Sascha Desmettre

12 papers Journal 10Unranked 2
YearRankTypeTitle / Venue / Authors
2025 J jnl
Exact Simulation of the First-Passage Time of Diffusions to Time-Dependent Thresholds.
SIAM J. Sci. Comput.
Devika Khurana, Sascha Desmettre, Evelyn Buckwar
2025 J jnl
First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds.
CoRR
Sascha Desmettre, Devika Khurana, Amira Meddah
2024 J jnl
Exact simulation of the first-passage time of SDEs to time-dependent thresholds.
CoRR
Devika Khurana, Sascha Desmettre, Evelyn Buckwar
2023 J jnl
Utility Maximization in Multivariate Volterra Models.
SIAM J. Financial Math.
Florian Aichinger, Sascha Desmettre
2022 J jnl
Supervised machine learning classification for short straddles on the S&P500.
CoRR
Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher
2020 J jnl
Portfolio Optimization in Fractional and Rough Heston Models.
SIAM J. Financial Math.
Nicole Bäuerle, Sascha Desmettre
2018 J jnl
Portfolio optimization with early announced discrete dividends.
Oper. Res. Lett.
Sascha Desmettre, Sarah Grün, Ralf Korn
2017 — conf
Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL.
PyHPC@SC
Javier Alejandro Varela, Norbert Wehn, Sascha Desmettre, Ralf Korn
2015 — conf
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.
WHPCF@SC
Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn
2015 J jnl
Robust worst-case optimal investment.
OR Spectr.
Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried
2011 J jnl
Work effort, consumption, and portfolio selection: when the occupational choice matters.
Math. Methods Oper. Res.
Sascha Desmettre, Alexander Szimayer
2010 J jnl
Own-company stockholding and work effort preferences of an unconstrained executive.
Math. Methods Oper. Res.
Sascha Desmettre, John Gould, Alexander Szimayer