Alexander Szimayer

University of Hamburg - Faculty of Economics and Business Administration

Professor of Finance

Von-Melle-Park 5

Hamburg, 20146

Germany

  • University of Hamburg - Faculty of Economics and Business Administration

SCHOLARLY PAPERS

25

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SSRN CITATIONS
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Top 23,041

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18

CROSSREF CITATIONS

24

Scholarly Papers (25)

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1.

A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing

Number of pages: 46 Posted: 19 Jul 2009 Last Revised: 03 Mar 2011
Georgi Dimitroff, Stefan Lorenz and Alexander Szimayer
Independent, DZ Bank AG and University of Hamburg - Faculty of Economics and Business Administration
Downloads 1,089 (28,456)
Citation 4

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Heston model, multi-asset, option pricing, calibration, correlation

2.

Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. And Germany

Number of pages: 24 Posted: 08 Mar 2004
Alexander Szimayer and Niklas Wagner
University of Hamburg - Faculty of Economics and Business Administration and Passau University
Downloads 689 (53,435)
Citation 2

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implied volatility, volatility indices, volatility spillover, market stress, public news releases

3.

Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Number of pages: 43 Posted: 24 Jun 2003
Markus Junker, Alexander Szimayer and Niklas Wagner
Center of Advanced European Studies and Research, Germany (CAESAR) - Financial Engineering Group, University of Hamburg - Faculty of Economics and Business Administration and Passau University
Downloads 605 (63,095)
Citation 8

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affine term structure models, nonlinear dependence, copula functions, tail dependence, value-at-risk

4.

Modeling non-maturing Demand Deposits: a proposed methodology to determining the idiosyncratic confidence level used for separating stable deposit volumes from volatile deposit volumes

Number of pages: 21 Posted: 30 Nov 2020 Last Revised: 01 Feb 2021
Sophie Döpp, Andre Horovitz and Alexander Szimayer
University of Hamburg - Faculty of Economics and Business Administration, affiliation not provided to SSRN and University of Hamburg - Faculty of Economics and Business Administration
Downloads 378 (111,005)
Citation 1

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5.

Quanto Option Pricing in the Parsimonious Heston Model

Number of pages: 14 Posted: 24 Sep 2009 Last Revised: 02 Oct 2009
Georgi Dimitroff, Alexander Szimayer and Andreas Wagner
Independent, University of Hamburg - Faculty of Economics and Business Administration and Karlsruhe University of Applied Sciences
Downloads 370 (113,702)
Citation 3

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Quanto option, option pricing, Heston model, Parsimonious Heston Model

6.

The Cogarch: A Review, with News on Option Pricing and Statistical Inference

Number of pages: 30 Posted: 19 Jan 2010
C. Klüppelberg, Ross Maller and Alexander Szimayer
Technische Universität München (TUM), Australian National University (ANU) - School of Finance and Applied Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 278 (154,019)
Citation 4

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Continuous-time GARCH model, Levy process, option pricing, stochastic volatility, statistics for stochastic processes, functional limit theorems

7.

The Information Value of Distress

Number of pages: 93 Posted: 16 Jun 2017 Last Revised: 27 Jul 2022
Christian Hilpert, Stefan Hirth and Alexander Szimayer
Sun Yat-sen University (SYSU) - Lingnan (University) College, Aarhus University and University of Hamburg - Faculty of Economics and Business Administration
Downloads 243 (175,957)

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Asymmetric Information, Learning Dynamics, Strategic Interaction, Quantitative Debt Models

8.

Measuring Crisis Risk Using Conditional Copulas: An Empirical Analysis of the 2008 Shipping Crisis

Number of pages: 55 Posted: 26 Nov 2014 Last Revised: 20 Sep 2017
Sebastian Opitz, Henry Seidel and Alexander Szimayer
University of Hamburg, University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Downloads 231 (184,703)
Citation 3

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conditional copula, tail dependence, ship finance

9.

