Prof. Dr. Alexander Szimayer

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Professor
Professorship for Financial Economics (Derivatives)
Address
Office
Contact
Research Focus
Financial Econometrics
Mathematical Finance
Economics of Risk and Insurance
CV
Curriculum Vitae
4/2011 - present |
Professor of Financial Economics (Derivatives), Faculty of Business, Economics and Social Sciences, Universität Hamburg, Germany |
2/2013 - 3/2013 |
Visiting Professor, Australian National University, Canberra, Australia |
10/2008 - 3/2011 |
Professor of Finance, Department of Economics and Law, Universität Bonn, Germany |
2/2010 - 3/2010 |
Visiting Professor, University of Technology Sydney, Australia |
6/2007 - 9/2008 |
Research Associate, Department of Financial Mathematics, Fraunhofer ITWM, Kaiserslautern, Germany |
3/2006 - 4/2007 |
Senior Lecturer, School of Finance & Applied Statistics and Center for Mathematics and its Application, Australian National University, Canberra, Australia |
12/2002 - 2/2006 |
Lecturer and Senior Lecturer, Accounting & Finance, UWA Business School, University of Western Australia, Perth, Australia |
12/1999 - 11/2002 |
Research Associate and Deputy Head, Department of Financial Engineering, Stiftung caesar, Bonn, Germany |
Education
2002 Dr. rer. nat. (PhD Financial Mathematics) Universität Bonn, Germany
1999 Diplom in Mathematik (M. Sc. Mathematics), Technische Universität München, Germany
Publications
Current Working Papers
Please find downloads on my SSRN-Seite.
- Dynamic Rating with Feedback Effects, 2019 (joint work with C. Hilpert, S. Hirth)
- Optimal Exercise decisions under Inattention, 2018 (joint work with M. Schaefer)
- Optimal Share-Based Payments, 2011
- 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
Publications
in revised journals
- What Drives Flight to Quality? (joint work with S. Opitz). In: Accounting and Finance, Vol. 58, No S1, 529-571, 2018
- Marginal consistent dependence modelling using weak subordination for Brownian motions (joint work with M. Michaelsen). In: Quantitative Finance, Vol. 18, Issue 11, 1909-1925, 2018
- Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis (joint work with S. Opitz und H. Seidel). In: Journal of Applied Econometrics, Vol. 33, No. 2, 271-289, 2018
- Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing (joint work with B Buchmann, B Kaehler and R Maller). In: Stochastic Processes and their Applications 127 (7), 2208-2242, 2017
- The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation (joint work with Y. Fan, P.S. Griffin, R. Maller und T. Wang). In: Risks 5 (1), 3, 2017
- Comments on Shan and Walter: ‘Towards a Set of Design Principles for Executive Compensation Contracts’ (joint work with P. Brown). In: Abacus, Vol. 52, Issue 4, 685–771, 2016
- The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees (joint work with J. Li). In: Quantitative Finance, Vol. 14, No. 2, 327-342, 2014
- The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees (joint work with C. Hilpert and J. Li). In: Journal of Risk and Insurance, Vol. 81, Issue 4, 2014, 943–968
- Valuation of Equity-Linked Insurance Contracts with Surrender Guarantees in a Regime-Switching Rational Expectation Model (joint work with F. Uzelac). In: Quantitative Finance, Vol. 14, No. 2, 357-368, 2014
- Pricing American Options in the Heston Model: A Close Look at Incorporating Correlation (joint work with P. Ruckdeschel und T. Sayer). In: Journal of Derivatives, Vol. 20, No. 3, 2013, 9-29
- A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing (joint work with 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 und 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 und M. Junker). In: Accounting and Finance, Vol. 50, No. 2, 2010, 281-299
- Anger, Sadness and Bear Markets (joint work with R. Durand und 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 und 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 und 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 und 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 und 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 und 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 und 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 revised collected editions
- The COGARCH: a review, with news on option pricing and statistical inference (joint work with C. Klüppelberg und 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 und 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 und D. Solomon) Oberwolfach-Tagunsgband „Statistics and Finance”, 2004, 175
Selected Awards
2013 Gauss-Preis 2012 (Runner Up) of Deutschen Gesellschaft für Versicherungs- und Finanzmathematik (DGVFM) und der Deutschen Aktuarvereinigung (DAV)
2009 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)
2005 Best Paper Award, 67. Annual conference of Verband der Hochschullehrer für Betriebswirtschaft (German Academic Association for Business Research)
2004 Outstanding Paper Award, Annual conference of Deutschen Gesellschaft für Finanzwirtschaft (German Finance Association)
2000 Award of Chorafas Foundation for Diplom thesis
1999 First Prize in applied mathematics for Diplom thesis, Deutsche Mathematiker-Vereinigung (German Mathematical Society)