University of Kaiserslautern
Sascha obtained his PhD in Financial Mathematics in 2010 at Technische Universität Kaiserslautern (TUK). From 2010 until 2014 he was appointed as scientific researcher at the Fraunhofer Institute for Industrial Mathematics (ITWM), where he dealt with various applied projects in risk and fund management. In 2014 he joined again TUK as postdoctoral researcher and lecturer in financial and actuarial Mathematics, where he also received the venia legendi in mathematics by completing his habilitation in 2018. He spent two semesters at the Karlsruhe Institute of Technology (KIT) in 2016/17 as substitute professor in stochastics and is joining Karl-Franzens University (KFU) Graz from April 2019 on. His research interests focus among others on portfolio selection, risk management, extreme value theory in finance and insurance, liquidity risks and Monte Carlo simulation.
In this paper, the authors construct a Heath-Platen-type Monte Carlo estimator that performs extraordinarily well compared with the crude Monte Carlo estimation.
This paper shows how redemption risks of mutual funds can be modeled using the peaks-over-threshold approach from extreme value theory.