Fraunhofer-Gesellschaft

Publica

Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten.
2019Severity modeling of extreme insurance claims for tariffication
Laudagé, Christian; Wenzel, Jörg; Desmettre, Sascha
Journal Article
2018Can outstanding dividend payments be estimated by American options?
Desmettre, S.; Grün, S.; Korn, R.
Journal Article
2018Portfolio optimization with early announced discrete dividends
Desmettre, S.; Grün, S.; Korn, R.
Journal Article
2017Estimating discrete dividends by no-arbitrage
Desmettre, S.; Grün, S.; Seifried, F.T.
Journal Article
2016Nested MC-based risk measurement of complex portfolios: Acceleration and energy efficiency
Desmettre, S.; Korn, R.; Varela, J.; Wehn, N.
Journal Article
201510 computational challenges in finance
Desmettre, Sascha; Korn, Ralf
Book Article
2015Forecasting discrete dividends by no-arbitrage
Desmettre, S.; Grün, S.; Seifried, F.T.
Report
2015Forecasting discrete dividends by no-arbitrage
Desmettre, S.; Grün, S.; Seifried, F.
Journal Article
2015Lifetime consumption and investment for worst-case crash scenarios
Desmettre, S.; Korn, R.; Seifried, F.T.
Journal Article
2015Optimization strategies for portable code for Monte Carlo-based value-at-risk systems
Varela, Javier Alejandro; Kestel, Claus; Schryver, Christian de; Wehn, Norbert; Desmettre, Sascha; Korn, Ralf
Conference Paper
2015Option pricing in practice - Heston's stochastic volatility model
Desmettre, Sascha; Korn, Ralf; Sayer, Tilman
Book Article
2015Optionsbewertung in der Praxis: Das stochastische Volatilitätsmodell nach Heston
Desmettre, S.; Korn, R.; Sayer, T.
Book Article
2015Robust worst-case optimal investment
Desmettre, S.; Korn, R.; Ruckdeschel, P.; Seifried, F.T.
Journal Article
2014Worst-case consumption-portfolio optimization
Desmettre, S.; Korn, R.; Sayer, S.; Seifried, F.T.
Electronic Publication
2013Robust worst-case optimal investment
Desmettre, S.; Korn, R.; Ruckdeschel, P.; Seifried, F.T.
Report
2013Worst-case consumption-portfolio optimization
Desmettre, S.; Korn, R.; Seifried, F.T.
Report
2012Optimal investment for executive stockholders with exponential utility
Desmettre, S.
Journal Article
2012Optimal investment for executive stockholders with exponential utility
Desmettre, S.
Journal Article
2011Work effort, consumption, and portfolio selection: When the occupational choice matters
Desmettre, S.; Szimayer, A.
Journal Article
2010Optimal investment for executive stockholders with exponential utility
Desmettre, S.
Report
2010Optimal portfolios for executive stockholders
Desmettre, S.
Dissertation
2010Own-company stockholding and work effort preferences of an unconstrained executive
Desmettre, S.; Gould, J.
Journal Article
2010Work effort, consumption, and portfolio selection: When the occupational choice matters
Desmettre, S.; Szimayer, A.
Report
2008Own-company stockholding and work effort preferences of an unconstrained executive
Desmettre, S.; Gould, J.; Szimayer, A.
Report