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

22

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SSRN CITATIONS
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Top 21,294

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14

CROSSREF CITATIONS

27

Scholarly Papers (22)

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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 974 (24,721)
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

EFMA 2001 Lugano Meetings
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 657 (42,621)
Citation 1

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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 587 (49,432)
Citation 8

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

4.

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 Fraunhofer ITWM - Financial Mathematics
Downloads 336 (96,877)
Citation 3

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

5.

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 243 (136,702)
Citation 4

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

6.

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 218 (151,904)
Citation 3

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conditional copula, tail dependence, ship finance

7.

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 218 (151,904)

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Hedging, Leverage, Financial Risk, Capital Structure

8.

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 195 (168,520)
Citation 4

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

9.

The Information Value of Distress

Number of pages: 88 Posted: 16 Jun 2017 Last Revised: 31 Jan 2020
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 175 (185,693)

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Asymmetric Information, Learning, Feedback Effect

10.

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 127 (241,454)
Citation 1

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

11.

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 113 (263,116)

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

12.

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 96 (294,108)
Citation 2

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

13.

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

Downloads 91 (304,204)
Citation 5

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 91 (306,598)
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
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14.

Optimal Share-Based Payments

Number of pages: 29 Posted: 25 Aug 2011
Alexander Szimayer
University of Hamburg - Faculty of Economics and Business Administration
Downloads 83 (322,064)

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

15.

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 74 (344,497)

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optimal portfolio choice, executive compensation

16.

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 64 (372,298)
Citation 1

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Portfolio Choice, Work Effort, Consumption, Occupational Choice

17.

What Drives Flight to Quality?

Downloads 42 (449,104)

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 42 (458,207)

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

What Drives Flight to Quality?

Accounting & Finance, Vol. 58, pp. 529-571, 2018
Number of pages: 43 Posted: 23 Oct 2018
Sebastian Opitz and Alexander Szimayer
University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration
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Conditional copula, Dependence structure, Flight to quality, Macroeconomic factors

18.

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 35 (479,310)
Citation 1

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

19.

What Determines Early Exercise of Employee Stock Options in Australia?

Accounting and Finance, Vol. 47, No. 2, pp. 165-185, June 2007
Number of pages: 21 Posted: 08 Jun 2007
Tristan Boyd, Philip R. Brown and Alexander Szimayer
University of Western Australia - UWA Business School, UWA Business School, M250 and University of Hamburg - Faculty of Economics and Business Administration
Downloads 33 (488,725)
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20.

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 12 (614,517)
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21.

Valuing Executive Stock Options: Performance Hurdles, Early Exercise and Stochastic Volatility

Accounting & Finance, Vol. 48, Issue 3, pp. 363-389, September 2008
Number of pages: 27 Posted: 14 Aug 2008
Philip R. Brown and Alexander Szimayer
UWA Business School, M250 and University of Hamburg - Faculty of Economics and Business Administration
Downloads 2 (688,516)
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22.

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