Publikationen

Michaelsen M./ Szimayer, A.. “Marginal consistent dependence modelling using weak subordination for Brownian motions”. Quantitative Finance Vol. 18, No. 11. (2018): S. 1909-1925.

Opitz, S./ Szimayer, A.. “What drives flight to quality?”. Accounting & Finance Vol. 58, No. S1. (2018): S. 529-571.

Opitz, S./ Seidel, H./ Szimayer, A.. “Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis”. Journal of Applied Econometrics Vol. 33, No. 2. (2018): S. 271-289.

Buchmann, B./ Kaehler, B./ Maller, R./ Szimayer, A.. “Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing”. Stochastic Processes and their Applications Vol. 127, No. 4. (2017): S. 2208-2242.

Fan, Y./ Griffin, P.S./ Maller, R./ Szimayer, A./ Wang, T.. “The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation”. Risks Vol. 5, No. 1. (2017)

Brown, P./ Szimayer, A.. “Comments on Shan and Walter: ‘Towards a Set of Design Principles for Executive Compensation Contracts’”. Abacus Vol. 52, No. 4. (2016): S. 685-771.

Chen, A./ Hilpert, C.. “Mergers and Acquisitions - Collar Contracts”. Journal of Risk Vol. 17, No. 4. (2015): S. 101-133.

Hilpert, C./ Li, J./ Szimayer, A.. “The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees”. Journal of Risk and Insurance Vol. 81, Issue 4. (2014): S. 943-968.

Li, J./ Szimayer, A.. “The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees”. Quantitative Finance Vol. 14, No. 2. (2014): S. 327-342.

Szimayer, A./ Uzelac, F.. “Valuation of Equity-Linked Insurance Contracts with Surrender Guarantees in a Regime-Switching Rational Expectation Model”. Quantitative Finance Vol. 14, No. 2. (2014): S. 357-368.

Ruckdeschel, P./ Sayer, T./ Szimayer, A.. “Pricing American Options in the Heston Model: A Close Look at Incorporating Correlation”. Journal of Derivatives Vol. 20, No. 3. (2013): S. 9-29.

Li, J./ Szimayer, A.. “The Uncertain Force of Mortality Framework: Pricing Unit-Linked Life Insurance Contracts”. Mathmatics and Economics Vol. 49, No. 3. (2011): S. 471-486.

Desmettre, S./ Szimayer, A.. “Work Effort, Consumption, and Portfolio Selection: When the Occupational Choice Matters”. Mathematical Methods of Operations Research Vol. 74, No. 1. (2011): S. 121-145.

Klüppelberg, C./ Maller, R./ Szimayer, A.. “The COGARCH: a review, with news on option pricing and statistical inference”. Surveys in Stochastic Processes. Hg. J. Blath, P. Imkeller, S. Rœlly. EMS, 2011, S. 29-58.

Dimitroff, G./ Lorenz, S./ Szimayer, A.. “A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing”. International Journal of Theoretical and Applied Finance Vol. 14, No. 8. (2011): S. 1299-1333.

Durand, R./ Junker, M./ Szimayer, A.. “The Flight-to-Quality Effect: A Copula-Based Analysis”. Accounting and Finance Vol. 50, No. 2. (2010): S. 281-299.

Desmettre, S./ Gould, J./ Szimayer, A.. “Own-Company Shareholding and Work Effort Preferences of an Unconstrained Executive”. Mathematical Methods of Operations Research Vol. 72, No. 3. (2010): S. 347-378.

Durand, R./ Simon, M./ Szimayer, A.. “Anger, Sadness and Bear Markets”. Applied Financial Economics Vol. 19, No. 5. (2009): S. 357-369.

Maller, R./ Müller, G./ Szimayer, A.. “Ornstein-Uhlenbeck Processes and Extensions ”. Handbook of Financial Time Series. Hg. Andersen, T. et al. . Springer, 2009, S. 421-437.

Brown, P./ Szimayer, A.. “Valuing Executive Stock Options: Performance Hurdles, Early Exercise and Stochastic Volatility”. Accounting and Finance Vol. 48, No. 3. (2008): S. 363-389.

Buchmann, B./ Maller, R./ Szimayer, A.. “An Almost Sure Functional Limit Theorem at Zero for a Class of Levy Processes Normed by teh Square Root Function, and Applications”. Probability Theory and Related Fields Vol. 142, No. 1. (2008): S. 219-248.

Maller, R./ Müller, G./ Szimayer, A.. “GARCH Modelling in Continuous Time for Irregularly Spaces Time Series Data”. Bernoulli Vol. 14, No. 2. (2008): S. 519-542.

Maller, R./ Szimayer, A.. “Finite Approximation Schemes for Levy Processes, and their Application to Optimal Stopping Problems”. Stochastic Processes and Their Applications Vol. 117, No. 10. (2007): S. 1422-1447.

Boyd, T./ Brown, P./ Szimayer, A.. “What Determines Early Exercise of Employee Stock Options in Australia? ”. Accounting and Finance Vol. 47, No. 2. (2007): S. 165-186.

Maller, R./ Solomon, D./ Szimayer, A.. “A Multinomial Approximation of American Option Prices in a Levy Process Model ”. A Multinomial Approximation of American Option Prices in a Levy Process Model Vol. 16, No. 4. (2006): S. 613-633.

Junker, M./ Szimayer, A./ Wagner, N.. “Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications ”. Journal of Banking and Finance Vol. 30, No. 4. (2006): S. 1171-1199.

Szimayer, A.. “Valuation of American Options in the Presence of Event Risk”. Finance and Stochastics Vol. 9, No. 1. (2005): S. 89-107.

Szimayer, A./ Wagner, N.. “Shocks to International Market Volatility Expectations: Detection and Evidence for the US and Germany”. Research in International Business and Finance Vol. 18, No. 3. (2004): S. 237-251.

Maller, R./ Szimayer, A.. “Testing for Mean Reversion for Processes of Ornstein-Uhlenbeck Type”. Statistical Inference for Stochastic Processes Vol. 7, No. 2. (2004): S. 95-113.

Szimayer, A.. “A Reduced Form Model for the Valuation of Executive Stock Options”. Mathematical Methods of Operations Research Vol. 59, No. 1. (2004): S. 111-128.

Maller, R./ Solomon, D./ Szimayer, A.. “A Multinomial Approximation of American Option Prices in a Levy Process Model ”. Statistics and Finance . Oberwolfach-Tagungsband. 2004, S. 175.

Frahm, G./ Junker, M./ Szimayer, A.. “Elliptical Copulas: Applicability and Limitations”. Statistics and Probability Letters Vol. 63, No. 3. (2003): S. 275-286.

Szimayer, A./ Wagner, N.. “Alternative Model Specifications for Implied Volatility Measured by the German VDAX”. Kredit und Kapital Vol. 34, No. 4. (2001): S. 590-618.