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Institute of Financial Mathematics and Applied Number Theory
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Assist.-Prof. Dr. habil. Sascha Desmettre

Das Foto zeigt unseren Mitarbeiter Sascha Desmettre. Er trägt ein weißes Hemd un ein schwarzes Sakko.
Assistant Professor

Curriculum Vitae

Education

Diploma degree in Mathematics, TU Kaiserslautern

Doctorate programme in Mathematics, Fraunhofer Institute for Techno- and Business Mathematics + TU Kaiserslautern

Habilitation in Mathematics, TU Kaiserslautern

Work Experience

Scientific assistant with pre-degree , Fraunhofer Institute for Techno- and Business Mathematics, Kaiserslautern

Scientific Assistant with diploma, Fraunhofer Institute for Techno- and Business Mathematics, Kaiserslautern

Scientific Assistant, Fraunhofer Institute for Techno- and Business Mathematics, Kaiserslautern

W3-Deputy Professor for Stochastics, Karlsruher Institute for Technology

TU Kaiserslautern:
since 02/18 : Academical temporary council
07/16-01/18: Scientific Assistant at "Landesstelle"
07/14-06/16: Post-Doc at Graduate College 1932
01/14-06/14: Post-Doc in Project ”Robust Risk Estimation”

PostDoc, Karl-Franzens-Universität Graz

Tenure-Track Professor of Financial Mathematics and Mathematical Modeling in Economics, JKU Linz

Projects

Project Robust Risk Estimation II: Multivariate and Dynamic Extreme Events with Possibly Misspecified Models,
Extension of the Project "Robust Risk Estimation" of 07/11-03/15

Graduate College 1932 (1. Phase), Stochastic Models for Innovations in the Engineering Sciences,
Own role: Asscociated Investigator (07/2014-09/2018) + jointly responsible project part leader in Project P2: Stochastic models for system-on-chip design and Monte Carlo hardware acceleration (07/2014-06/2016)

Scientific Advisor, Fraunhofer Institute for Techno- and Economic Mathematics, Department of Financial Mathematics, Kaiserslautern.

Graduate College 1932 (2. Phase), Stochastic Models for Innovations in the Engineering Sciences,
Own role: Asscociated Investigator

Collaborative Research Centre "Quasi Monte Carlo Methods" of the FWF. Own role: Associated Investigator.

Teaching Experience

VO Stochastic Processes
VO Non-Life Insurance Mathematics
UE Non-Life Insurance Mathematics
VO Life Insurance Mathematics
SE Monte-Carlo Methods in Financial and Actuarial Mathematics
Probability Concepts for Financial Markets, Pre-course in Master Studies for Finance- and Insurancemathematics
SE Optimal Investment
VO Continuous Financial Mathematics
SE Monte-Carlo-Methods
VO Extreme Value Theory
SE Continuous-Time Contract Theory (joint work with Prof. Frank Seifried)
Internship, Modelling and Option Pricing with Binomial Trees
Mentoring in the studying center, TU Kaiserslautern
Internship, Stress tests for liquidity risk of investmentfonds

Awards

Prize of the German Physics Association for excellent performance in the subject "Physics in the A levels"

Prize of the School Association for excellent performances at the A levels

Doctoral grant of the Fraunhofer Association

e-fellows.net Scholarship

In Progress:

S. Desmettre, S. Hochgerner, S. Omerovic, S. Thonhauser: A Mean-Field Extension of the LIBOR Market Model, Link, opens an external URL in a new window.

S. Desmettre, M. Steffensen, Optimal Investment with Uncertain Risk Aversion, Link, opens an external URL in a new window.

S. Desmettre, J. Wenzel: High Volatility Limits of Asset and Option Prices with Applications to Monte Carlo Valuation, Link, opens an external URL in a new window

S. Desmettre, C. Laudagé, J. Sass:  Scalarized Utility-Based Multi-Asset Risk Measures, Link, opens an external URL in a new window