The Joint Hedging and Leverage Decision

Number of pages: 51 Posted: 21 Jan 2008 Last Revised: 09 Sep 2009
John Gould and Alexander Szimayer
Curtin University and University of Hamburg - Faculty of Economics and Business Administration
Downloads 229 (186,231)

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Hedging, Leverage, Financial Risk, Capital Structure

10.

The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees

Number of pages: 22 Posted: 17 Dec 2010
Jing Li and Alexander Szimayer
Institute for Finanancial Economics and Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 208 (203,918)
Citation 6

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unit-linked life insurance contracts, surrender guarantee, limited rationality, fair contract analysis

11.

Modeling Non-Maturing Deposits: A Procedure for the Determination of the Minimal Time Series Length Required for Model Calibration and Back-Testing

Number of pages: 17 Posted: 10 May 2021
Sophie Döpp, Andre Horovitz and Alexander Szimayer
University of Hamburg - Faculty of Economics and Business Administration, affiliation not provided to SSRN and University of Hamburg - Faculty of Economics and Business Administration
Downloads 177 (235,144)

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Core deposit volumes, Liquidity risk, Minimal time series length

12.

Optimal Exercise Decisions under Inattention

Number of pages: 29 Posted: 10 Oct 2017 Last Revised: 28 Feb 2019
Mick Schaefer and Alexander Szimayer
University of Hamburg - School of Business, Economics and Social Sciences and University of Hamburg - Faculty of Economics and Business Administration
Downloads 168 (245,691)
Citation 1

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Markov processes, optimal stopping, optimal control, random intervention times, inattention, least squares Monte-Carlo, forward improvement iteration

13.

Valuation of Equity-Linked Life Insurance Contracts with Surrender Guarantees in a Regime-Switching Rational Expectation Model

Number of pages: 29 Posted: 14 Mar 2012 Last Revised: 30 Apr 2012
Filip Uzelac and Alexander Szimayer
University of Bonn - The Bonn Graduate School of Economics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 119 (321,730)

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equity-linked life insurance, surrender guarantee, regime-switching, rational expectation

14.

The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts

Number of pages: 32 Posted: 14 Jul 2010 Last Revised: 13 Jun 2011
Jing Li and Alexander Szimayer
Institute for Finanancial Economics and Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 110 (339,926)
Citation 2

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unit-linked life insurance contracts, mortality model risk, price bounds, stochastic control

15.

Self-Respecting Worker in the Precarious Gig Economy: A Dynamic Principal-Agent Model

Number of pages: 42 Posted: 16 Jun 2021 Last Revised: 02 Aug 2022
Zsolt Bihary, Péter Csóka, Péter Kerényi and Alexander Szimayer
Queen Mary, University of London, Corvinus University of Budapest, Corvinus University of Budapest and University of Hamburg - Faculty of Economics and Business Administration
Downloads 98 (366,947)

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Contingent work; alternative work arrangements; precarious work; vulnerability; contract theory; stochastic control theory; endogenous backward-looking participation constraint.

16.

The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees

Downloads 98 (366,947)
Citation 6

The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees

Number of pages: 37 Posted: 12 Oct 2011 Last Revised: 18 Jan 2012
Christian Hilpert, Jing Li and Alexander Szimayer
Sun Yat-sen University (SYSU) - Lingnan (University) College, Institute for Finanancial Economics and Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 98 (369,784)
Citation 3

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equity-linked life insurance contracts, surrender guarantee, bounded rationality ,fair contract analysis, secondary market

The Effect of Secondary Markets on Equity‐Linked Life Insurance with Surrender Guarantees

Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 943-968, 2014
Number of pages: 26 Posted: 25 Nov 2014
Christian Hilpert, Alexander Szimayer and Jing Li
Sun Yat-sen University (SYSU) - Lingnan (University) College, University of Hamburg - Faculty of Economics and Business Administration and Institute for Finanancial Economics and Statistics
Downloads 0
Citation 2

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17.

