19 citations · 25 across the 18 of their papers we have counts for
21 papers
Quantitative Convergence of Markov Equilibria for Time-Inconsistent Controlled Diffusions
Sascha Desmettre
Time-inconsistent stochastic control admits a natural game-theoretic interpretation in which successive decision dates are represented by different selves. In the Markovian framewo…
Robust Control for Marked Point Processes under Transition-Rate Uncertainty
Sascha Desmettre, Philipp C. Hornung
We consider a novel robust utility maximisation problem under bounded cumulative transition rate uncertainty within the class of non-Markovian marked point processes on a finite st…
Equilibrium investment under dynamic preference uncertainty
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process…
Approximate Bayesian computation for stochastic hybrid systems with empirically observed ergodic behaviour
Sascha Desmettre, Agnes Mallinger, Amira Meddah +1
Piecewise diffusion Markov processes (PDifMPs) form a versatile class of stochastic hybrid systems that combine continuous diffusion processes with discrete event-driven dynamics,…
The hybrid exact scheme for the simulation of first-passage times of jump-diffusions with time-dependent thresholds
Sascha Desmettre, Devika Khurana, Amira Meddah
The first-passage time is a key concept in stochastic modeling, representing the time at which a process first reaches a specified threshold. In this work, we consider a jump-diffu…
First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds
Sascha Desmettre, Devika Khurana, Amira Meddah
Piecewise Diffusion Markov Processes (PDifMPs) are valuable for modelling systems where continuous dynamics are interrupted by sudden shifts and/or changes in drift and diffusion.…
Exact simulation of the first-passage time of SDEs to time-dependent thresholds
Devika Khurana, Sascha Desmettre, Evelyn Buckwar
The first-passage time (FPT) is a fundamental concept in stochastic processes, representing the time it takes for a process to reach a specified threshold for the first time. Often…
American option pricing using generalised stochastic hybrid systems
Evelyn Buckwar, Sascha Desmettre, Agnes Mallinger +1
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrate…
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This constructio…
Pricing of geometric Asian options in the Volterra-Heston model
Florian Aichinger, Sascha Desmettre
Geometric Asian options are a type of options where the payoff depends on the geometric mean of the underlying asset over a certain period of time. This paper is concerned with the…
Worst-Case Optimal Investment in Incomplete Markets
Sascha Desmettre, Sebastian Merkel, Annalena Mickel +1
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market c…
A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market
Christian Laudagé, Florian Aichinger, Sascha Desmettre
Due to major shifts in European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward.…
Supervised machine learning classification for short straddles on the S&P500
Alexander Brunhuemer, Lukas Larcher, Philipp Seidl +3
In this working paper we present our current progress in the training of machine learning models to execute short option strategies on the S&P500. As a first step, this paper is br…
Utility maximization in multivariate Volterra models
Florian Aichinger, Sascha Desmettre
This paper is concerned with portfolio selection for an investor with power utility in multi-asset financial markets in a rough stochastic environment. We investigate Merton's port…
A mean-field extension of the LIBOR market model
Sascha Desmettre, Simon Hochgerner, Sanela Omerovic +1
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale proper…
Change of drift in one-dimensional diffusions
Sascha Desmettre, Gunther Leobacher, L. C. G. Rogers
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same…
Integral Representation of Generalized Grey Brownian Motion
Wolfgang Bock, Sascha Desmettre, José Luís da Silva
In this paper we investigate the representation of a class of non Gaussian processes, namely generalized grey Brownian motion, in terms of a weighted integral of a stochastic proce…
Change of Measure in the Heston Model given a violated Feller Condition
Sascha Desmettre
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption…
Portfolio Optimization in Fractional and Rough Heston Models
Nicole Bäuerle, Sascha Desmettre
We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. U…
Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel +1
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the…
Statistical models for dynamics in extreme value processes
Bernhard Spangl, Sascha Desmettre, Peter Ruckdeschel
We study four different approaches to model time-dependent extremal behavior: dynamics introduced by (a) a state-space model (SSM), (b) a shot-noise-type process with GPD marginals…