AG Finanzmathematik

Prof. Dr. Jörn Saß

Anschrift

Gottlieb-Daimler-Straße
Gebäude: 48
Raum: 614
67663 Kaiserslautern

Postfach: 3049
67653 Kaiserslautern

Kontakt

Tel.: +49 631 205 3876

Fax: +49 631 205 3974

E-Mail: joern.sass@rptu.de

Lebenslauf

Personal Details

  • Born in 1969 in Kiel, Germany
  • Married (1998) to Maria, 6 children: Kolya Noah (2001), Larissa Deborah (2002), Jannik David (2005), Katharina Joanna (2007), Viktoria Eva (2012), Anastasia Lea (2014)

Education

  • 1990-1998: Studying (mainly) mathematics and physics in Clausthal, Marburg, Kiel, all in Germany
  • 1998: M.Ed. in mathematics and physics, University of Kiel
  • 1998: M.Sc. in mathematics, University of Kiel, Germany
  • 2001: Ph.D. in Applied Mathematics, University of Kiel, Germany

Former and Current Positions

  • 1998-2001: Research Assistant, Mathematical Institute, University of Kiel, Germany
  • 2001-2003: Postdoctoral Fellow (NSERC, MITACS) at the Department of Mathematics, UBC, Vancouver, Canada
  • 2003-2008: Senior PostDoc in the Financial Mathematics Group at RICAM, Austrian Academy of Sciences
  • 2005-2007: External Lecturer at JKU Linz, Austria
  • 2005-2008: Project Leader of the FWF-Project P17947 on Computing Optimal Portfolio Policies under Partial Information
  • Since 2008: Professor at the Department of Mathematics, University of Kaiserslauten, Germany

The current position was a Heisenberg professorship financed by the DFG for the first 5 years. This support is gratefully acknowledged.

Forschungsinteressen

Generally, I am interested in mathematical finance, stochastic control and statistics. In particular, I enjoy finding applicable solutions for various problems of constrained portfolio optimization, e.g., under transaction costs, in incomplete markets, with risk constraints, or under partial information. In addition, I work on option pricing and parameter estimation in (some of) these models.

Publikationen

  • M. Diehl, R. Horsky, S. Reetz, J. Sass (2023).
    Long‑term stability of a life insurer’s balance sheet.
    European Actuarial Journal 13, 147–182.
    [doi]
  • J. Sass, A.-K. Thös (2023+).
    Risk reduction and portfolio optimization using clustering methods.
    Econometrics and Statistics, to appear.
    [doi]
  • J. Sass, D. Westphal, R. Wunderlich (2023).
    Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift.
    Stochastic Models 39, 323-362.
    [doi]
  • J. Sass, D. Westphal (2022).
    Robust utility maximizing strategies under model uncertainty and their convergence.
    Mathematics and Financial Economics 16, 367-397.
    [doi]
  • E. Leoff, L. Ruderer, J. Sass (2022).
    Signal-to-noisematrix and model reduction in continuous-time hidden Markov models.
    Mathematical Methods of Operations Research 95, 327-359.
    [doi]
  • C. Laudagé, J. Sass, J. Wenzel (2022).
    Combining multi-asset and intrinsic risk measures.
    Insurance:Mathematics and Economics 106, 254–269.
    [doi]
  • J. Sass, D. Westphal (2021).
    Robust utility maximization in a multivariate financial market with stochastic drift.
    International Journal of Theoretical and Applied Finance 24 (4) (28 pages)
    [doi]
  • J. Sass, D. Westphal, R. Wunderlich (2021).
    Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift.
    Journal of Applied Probability 58, 197-216.
    [doi]
  • F. Blandfort, C. Glock, J. Sass, S. Schwaar, R. Sefrin (2021).
    Efficient and comprehensive time-dependent reliability analysis of complex structures by a parameter state model.
    ASCE-ASME J. Risk Uncertainty Eng. Syst., Part A: Civ. Eng. 7 (2).
    [doi]
  • S. Desmettre, C. Laudagé, J. Sass (2020).
    Good-deal bounds for option prices under value-at-risk and expected shortfall constraints .
    Risks 8 (4), 254–269.
    [doi]
  • C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, T. Sayer (2020)
    Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations.
    Applied Stochastic Models in Business and Industry 36 (3), 307-334.
    [doi]
  • C. Belak, J. Sass (2019).
    Finite-horizon optimal investment with transaction costs: Construction of the optimal strategies.
    Finance and Stochastics 23 (4), 861-888. 
    [doi]
  • H. Fink, S. Geissel, J. Sass, F.T. Seifried (2019).
    Implied risk aversion: An alternative rating system for retail structured products.
    Review of Derivatives Research 22 (3), 357-387.
    [doi]
  • S. Geissel, J. Sass, F.T. Seifried (2018).
    Optimal expected utility risk measures.
    Statistics & Risk Modeling 35 (1-2), 73-87.
    [doi]
    • V. Krishnamurthy, E. Leoff, J. Sass (2018).
      Filterbased stochastic volatility in continuous-time hidden Markov models.
      Econometrics and Statistics. 6, (April 2018), 1-21.
      [doi]
    • O. Putyatina, J. Sass (2018).
      Approximation for portfolio optimization in a financial market with shot-noise jumps.
      Computational Management Science. 15, (2), 161-186.
      [doi]
    • J. Sass, D. Westphal, R. Wunderlich (2017).
      Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift.
      International Journal of Theoretical and Applied Finance. 20, (4). (41 pages)
      [doi]
    • C. Belak, O. Menkens, J. Sass (2015).
      Worst-case portfolio optimization with proportional transaction costs.
      Stochastics. 87, 623-663.
       