Optimal Share-Based Payments

Number of pages: 29 Posted: 25 Aug 2011
Alexander Szimayer
University of Hamburg - Faculty of Economics and Business Administration
Downloads 90 (386,980)

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principal-agent problem, share-based payments, stochastic differential game

18.

Own-Company Stockholding and Work Effort Preferences of an Unconstrained Executive

Number of pages: 37 Posted: 21 Jan 2009 Last Revised: 26 Apr 2010
Sascha Desmettre, John Gould and Alexander Szimayer
Johannes Kepler University Linz, Curtin University and University of Hamburg - Faculty of Economics and Business Administration
Downloads 79 (418,027)

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optimal portfolio choice, executive compensation

19.

Work Effort, Consumption, and Portfolio Selection: When the Occupational Choice Matters

Number of pages: 34 Posted: 01 Jul 2010 Last Revised: 05 Jul 2010
Sascha Desmettre and Alexander Szimayer
Johannes Kepler University Linz and University of Hamburg - Faculty of Economics and Business Administration
Downloads 70 (446,817)
Citation 1

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Portfolio Choice, Work Effort, Consumption, Occupational Choice

20.

What Drives Flight to Quality?

Number of pages: 77 Posted: 26 Sep 2015 Last Revised: 17 Aug 2017
Sebastian Opitz and Alexander Szimayer
University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Downloads 54 (506,771)

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Dependence structure, conditional copula, flight to quality, macroeconomic factors

21.

Rational Attention Allocation in the Mortgage Market

Number of pages: 26 Posted: 22 Mar 2021
Sebastian Golder, Mick Schaefer and Alexander Szimayer
University of Hamburg - Faculty of Business, Economics, and Social Sciences, University of Hamburg - School of Business, Economics and Social Sciences and University of Hamburg - Faculty of Economics and Business Administration
Downloads 53 (510,983)

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mortgages, refinance, inattention, option value, financial crisis

22.

Marginal Consistent Dependence Modeling Using Weak Subordination for Brownian Motions

Number of pages: 26 Posted: 02 Dec 2017
Markus Michaelsen and Alexander Szimayer
Universität Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Downloads 42 (561,889)
Citation 2

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Lévy processes, Dependence modeling, Weak multivariate subordination, Maximum likelihood estimation, Variance gamma, Normal inverse Gaussian

23.

Applications of Non-Linear Machine Learning Tree-Based Methods for Prepayments Forecasting of Fixed-Rate Institutional Loans

Number of pages: 53 Posted: 07 Jun 2022 Last Revised: 14 Jun 2022
René Glawion, Johannes Heuel, Andre Horovitz and Alexander Szimayer
University of Hamburg, University of Hamburg, University of Hamburg - Faculty of Business, Economics, and Social Sciences and University of Hamburg - Faculty of Economics and Business Administration
Downloads 32 (616,748)

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Machine Learning, Institutional Loans, Prepayment, Liquidity Risk Management, Banking Regulation

24.

A Multinomial Approximation for American Option Prices in Levy Process Models

Mathematical Finance, Vol. 16, No. 4, pp. 613-633, October 2006
Number of pages: 21 Posted: 31 Aug 2006
Ross Maller, David Solomon and Alexander Szimayer
Australian National University (ANU) - School of Finance and Applied Statistics, University of Chicago and University of Hamburg - Faculty of Economics and Business Administration
Downloads 14 (751,566)

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25.

Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 30 Mar 2011 Last Revised: 20 Jun 2014
Peter Ruckdeschel, Tilman Sayer and Alexander Szimayer
University of Oldenburg - School of Mathematics and Science, Advanced Logic Analytics and University of Hamburg - Faculty of Economics and Business Administration

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Heston Model, American Options, Moment Matching, Correlation, Tree Method