Prof. Dr. rer. nat. Alexander Szimayer
Professor - aktiv
Universität
Universität Hamburg
Universität Hamburg
Fachbereich
Fakultät für Wirtschafts- und Sozialwissenschaften | FB BWL
Fakultät für Wirtschafts- und Sozialwissenschaften | FB BWL
Arbeitsbereiche
BWL
insbesondere Derivate
BWL
insbesondere Derivate
Land
Deutschland
Deutschland
Ort / PLZ
20146 Hamburg
20146 Hamburg
Strasse
Von-Melle-Park 5
Von-Melle-Park 5
Telefon
040-42838-9118
040-42838-9118
Sekretariat
040-42838-9119
040-42838-9119
FAX
040-4283-3380
040-4283-3380
Veröffentlichungen
in begutachteten Zeitschriften
A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing (joint work with G. Dimitroff and S. Lorenz). To appear in: International Journal of Theoretical and Applied Finance
The Uncertain Force of Mortality Framework: Pricing Unit-Linked Life Insurance Contracts (joint work with J. Li). In: Insurance: Mathematics and Economics, Vol. 49, No. 3, 2011, 471-486
Work Effort, Consumption, and Portfolio Selection: When the Occupational Choice Matters (joint work with S. Desmettre). In: Mathematical Methods of Operations Research, Vol. 74, No. 1, 2011, 121-145
Own-Company Shareholding and Work Effort Preferences of an Unconstrained Executive (joint work with S. Desmettre, and J. Gould). In: Mathematical Methods of Operations Research, Vol. 72, No. 3, 2010, 347-378
The Flight-to-Quality Effect: A Copula-Based Analysis (joint work with R. Durand and M. Junker). In: Accounting and Finance, Vol. 50, No. 2, 2010, 281-299
Anger, Sadness and Bear Markets (joint work with R. Durand and M. Simon). In: Applied Financial Economics, Vo. 19, No. 5, 2009, 357-369
Valuing Executive Stock Options: Performance Hurdles, Early Exercise and Stochastic Volatility (joint work with P. Brown). In: Accounting and Finance, Vol. 48, No. 3, 2008, 363-389
An Almost Sure Functional Limit Theorem at Zero for a Class of Levy Processes Normed by the Square Root Function, and Applications (joint work with R. Maller and B. Buchmann). In: Probability Theory and Related Fields, Vol. 142, No. 1, 2008, 219-248
GARCH Modelling in Continuous Time for Irregularly Spaced Time Series Data (joint work with R. Maller and G. Müller). In: Bernoulli Vo. 14, No. 2, 2008, 519-542
Finite Approximation Schemes for Levy Processes, and their Application to Optimal Stopping Problems (joint work with R. Maller). In: Stochastic Processes and Their Applications, Vol. 117, No. 10, 2007, 1422-1447
What Determines Early Exercise of Employee Stock Options in Australia? (joint work with T. Boyd and P. Brown). In: Accounting and Finance, Vol. 47, No. 2., 2007, 165-186
A Multinomial Approximation of American Option Prices in a Levy Process Model (joint work with R. Maller and D. Solomon). In: Mathematical Finance, Vol. 16, No. 4, 2006, 613-633
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications (joint work with M. Junker and N. Wagner). In: Journal of Banking and Finance, Vol. 30, No. 4, 2006, 1171-1199
Valuation of American Options in the Presence of Event Risk. In: Finance and Stochastics, Vol. 9, No. 1, 2005, 89-107
Shocks to International Market Volatility Expectations: Detection and Evidence for the US and Germany (joint work with N. Wagner). In: Research in International Business and Finance, 18, No. 3, 2004, 237-251
Testing for Mean Reversion for Processes of Ornstein-Uhlenbeck Type (joint work with R. Maller). In: Statistical Inference for Stochastic Processes, Vol. 7, No. 2, 2004, 95-113
A Reduced Form Model for the Valuation of Executive Stock Options. In: Mathematical Methods of Operations Research, Vol. 59, No.1, 2004, 111-128
Elliptical Copulas: Applicability and Limitations (joint work with: G. Frahm and M. Junker). In: Statistics and Probability Letters, Vol. 63, No. 3, 2003, 275-286
Alternative Model Specifications for Implied Volatility Measured by the German VDAX (joint work with N. Wagner). In: Kredit und Kapital, Vol. 34, No. 4, 2001, 590-618
in begutachteten Sammelwerken
The COGARCH: a review, with news on option pricing and statistical inference (joint work with C. Klüppelberg and R. Maller). In: Surveys in Stochastic Processes (Eds. J. Blath, P. Imkeller, S. Rœlly) EMS, 2011, pp. 29–58
Ornstein-Uhlenbeck Processes and Extensions (joint work with R. Maller and G. Müller). In: Handbook of Financial Time Series (Eds.: T. Andersen, R. Davis, J.-P. Kreiss, and T. Mikosch) Springer, 2009, 421-437
A Multinomial Approximation of American Option Prices in a Levy Process Model (joint work with R. Maller and D. Solomon) Oberwolfach-Tagunsgband „Statistics and Finance”, 2004, 175 Nutzungshinweise: Jede natürliche Person darf sich nur mit einer E-Mail Adresse bei WiWi-Online registrieren lassen. Die Nutzung der Daten die WiWi-Online bereitstellt ist nur für den privaten Gebrauch bestimmt - eine gewerbliche Nutzung ist verboten. Eine automatisierte Nutzung von WiWi-Online und dessen Inhalte, z.B. durch Offline-Browser, Download-Manager oder Webseiten etc. ist ausdrücklich strengstens untersagt. Zuwiderhandlungen werden straf- und zivilrechtlich verfolgt.