Alexander Szimayer - Concepedia

Author

Alexander Szimayer

Universität Hamburg ORCID

Also Known As

ALEXANDER SZIMAYER, Alexander Szimayer, Szimayer, Alexander

Publications

473

Citations

H-Index

Concepts

All Affiliations

Universität Hamburg Hamburg School of Business Administration The University of Western Australia Fraunhofer Institute for Industrial Mathematics

About

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

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	7	7	297
2	Economics	5	5	113
3	Finance	5	5	125
4	Management	3	3	84
5	Engineering	2	2	29

Alexander Szimayer

Publications

350

Citations

H-Index

Page 1

	Year	Citations
Elliptical copulas: applicability and limitations Gabriel Frahm, Markus Junker, Alexander Szimayer Statistics & Probability Letters Multivariate AnalysisBusinessElliptical CopulasStatistical InferenceMultivariate Approximation	2003	158
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 Empirical FinanceVolatility ModelingEconomicsFinancial EconomicsAsset Pricing	2004	55
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING Georgi Dimitroff, Stefan Lorenz, Alexander Szimayer International Journal of Theoretical and Applied Finance Option PricingComputational FinanceAsset PricingCross-asset CorrelationsDerivative Pricing	2011	26
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing Boris Buchmann, Benjamin D. Kaehler, Ross Maller, Stochastic Processes and their Applications Option PricingMultivariate SubordinationDerivative PricingProbability TheoryGamma Convolutions	2016	23
The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees Jing Li, Alexander Szimayer SSRN Electronic Journal	2010	20
Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. and Germany Alexander Szimayer, Niklas Wagner SSRN Electronic Journal Empirical FinanceVolatility ModelingEconomicsFinancial EconomicsAsset Pricing	2004	15
Marginal consistent dependence modelling using weak subordination for Brownian motions Markus Michaelsen, Alexander Szimayer Quantitative Finance EngineeringMultivariate Variance GammaStochastic PhenomenonFinancial MathematicsAsset Pricing	2018	15
The Effect of Secondary Markets on Equity‐Linked Life Insurance With Surrender Guarantees Christian Hilpert, Jing Li, Alexander Szimayer Journal of Risk & Insurance Life Insurance ProductsEquity‐linked Life InsuranceFinancial Risk ManagementInsurer RelationshipsFinancial Protection	2013	14
Pricing American Options in the Heston Model: <i>A Close Look at Incorporating Correlation</i> Peter Ruckdeschel, Tilman Sayer, Alexander Szimayer The Journal of Derivatives Volatility ModelingEngineeringAmerican OptionsStochastic AnalysisHeston Model	2013	14
A reduced form model for ESO valuation Alexander Szimayer Mathematical Methods of Operations Research	2004	10

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