    • C. Belak, O. Menkens, J. Sass (2015).
      On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs.
      SIAM Journal on Control and Optimization. 53, 2878-2897.
       
    • J. Sass, M. Schäl (2014).
      Numeraire portfolios and utility based price systems under proportional transaction costs.
      Decisions in Economics and Finance. 37, 195-234.
       
    • J. Sass, F.T. Seifried (2014).
      Insurance markets and unisex tariffs: Is the European Court of Justice improving or destroying welfare?
      Scandinavian Actuarial Journal. 2014, 228-254.
      [doi]
       
    • J. Sass, M. Smaga (2014).
      FTAP in finite discrete time with transaction costs.
      Finance and Stochastics. 18, 228-254.
       
    • A. Gabih, H. Kondakji, J. Sass, R. Wunderlich (2014).
      Expert opinions and logarithmic utility maximization in a market with Gaussian drift.
      Communications on Stochastic Analysis. 8, 27-47.
       
    • R. Herzog, K. Kunisch, J. Sass (2013).
      Primal-dual methods for the computation of trading regions under proportional transaction costs.
      Mathematical Methods of Operations Research. 77, 101-130.
       
    • W. Putschögl, J. Sass (2011).
      Optimal investment under dynamic risk constraints and partial information.
      Quantitative Finance. 11, 1547-1564.
       
    • J. Sass, R. Wunderlich (2010).
      Optimal portfolio policies under bounded expected loss and partial information.
      Mathematical Methods of Operations Research. 75, 25-61.
       
    • M. Hahn, S. Frühwirth-Schnatter, J. Sass (2010).
      Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models.
      Journal of Financial Econometrics. 8, 88-121.
    • M. Hahn, J. Sass (2009).
      Parameter estimation in continuous time Markov switching models - A semi-continuous Markov chain Monte Carlo approach.
      Bayesian Analysis. 4, 63-84.
       
    • M. Hahn, S. Frühwirth-Schnatter, J. Sass (2009).
      Estimating continuous-time Markov processes based on merged time series.
      AStA Advances in Statistical Analysis. 93, 403-425.
       
    • A. Gabih, J. Sass, R. Wunderlich (2009).
      Utility maximization under bounded expected loss.
      Stochastic Models. 25, 375-407.
       
    • R. J. Elliott, V. Krishnamurthy, J. Sass (2008).
      Moment based regression algorithm for drift and volatility estimation in continuous time Markov switching models.
      Econometrics Journal. 11, 244-270.
       
    • W. Putschögl, J. Sass (2008).
      Optimal consumption and investment under partial information.
      Decisions in Economics and Finance. 31, 131-170.
       
