Prof. Dr. Alexander Szimayer

Current Working Papers

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