Prof. Dr. Alexander Szimayer

Prof. Dr. Alexander Szimayer

Raum: 3042
Von-Melle-Park 5
20146 Hamburg


Tel.: +49 (0) 40 - 42838 - 9118
Email: alexander.szimayer(at)wiso.uni-hamburg.de
Sprechstunde: nach Vereinbarung (Anmeldung per Emai) 

Lebenslauf

Beruflicher Werdegang

Seit 04/2011                                

Professor für Finanzwirtschaft, insbesondere Derivate, FB Betriebswirtschaftslehre, Universität Hamburg

10/2008 - 03/2011

Professor für Finanzwirtschaft, FB Wirtschaftswissenschaften, Universität Bonn

06/2007 - 09/2008

Wissenschaftlicher Mitarbeiter, Abteilung Finanzmathematik, Fraunhofer ITWM, Kaiserslautern

03/2006 - 04/2007

Senior Lecturer, School of Finance and Applied Statistics und Center for Mathematics and its Application, Australian National University, Canberra, Australien

12/2002 - 02/2006

Lecturer und Senior Lecturer, Accounting & Finance, UWA Business School,
University of Western Australia, Perth, Australien

12/1999 - 11/2002

Wissenschaftlicher Mitarbeiter und stellv. Abteilungsleiter, Abteilung Financial Engineering, Stiftung caesar, Bonn

Berufliche Qualifikation

2002 Dr. rer. nat., Angewandte Mathematik (Nebenfach Wirtschaftswissenschaften), Universität Bonn

1999 Diplom, Mathematik (Nebenfach Physik), Technische Universität München

1996 Vordiplom, Mathematik (Nebenfach Physik), Universität Heidelberg

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Aktuelle Arbeitspapiere

Downloads finden Sie auf meiner SSRN-Seite.

  • Valuation of Equity-Linked Insurance Contracts with Surrender Guarantees in a Regime-Switching Rational Expectation Model (joint work with F. Uzelac), 2012
  • The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees (joint work with C. Hilpert and J. Li), 2011 
  • Optimal Share-Based Payments, 2011
  • Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation (joint work with P. Ruckdeschel and T. Sayer), 2011
  • The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees (joint work with J. Li), 2010
  • The Joint Hedging and Leverage Decision (joint work with J. Gould), 2008 
  • Long-Run Volatility Forecasting. What is Best for Fair Valuation of ESOs? (joint work with P. Brown, J. Gould, and A. McDonald), 2006

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Veröffentlichungen

in begutachteten Zeitschriften

  •  A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing (zusammen mit G. Dimitroff und S. Lorenz). In: International Journal of Theoretical and Applied Finance, Vol. 14, No. 8, 2011, 1299-1333
  • 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

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Preise

Peter Brownell Manuscript Award for best paper published in Accounting and Finance in 2008 (Valuing Executive Stock Options: Performance Hurdles, Early Exercise, and Stochastic Volatility, joint work with P. Brown), 7.7.2009

Best Paper Award, 67. Jahrestagung des Verbandes der Hochschullehrer für Betriebswirtschaft, Kiel, 21.5.2005

Outstanding Paper Award, Jahrestreffen der Deutschen Gesellschaft für Finanzwirtschaft, Tübingen, 1.10.2004

Preis der Chorafas Foundation für Diplomarbeit, München, 18.3.2000

Erster Preis in Angewandter Mathematik für Diplomarbeit, Studierendenkonferenz der Deutschen Mathematiker Vereinigung, Mainz, 10.9.1999

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