    • M. Hahn, W. Putschögl, J. Sass (2007).
      Portfolio optimization with non-constant volatility and partial information.
      Brazilian Journal of Probability and Statistics. 21, 27-61.
       
    • J. Sass (2007).
      Utility maximization with convex constraints and partial information.
      Acta Applicandae Mathematicae. 97, 221-238.
       
    • A. Irle, J. Sass (2006).
      Optimal portfolio policies under fixed and proportional transaction costs.
      Advances in Applied Probability. 38, 916-942.
       
    • J. Sass (2005).
      Portfolio optimization under transaction costs in the CRR model.
      Mathematical Methods of Operations Research. 61, 239-259.
       
    • J. Sass, U.G. Haussmann (2004).
      Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain.
      Finance and Stochastics. 8, 553-577.
    • J. Sass, M. Schäl (2017).
      Optimal portfolios and pricing of financial derivatives under proportional transaction costs.
      Markov Decision Processes in Practice. R.J. Boucherie, N.M. van Dijk (eds.) 523-546.
    • B. Rudloff, J. Sass, R. Wunderlich (2008).
      Entropic risk constraints for utility maximization.
      Festschrift in Celebration of Wilfried Prof. Dr. Grecksch 60th Birthday. C. Tammer, F. Heyde (eds.) 149-180.
    • A. Irle, J. Sass (2006).
      Good portfolio strategies under transaction costs: A renewal theoretic approach.
      Stochastic Finance. M. do Rosario Grossinho, A.N. Shiryaev, M.L. Esquivel, P.E. Oliveira (eds.) 321-341.
    • F. Blandfort, C. Glock, J. Sass, S. Schwaar, R. Sefrin (2019).
      Subset simulation interpolation - A new approach to compute effects of model-dynamics in structural reliability.
      In: M. Beer, E. Zio (eds.): Proceedings of the 29th European safety and reliability conference (ESREL 2019), 22-26 September 2019, Hannover, Germany, p. 1978-1986. 
      [www]
    • F. Blandfort, C. Glock, J. Sass, S. Schwaar, R. Sefrin (2019).
      A parametric state space model for time-dependent reliability.
      In: D. Yurchenko, D. Proske (eds.): Proceedings of the 17th International Probabilistic Workshop (IPW 2019), 11-13 September 2019, Edinburgh, UK, p. 31-36.
    • R. Wunderlich, J. Sass, A. Gabih (2007).
      Optimal portfolios under bounded shortfall risk and partial information.
      K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2006. Springer, Berlin: 581-586.

    • K. Kunisch, J. Sass (2007).
      Trading regions under proportional transaction costs.
      K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2006. Springer, Berlin: 563-568.

    • M. Hahn, W. Putschögl, J. Sass (2007).
      Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods.
      K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2006. Springer, Berlin: 227-232.

    • J. Sass (2006).
      Portfolio optimization under partial information and convex constraints in a hidden Markov model.
      K.-H. Waldmann, U.M. Stocker (eds.) Operations Research Proceedings 2005. Springer, Berlin: 227-232.

    • A. Gabih, J. Sass, R. Wunderlich (2005).
      Utility maximization with bounded shortfall risk in an HMM for the stock returns.
      N. Kolev, P. Morettin (eds.) Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, August 28 - September 3, 2005. 116-121.

    • U.G. Haussmann, J. Sass (2004).
      Optimal terminal wealth under partial information for HMM stock returns.
      G. Yin and Q. Zhang (eds.) Mathematics of Finance: Proceedings of an AMS-IMS-SIAM Summer Conference, June 22-26, 2003, Utah, AMS Contemporary Mathematics 351. 171-185.

    • J. Sass, U.G. Haussmann (2004).
      Portfolio optimization under partial information: Stochastic volatility in a hidden Markov model.
      D. Ahr, R. Fahrion, M. Oswald, G. Reinelt (eds.) Operations Research Proceedings 2003. Springer, Berlin: 387-394.
    • S. Desmettre, C. Laudagé, J. Sass (2023)
      Scalarized utility-based multi-asset risk measures
      Available on SSRN (29 pages)
      [SSRN]
    • R. Rosemann, J. Sass (2023).
      A multi-period model of an emissions trading system.