Research output per year
Research output per year
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First-Passage Time for PDifMPs: An Asymptotically Exact Simulation Approach for Time-Varying Thresholds
Desmettre, S., Khurana, D. & Meddah, A., 27 Jul 2026, In: Journal of Scientific Computing. 108, 3, 94.Research output: Contribution to journal › Article › peer-review
Open Access -
Approximate Bayesian computation for stochastic hybrid systems with ergodic behaviour
Desmettre, S., Mallinger, A., Meddah, A. & Tubikanec, I., 14 Nov 2025, 30 p. (arXiv.org; no. 2511.11782).Research output: Working paper and reports › Preprint
Open Access -
Equilibrium investment under dynamic preference uncertainty
De Gennaro Aquino, L., Desmettre, S., Havrylenko, Y. & Steffensen, M., 24 Dec 2025, (arXiv.org; no. 2512.21149).Research output: Working paper and reports › Preprint
Open Access -
Erratum to integral representation of generalized grey Brownian motion(STOCHASTICS, (2025), 97, (5), (667–674))
Bock, W., da Silva, J. L. & Desmettre, S., 2025, In: Stochastics. 97, 5, p. 667-674 8 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Exact simulation of the first-passage time of SDEs to time-dependent thresholds
Khurana, D., Desmettre, S. & Buckwar, E., 04 Nov 2025, In: SIAM Journal on Scientific Computing. 47, 6, p. A3303-A3329 27 p.Research output: Contribution to journal › Article › peer-review
Activities
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Geometric Asian Option Pricing in the Volterra-Heston Model
Desmettre, S. (Speaker)
29 Jun 2026 → 03 Jul 2026Activity: Talk or presentation › Invited talk › science-to-science
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Pricing of geometric Asian options in the Volterra-Heston model
Desmettre, S. (Speaker)
12 May 2026Activity: Talk or presentation › Invited talk › science-to-science
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Equilibrium Investment under Dynamic Preference Uncertainty
Desmettre, S. (Speaker)
25 Mar 2026Activity: Talk or presentation › Invited talk › science-to-science
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Equilibrium Investment under Preference Uncertainty
Desmettre, S. (Speaker)
25 Feb 2026Activity: Talk or presentation › Invited talk › science-to-science
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Equilibrium Investment with Random and State-Dependent Risk Aversion’
Desmettre, S. (Speaker)
26 Sept 2025Activity: Talk or presentation › Invited talk › science-to-science