	Paper
A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL	2022-03-29	Paper
Can outstanding dividend payments be estimated by American options?	2022-02-08	Paper
Utility maximization in multivariate Volterra models	2021-11-03	Paper
Change of drift in one-dimensional diffusions	2021-04-29	Paper
Portfolio Optimization in Fractional and Rough Heston Models	2020-06-08	Paper
Portfolio optimization with early announced discrete dividends	2020-02-10	Paper
Severity modeling of extreme insurance claims for tariffication	2019-09-19	Paper
Estimating discrete dividends by no-arbitrage	2018-11-19	Paper
Generalized Pareto processes and fund liquidity risk	2018-11-14	Paper
Optimal asset allocation with fixed-term securities	2018-08-10	Paper
Modern financial mathematics -- theory and practical applications. Vol. 2. Extensions of the Black-Scholes model, interests, credit risk and statistics	2018-04-11	Paper
Robust worst-case optimal investment	2015-08-03	Paper
LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS	2015-04-15	Paper
Optimal investment for executive stockholders with exponential utility	2013-02-25	Paper
Work effort, consumption, and portfolio selection: When the occupational choice matters	2011-09-20	Paper
Own-company stockholding and work effort preferences of an unconstrained executive	2010-12-03	Paper
Pricing of geometric Asian options in the Volterra-Heston model	N/A	Paper

Research outcomes over time

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