Concepedia

Alexander Szimayer

AS

10

Publications

350

Citations

10

H-Index

2003

Active since

Affiliations

Universität Hamburg(Current)

Hamburg School of Business Administration

The University of Western Australia

Fraunhofer Institute for Industrial Mathematics

Alexander Szimayer is an author at Universität Hamburg specializing in business, economics, and asset pricing.

Top concepts

BusinessFinanceEconomicsAsset PricingEconometricsOption PricingManagementStatisticsProbabilityVolatility Modeling

Publications per year

2003–2018

10

Publications

10

Elliptical copulas: applicability and limitations

Gabriel Frahm, Markus Junker, Alexander Szimayer · Statistics & Probability Letters · 2003 · 158 citations

Multivariate Analysis, Business, Elliptical Copulas +4

Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany

Niklas Wagner, Alexander Szimayer · Research in International Business and Finance · 2004 · 55 citations

Empirical Finance, Volatility Modeling, Economics +11

A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

Georgi Dimitroff, Stefan Lorenz, Alexander Szimayer · International Journal of Theoretical and Applied Finance · 2011 · 26 citations

Option Pricing, Computational Finance, Asset Pricing +10

Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing

Boris Buchmann, Benjamin D. Kaehler, Ross Maller et al. · Stochastic Processes and their Applications · 2016 · 23 citations

Option Pricing, Multivariate Subordination, Derivative Pricing +3

The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees

Jing Li, Alexander Szimayer · SSRN Electronic Journal · 2010 · 20 citations · Full text

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