Alexander Szimayer
Alexander Szimayer
Professor of Finance, Universität Hamburg
Verified email at - Homepage
Cited by
Cited by
Elliptical copulas: applicability and limitations
G Frahm, M Junker, A Szimayer
Statistics & Probability Letters 63 (3), 275-286, 2003
Nonlinear term structure dependence: Copula functions, empirics, and risk implications
M Junker, A Szimayer, N Wagner
Journal of Banking & Finance 30 (4), 1171-1199, 2006
Ornstein–Uhlenbeck processes and extensions
RA Maller, G Müller, A Szimayer
Handbook of financial time series, 421-437, 2009
GARCH modelling in continuous time for irregularly spaced time series data
RA Maller, G Müller, A Szimayer
Local and spillover shocks in implied market volatility: evidence for the US and Germany
N Wagner, A Szimayer
Research in international Business and Finance 18 (3), 237-251, 2004
A multinomial approximation for American option prices in Lévy process models
RA Maller, DH Solomon, A Szimayer
Mathematical Finance 16 (4), 613-633, 2006
A parsimonious multi-asset Heston model: Calibration and derivative pricing
G Dimitroff, S Lorenz, A Szimayer
International Journal of Theoretical and Applied Finance 14 (08), 1299-1333, 2011
Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
A Szimayer, RA Maller
Stochastic Processes and their Applications 117 (10), 1422-1447, 2007
The flight‐to‐quality effect: a copula‐based analysis
RB Durand, M Junker, A Szimayer
Accounting & Finance 50 (2), 281-299, 2010
The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees
J Li, A Szimayer
Quantitative Finance 14 (2), 327-342, 2014
The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
J Li, A Szimayer
Insurance: Mathematics and Economics 49 (3), 471-486, 2011
Valuing executive stock options: performance hurdles, early exercise and stochastic volatility
P Brown, A Szimayer
Accounting & Finance 48 (3), 363-389, 2008
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
B Buchmann, B Kaehler, R Maller, A Szimayer
Stochastic Processes and their Applications 127 (7), 2208-2242, 2017
The COGARCH: a review, with news on option pricing and statistical inference
C Klüppelberg, R Maller, A Szimayer
Surveys in stochastic processes, 29-58, 2011
Valuation of American options in the presence of event risk
A Szimayer
Finance and Stochastics 9, 89-107, 2005
What determines early exercise of employee stock options in Australia?
T Boyd, P Brown, A Szimayer
Accounting & Finance 47 (2), 165-185, 2007
A limit theorem for copulas
AM Lindner, A Szimayer
Discussion Paper, 2005
Testing for mean reversion in processes of Ornstein-Uhlenbeck type
A Szimayer, R Maller
Statistical inference for stochastic processes 7, 95-113, 2004
Marginal consistent dependence modelling using weak subordination for Brownian motions
M Michaelsen, A Szimayer
Quantitative Finance 18 (11), 1909-1925, 2018
Pricing American options in the Heston model: a close look on incorporating correlation
P Ruckdeschel, T Sayer, A Szimayer
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