Jörn Sass

Prof. Dr. Jörn Sass is a Professor at the Department of Mathematics, University of Kaiserslautern since 2008, supported by a DFG-funded Heisenberg professorship. His research focuses on mathematical finance, stochastic control, and statistical methodologies, particularly in portfolio optimization under constraints such as transaction costs, partial information, and risk limits. He also works on option pricing and parameter estimation in financial models.

Education:

• Ph.D. in Applied Mathematics (2001), University of Kiel
• M.Sc. Mathematics and M.Ed. in Mathematics/Physics (1998), University of Kiel

Key Research Interests: Portfolio optimization with constraints, stochastic volatility models, hidden Markov models, robust utility maximization, and risk measures. His work bridges theoretical mathematics and practical applications in finance and engineering.

Publications: Over 30 peer-reviewed articles in leading journals such as Finance and Stochastics, Mathematics and Financial Economics, and Quantitative Finance. Recent work emphasizes robust strategies and model uncertainty in financial markets.

Professional Activities: Previously held positions at UBC Vancouver (Postdoc, 2001–2003), RICAM (Senior PostDoc, 2003–2008), and JKU Linz (External Lecturer). Active in academic leadership roles, including the Financial Mathematics Group at RPTU.