Concepedia

Alex Szimayer

AS

8

Publications

262

Citations

8

H-Index

2004

Active since

Affiliations

The University of Western Australia(Current)

Australian National University

Alex Szimayer is an author at The University of Western Australia specializing in finance, business, and engineering.

Top concepts

FinanceBusinessEngineeringAsset PricingStatisticsProbabilityOption PricingCorporate FinanceCopulasEconomics

Publications per year

2004–2009

8

Publications

8

Nonlinear term structure dependence: Copula functions, empirics, and risk implications

Markus Junker, Alex Szimayer, Niklas Wagner · Journal of Banking & Finance · 2005 · 86 citations

Business, Econometrics, Bayesian Econometrics +6

A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

Ross Maller, David H. Solomon, Alex Szimayer · Mathematical Finance · 2006 · 60 citations

Option Pricing, Multivariate Stochastic Volatility, Engineering +14

The flight‐to‐quality effect: a copula‐based analysis

Robert B. Durand, Markus Junker, Alex Szimayer · Accounting and Finance · 2009 · 31 citations

Empirical Finance, Customer Satisfaction, Engineering +21

Finite approximation schemes for Lévy processes, and their application to optimal stopping problems

Alex Szimayer, Ross Maller · Stochastic Processes and their Applications · 2007 · 26 citations

Mathematical Programming, Engineering, Lévy Processes +6

Valuing executive stock options: performance hurdles, early exercise and stochastic volatility

Philip Brown, Alex Szimayer · Accounting and Finance · 2008 · 19 citations

Volatility Modeling, Portfolio Choice, Asset Pricing +20

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