Publikationen
- Jahr
- : Publikationstyp
- : Autor
- : Titel
A Multinomial Approximation of American Option Prices in a Levy Process Model
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.
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.
A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing
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.
A Reduced Form Model for the Valuation of Executive Stock Options
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.
Alternative Model Specifications for Implied Volatility Measured by the German VDAX
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.
An Almost Sure Functional Limit Theorem at Zero for a Class of Levy Processes Normed by teh Square Root Function, and Applications
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.
Anger, Sadness and Bear Markets
Durand, R./ Simon, M./ Szimayer, A.. “Anger, Sadness and Bear Markets”. Applied Financial Economics Vol. 19, No. 5. (2009): S. 357-369.
Comments on Shan and Walter: ‘Towards a Set of Design Principles for Executive Compensation Contracts’
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.
Elliptical Copulas: Applicability and Limitations
Frahm, G./ Junker, M./ Szimayer, A.. “Elliptical Copulas: Applicability and Limitations”. Statistics and Probability Letters Vol. 63, No. 3. (2003): S. 275-286.
Finite Approximation Schemes for Levy Processes, and their Application to Optimal Stopping Problems
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.
GARCH Modelling in Continuous Time for Irregularly Spaces Time Series Data
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.
Marginal consistent dependence modelling using weak subordination for Brownian motions
Michaelsen M./ Szimayer, A.. “Marginal consistent dependence modelling using weak subordination for Brownian motions”. Quantitative Finance Vol. 18, No. 11. (2018): S. 1909-1925.
Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis
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.
Mergers and Acquisitions - Collar Contracts
Chen, A./ Hilpert, C.. “Mergers and Acquisitions - Collar Contracts”. Journal of Risk Vol. 17, No. 4. (2015): S. 101-133.
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
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.
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
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.
Ornstein-Uhlenbeck Processes and Extensions
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.
Own-Company Shareholding and Work Effort Preferences of an Unconstrained Executive
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.
Pricing American Options in the Heston Model: A Close Look at Incorporating Correlation
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.
Shocks to International Market Volatility Expectations: Detection and Evidence for the US and Germany
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.
Testing for Mean Reversion for Processes of Ornstein-Uhlenbeck Type
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.
The COGARCH: a review, with news on option pricing and statistical inference
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.
The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees
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.
The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees
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.
The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation
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)
The Flight-to-Quality Effect: A Copula-Based Analysis
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.
The Uncertain Force of Mortality Framework: Pricing Unit-Linked Life Insurance Contracts
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.
Valuation of American Options in the Presence of Event Risk
Szimayer, A.. “Valuation of American Options in the Presence of Event Risk”. Finance and Stochastics Vol. 9, No. 1. (2005): S. 89-107.
Valuation of Equity-Linked Insurance Contracts with Surrender Guarantees in a Regime-Switching Rational Expectation Model
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.
Valuing Executive Stock Options: Performance Hurdles, Early Exercise and Stochastic Volatility
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.
What Determines Early Exercise of Employee Stock Options in Australia?
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.
What drives flight to quality?
Opitz, S./ Szimayer, A.. “What drives flight to quality?”. Accounting & Finance Vol. 58, No. S1. (2018): S. 529-571.
Work Effort, Consumption, and Portfolio Selection: When the Occupational Choice Matters
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.