J�rn Sass

Statistics

Publications

Citations

198

H-Index

Active since

2004

Affiliations

Johann Radon Institute for Computational and Applied Mathematics(Current)

Austrian Academy of Sciences

University of British Columbia

J�rn Sass is an author at Johann Radon Institute for Computational and Applied Mathematics specializing in asset pricing, quantitative management, and business.

Top concepts

FinanceBusinessEconomicsAsset PricingFinancial EngineeringQuantitative Management

Publications per year

2004–2008

Publications

Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain

J�rn Sass, U. G. Haussmann · Finance and Stochastics · 2004 · 181 citations

Economics, Computational Finance, Asset Pricing +10

Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models

Robert J. Elliott, Vikram Krishnamurthy, J�rn Sass · Econometrics Journal · 2008 · 17 citations

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